| Recursive Models of Dynamic Linear Economies Contributor(s): Hansen, Lars Peter (Author), Sargent, Thomas J. (Author) |
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ISBN: 0691042772 ISBN-13: 9780691042770 Publisher: Princeton University Press OUR PRICE: $52.25 Product Type: Hardcover - Other Formats Published: December 2013 |
| Additional Information |
| BISAC Categories: - Science |
| Dewey: 330.015 |
| LCCN: 2013016059 |
| Series: Gorman Lectures in Economics (Hardcover) |
| Physical Information: 1.3" H x 7.3" W x 10.1" (2.05 lbs) 424 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |