Recursive Models of Dynamic Linear Economies

Business & Finance, Economics, Econometrics, Theory of Economics
Cover of the book Recursive Models of Dynamic Linear Economies by Lars Peter Hansen, Thomas J. Sargent, Princeton University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Lars Peter Hansen, Thomas J. Sargent ISBN: 9781400848188
Publisher: Princeton University Press Publication: December 29, 2013
Imprint: Princeton University Press Language: English
Author: Lars Peter Hansen, Thomas J. Sargent
ISBN: 9781400848188
Publisher: Princeton University Press
Publication: December 29, 2013
Imprint: Princeton University Press
Language: English

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.

Hansen and Sargent 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, based on the 2012 Gorman lectures, 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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

Hansen and Sargent 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, based on the 2012 Gorman lectures, 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.

More books from Princeton University Press

Cover of the book Thinking about Leadership by Lars Peter Hansen, Thomas J. Sargent
Cover of the book The Hero's Fight by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Ecological Niches and Geographic Distributions (MPB-49) by Lars Peter Hansen, Thomas J. Sargent
Cover of the book The Making of British Socialism by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Castes of Mind by Lars Peter Hansen, Thomas J. Sargent
Cover of the book The Mathematical Mechanic by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Leonhard Euler by Lars Peter Hansen, Thomas J. Sargent
Cover of the book The Holy Roman Empire by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Disruptive Fixation by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Egypt by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Red State Religion by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Supermodularity and Complementarity by Lars Peter Hansen, Thomas J. Sargent
Cover of the book The Silent Sex by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Beyond Mechanical Markets by Lars Peter Hansen, Thomas J. Sargent
Cover of the book Human Nature & Jewish Thought by Lars Peter Hansen, Thomas J. Sargent
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy