Recursive Models of Dynamic Linear Economies
Language: English
Published by Princeton University Press, 2014
- Hardcover
- New

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Seller Inventory # WP-9780691042770
- Title
- Recursive Models of Dynamic Linear Economies
- Author
- Lars Peter Hansen
- Publisher
- Princeton University Press
- Publication year
- 2014
- Condition
- New
- Binding
- HRD
- Language
- English
- ISBN 10
- 0691042772
- ISBN 13
- 9780691042770
- Item weight
- 1,002 grams
- Series
- Book 4 of 5: The Gorman Lectures in Economics
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.
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