Recursive Models of Dynamic Linear Economies

A guide to the economic modeling of household preferences, from two leaders in the field

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.

About the author

Lars Peter Hansen & Thomas J. Sargent

Summary

A guide to the economic modeling of household preferences, from two leaders in the fieldA 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

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: Lars Hansen, Lars Peter Hansen, Lars Peter Sargent Hansen, Lars Peter/ Sargent Hansen, Hansen Lars Peter, Lars Sargent, Thomas Sargent, Thomas J. Sargent, Sargent Thomas J.
• Assisted by: Richard Blundell (Editor), Lars Peter Hansen (Editor)
• Publisher: Princeton University Press
• Languages: English
• Product format: Paperback / Softback
• Released: 31.07.2018
• EAN: 9780691180731
• ISBN: 978-0-691-18073-1
• No. of pages: 424
• Series: The Gorman Lectures in Economics; The Gorman Lectures in Economics
• Subjects: Social sciences, law, business > Business > Miscellaneous; BUSINESS & ECONOMICS / Economics / Theory, BUSINESS & ECONOMICS / Econometrics, Economic theory & philosophy, Econometrics, Economic theory and philosophy, Econometrics and economic statistics