Recursive Models of Dynamic Linear Economies
Thomas J Sargent author Lars Peter Hansen author
Format:Hardback
Publisher:Princeton University Press
Published:28th Jan '14
Currently unavailable, and unfortunately no date known when it will be back
This hardback is available in another edition too:
- Paperback£40.00(9780691180731)
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.
Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics Thomas J. Sargent, Winner of the 2011 Nobel Prize in Economics
ISBN: 9780691042770
Dimensions: unknown
Weight: 907g
424 pages