Recursive Models of Dynamic Linear Economies
Thomas J Sargent author Lars Peter Hansen author
Format:Paperback
Publisher:Princeton University Press
Published:29th Jun '18
Should be back in stock very soon
This paperback is available in another edition too:
- Hardback£48.00(9780691042770)
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.
"Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics"
"Thomas J. Sargent, Winner of the 2011 Nobel Prize in Economics"
"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
ISBN: 9780691180731
Dimensions: unknown
Weight: unknown
424 pages