Recursive Models of Dynamic Linear Economies

di Lars Peter Hansen (Autore)

Thomas J. Sargent (Autore)

Princeton University Press, 2018

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.

• Autore: Lars Peter Hansen, Thomas J. Sargent
• Editore: Princeton University Press
• Collana: The Gorman Lectures in Economics
• Anno: 2018
• Rilegatura: Paperback / softback
• Pagine: 424 p.
• Dimensioni: 254 x 178 mm
• EAN: 9780691180731

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