Recursive models of dynamic linear economies

Author(s)

• Hansen, Lars Peter
• Sargent, Thomas J.

Bibliographic Information

Recursive models of dynamic linear economies

Lars Peter Hansen, Thomas J. Sargent

（The Gorman lectures in economics / series editor, Richard Blundell）

Princeton University Press, c2014

• : hardcover

Note

Includes bibliographical references (p. 379-392) and indexes

Description and Table of Contents

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.

Table of Contents

*Frontmatter, pg. i*Contents, pg. vii*Preface, pg. xiii*Acknowledgments, pg. xv*Chapter 1. Theory and Econometrics, pg. 3*Chapter 2. Linear Stochastic Difference Equations, pg. 15*Chapter 3. Efficient Computations, pg. 33*Chapter 4. Economic Environments, pg. 61*Chapter 5. Optimal Resource Allocations, pg. 79*Chapter 6. A Commodity Space, pg. 125*Chapter 7. Competitive Economies, pg. 131*Chapter 8. Statistical Representations, pg. 153*Chapter 9. Canonical Household Technologies, pg. 191*Chapter 10. Examples, pg. 217*Chapter 11. Permanent IncomeModels, pg. 233*Chapter 12. Gorman Heterogeneous Households, pg. 253*Chapter 13. Complete Markets Aggregation, pg. 269*Chapter 14. Periodic Models of Seasonality, pg. 291*Appendix A. MATLAB Programs, pg. 327*References, pg. 379*Subject Index, pg. 393*Author Index, pg. 397*MATLAB Index, pg. 399*The Gorman Lectures in Economics, pg. 401

by "Nielsen BookData"

Details

• NCID: BB14432445
• ISBN:
  • 9780691042770
• LCCN: 2013016059
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Princeton, N.J.
• Pages/Volumes: xv, 399 p.
• Size: 27 cm
• Classification:
  • LCC : HB135
  • DC23 : 330.01/511352
• Subject Headings:
  • LCSH : Economics -- Mathematical models
• Parent Bibliography ID:
  • BA67149026