Recursive Models of Dynamic Linear Economies [NOOK Book]

Overview

A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a ...

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Recursive Models of Dynamic Linear Economies

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Overview

A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis.

Based on the 2012 Gorman lectures, the authors unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB ® programs that apply to the book’s calculations.

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Editorial Reviews

From the Publisher

Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics


Thomas J. Sargent, Winner of the 2011 Nobel Prize in Economics

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Product Details

  • ISBN-13: 9781400848188
  • Publisher: Princeton University Press
  • Publication date: 12/29/2013
  • Series: Gorman Lectures in Economics
  • Sold by: Barnes & Noble
  • Format: eBook
  • Edition description: Course Book
  • Pages: 304
  • File size: 13 MB
  • Note: This product may take a few minutes to download.

Meet the Author

Lars Peter Hansen is the David Rockefeller Distinguished Service Professor at the University of Chicago, where he is also the research director of the Becker Friedman Institute. Thomas J. Sargent is professor of economics at New York University and a senior fellow at the Hoover Institution at Stanford University. His books include "Rational Expectations and Inflation" and "The Conquest of American Inflation" (both Princeton). Hansen and Sargent are the coauthors of "Robustness" (Princeton). Sargent was awarded the Nobel Prize in economics in 2011 and Hansen received it in 2013.
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