Recursive Models of Dynamic Linear Economies by Thomas J. Sargent, Lars Peter Hansen (Hardback, 2014)
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- DescriptionA common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Ecomies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of ecometrically tractable models of prices and quantities. They present examples from microecomics, macroecomics, 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 ecomic theory with a workable ecometrics while going beyond and beneath demand and supply curves for dynamic ecomies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic ecomies 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.
- Author BiographyLars 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.
- Author(s)Lars Peter Hansen,Thomas J. Sargent
- PublisherPrinceton University Press
- Date of Publication28/01/2014
- SubjectEconomics: Professional & General
- Series TitleThe Gorman Lectures in Economics
- Place of PublicationNew Jersey
- Country of PublicationUnited States
- ImprintPrinceton University Press
- Content Note20 line illus.
- Weight914 g
- Width178 mm
- Height254 mm
- Spine33 mm
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