Robustness

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Overview

"Best policies can be evaluated, in theory at least, given an economy. But macroeconomists have only model economies at their disposal and necessarily these economies are abstractions. A concern then is that the model economy used to evaluate policy will provide poor guidance in practice. This leads to the search for policy that performs well for a broad class of economies. This is what robust control theory is all about. In this book, Hansen and Sargent greatly extend robust control theory to make it useful in the macro policy setting. This is a major contribution to macroeconomics."--Edward C. Prescott, Nobel Prize-winning economist

"The pathbreaking work of Hansen and Sargent extends macroeconomic theory beyond the Bayesian paradigm. They retain the analytical power of the classical mathematical models while adding to them the subtleties of an uncertain world. Using tools from robust control theory, they present a model in which an individual's probabilistic belief is subject to noise, or to uncertainty, and redo much of macroeconomic theory under this assumption."--Itzhak Gilboa, Tel Aviv University

"Hansen and Sargent were among the cadre of macroeconomists who challenged conventional (Keynesian) wisdom, and they are at it again, in a book that sparkles with ideas and analysis of fundamental problems in dynamic macroeconomics. The specific results reported here are, of course, interesting but this book is so much more: for young and ambitious economic theorists, this book is like the California gold fields in 1848."--David Kreps, Stanford University

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Editorial Reviews

Zentralblatt MATH Database
The book is self-contained and rigorous and may be interesting not only for macroeconomists who seek to improve the robustness of decision making process but also for control engineers interested in different applications of their professional abilities.
— A. Swierniak
Zentralblatt MATH

The book is self-contained and rigorous and may be interesting not only for macroeconomists who seek to improve the robustness of decision making process but also for control engineers interested in different applications of their professional abilities.
— A. Swierniak
Zentralblatt MATH - A. Swierniak
The book is self-contained and rigorous and may be interesting not only for macroeconomists who seek to improve the robustness of decision making process but also for control engineers interested in different applications of their professional abilities.
From the Publisher

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

"The book is self-contained and rigorous and may be interesting not only for macroeconomists who seek to improve the robustness of decision making process but also for control engineers interested in different applications of their professional abilities."--A. Swierniak, Zentralblatt MATH

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Product Details

  • ISBN-13: 9780691114422
  • Publisher: Princeton University Press
  • Publication date: 10/29/2007
  • Edition description: New Edition
  • Pages: 454
  • Product dimensions: 7.20 (w) x 10.10 (h) x 1.60 (d)

Meet the Author

Lars Peter Hansen is the Homer J. Livingston Distinguished Service Professor in the Department of Economics at the University of Chicago. Thomas J. Sargent is professor of economics at New York University and senior fellow at the Hoover Institution. He is the author of "The Conquest of American Inflation" and the coauthor of "The Big Problem of Small Change" (both Princeton).

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Table of Contents

Preface xv
Acknowledgments xvii

Part I: Motivation and main ideas
Chapter 1: Introduction 3
Chapter 2: Basic ideas and methods 25
Chapter 3: A stochastic formulation 53

Part II: Standard control and filtering
Chapter 4: Linear control theory 67
Chapter 5: The Kalman filter 103

Part III: Robust control
Chapter 6: Static multiplier and constraint games 119
Chapter 7: Time domain games for attaining robustness 139
Chapter 8: Frequency domain games and criteria for robustness 173
Chapter 9: Calibrating misspecification fears with detection error probabilities 213
Chapter 10: A permanent income model 223

Part IV: Multi-agent problems
Chapter 11: Competitive equilibria without robustness 253
Chapter 12: Competitive equilibria with robustness 271
Chapter 13: Asset pricing 295
Chapter 14: Risk sensitivity, model uncertainty, and asset pricing 307
Chapter 15: Markov perfect equilibria with robustness 327
Chapter 16: Robustness in forward-looking models 333

Part V: Robust estimation and filtering
Chapter 17: Robust filtering with commitment 359
Chapter 18: Robust filtering without commitment 383

Part VI: Extensions
Chapter 19: Alternative approaches 403

References 413
Index 427
Author Index 431
Matlab Index 435

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