Recursive Models of Dynamic Linear Economies (Hardcover) (ISBN-13: 9780691042770)

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.

Author: Lars Peter Hansen, Thomas J. Sargent
ISBN-10: 0691042772
ISBN-13: 9780691042770
Publisher: Princeton University Press
Language: English
Published: 12/26/2013
Pages: 424
Format: Hardcover
Weight: 2.05lbs
Size: 10.10h x 7.30w x 1.30d