Recursive models of dynamic linear economies
著者
書誌事項
Recursive models of dynamic linear economies
（The Gorman lectures in economics / series editor, Richard Blundell）
Princeton University Press, c2014
- : hardcover
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注記
Includes bibliographical references (p. 379-392) and indexes
内容説明・目次
内容説明
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.
目次
*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
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