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(r) programs that apply to the book's calculations.
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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(r) programs that apply to the book's calculations.
Imprint | Princeton University Press |
Country of origin | United States |
Series | The Gorman Lectures in Economics |
Release date | December 2013 |
Availability | Expected to ship within 12 - 17 working days |
First published | 2014 |
Authors | Lars Peter Hansen, Thomas J Sargent |
Dimensions | 254 x 178 x 29mm (L x W x T) |
Format | Hardcover - Trade binding |
Pages | 424 |
ISBN-13 | 978-0-691-04277-0 |
Barcode | 9780691042770 |
Categories | |
LSN | 0-691-04277-2 |