Recursive Models of Dynamic Linear Economies

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.

About 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.

Summary

Demonstrates 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.

Additional text

"This book is chock full of results that will be useful to all interested in dynamic linear models, including material that will be novel to even the experienced macroeconomist. Buy it, read it, use it."---Kenneth D. West, Journal of Economic Literature

Product details

• Authors: Hansen, Lars Peter Hansen, Lars Peter Sargent Hansen, Hansen Lars Peter, Thomas J Sargent, Thomas J. Sargent, Sargent Thomas J.
• Publisher: Princeton University Press
• Languages: English
• Product format: Hardback
• Released: 26.12.2013
• EAN: 9780691042770
• ISBN: 978-0-691-04277-0
• No. of pages: 424
• Series: The Gorman Lectures in Economics; The Gorman Lectures in Economics; Gorman Lectures in Economics (
• Subjects: Social sciences, law, business > Business > General, dictionaries; BUSINESS & ECONOMICS / Economics / Theory, BUSINESS & ECONOMICS / Econometrics, Economic theory & philosophy, Econometrics, Economic theory and philosophy, Econometrics and economic statistics