Details about Lars Peter Hansen

Homepage:	http://home.uchicago.edu/~lhansen
Workplace:	Department of Economics, University of Chicago, (more information at EDIRC)

Access statistics for papers by Lars Peter Hansen.

Last updated 2009-07-02. Update your information in the RePEc Author Service.

Short-id: pha303

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Working Papers

2009

1. Nonlinearity and Temporal Dependence
   CIRANO Working Papers, CIRANO
   Also in Working Papers, Yale University, Department of Economics (2008)
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2008) View citations
2. Principal Components and Long Run Implications of Multivariate Diffusions
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2008

3. Modeling the Long Run: Valuation in Dynamic Stochastic Economies
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2007

4. Beliefs, Doubts and Learning: Valuing Economic Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
5. Long-term Risk: An Operator Approach
   Levine's Bibliography, UCLA Department of Economics
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations
   See also Journal Article in Econometrica (2009)

2005

6. Consumption Strikes Back?: Measuring Long-Run Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Journal of Political Economy (2008)
7. Principal Components and the Long Run
   Levine's Bibliography, UCLA Department of Economics View citations
8. Recursive robust estimation and control without commitment
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre View citations
   See also Journal Article in Journal of Economic Theory (2007)

2000

9. Underidentification?
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations

1999

10. Micro Data and General Equilibrium Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations
    See also Chapter (1999)

1997

11. Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Business & Economic Statistics (1996)
12. Robust Permanent Income and Pricing
    Levine's Working Paper Archive, David K. Levine View citations
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations
    See also Journal Article in Review of Economic Studies (1999)

1995

13. On the mechanics of forming and estimating dynamic linear economies
    Staff Report, Federal Reserve Bank of Minneapolis View citations

1994

14. Assessing Specification Errors in Stochastic Discount Factor Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) View citations
    See also Journal Article in Journal of Finance (1997)
15. Mechanics of forming and estimating dynamic linear economies
    Staff Report, Federal Reserve Bank of Minneapolis View citations
    See also Chapter (1996)

1993

16. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1992)
17. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1995)
18. Econometric Evaluation of Asset Pricing Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Review of Financial Studies (1995)
19. Flat rate taxes with adjustment costs and several capital stocks and household types
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco
    See also Journal Article in Proceedings (1993)

1991

20. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Business & Economic Statistics (1990)

1990

21. Implications of Security Market Data for Models of Dynamic Economies
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations
    See also Journal Article in Journal of Political Economy (1991)
22. Recursive Linear Models of Dynamic Economies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Proceedings (1993)

1986

23. A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in The Quarterly Journal of Economics (1988)

1983

24. Identification of continuous time rational expectations models from discrete time data
    Staff Report, Federal Reserve Bank of Minneapolis View citations

1982

25. Formulating and estimating continuous time rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations

1981

26. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations
    See also Journal Article in Economics Letters (1981)
27. Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time
    Staff Report, Federal Reserve Bank of Minneapolis View citations
    See also Journal Article in International Economic Review (1983)
28. Exact linear rational expectations models: specification and estimation
    Staff Report, Federal Reserve Bank of Minneapolis View citations
29. Instrumental variables procedures for estimating linear rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations
    See also Journal Article in Journal of Monetary Economics (1982)
30. The dimensionality of the aliasing problem in models with rational spectral densities
    Staff Report, Federal Reserve Bank of Minneapolis View citations
    See also Journal Article in Econometrica (1983)

1980

31. Linear rational expectations models for dynamically interrelated variables
    Working Papers, Federal Reserve Bank of Minneapolis View citations
32. Methods for estimating continuous time Rational Expectations models from discrete time data
    Staff Report, Federal Reserve Bank of Minneapolis View citations
33. Rational expectations models and the aliasing phenomenon
    Staff Report, Federal Reserve Bank of Minneapolis View citations

1979

34. Formulating and estimating dynamic linear rational expectations models
    Working Papers, Federal Reserve Bank of Minneapolis View citations
    See also Journal Article in Journal of Economic Dynamics and Control (1980)

Undated

35. An Appreciation of A. W. Phillips
    Papers, Stanford University, Hoover Institution
36. Perturbation Methods for Risk-Sensitive Economies
    Computing in Economics and Finance 1996, Society for Computational Economics
37. Small Sample Properties of Alternative GMM Estimators
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations

Journal Articles

2009

1. Long-Term Risk: An Operator Approach
   Econometrica, 2009, 77, (1), 177-234 View citations
   See also Working Paper (2007)

2008

2. Consumption Strikes Back? Measuring Long-Run Risk
   Journal of Political Economy, 2008, 116, (2), 260-302 View citations
   See also Working Paper (2005)
3. Robustness and U.S. Monetary Policy Experimentation
   Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623

2007

4. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
   American Economic Review, 2007, 97, (2), 1-30 View citations
5. Recursive robust estimation and control without commitment
   Journal of Economic Theory, 2007, 136, (1), 1-27 View citations
   See also Working Paper (2005)

2006

6. Introduction to model uncertainty and robustness
   Journal of Economic Theory, 2006, 128, (1), 1-3 View citations
7. Robust control and model misspecification
   Journal of Economic Theory, 2006, 128, (1), 45-90 View citations

2005

8. Certainty equivalence and model uncertainty
   Proceedings, 2005, 17-38 View citations
9. Model uncertainty and policy evaluation: some theory and empirics - comments
   Proceedings, 2005
10. Robust estimation and control under commitment
    Journal of Economic Theory, 2005, 124, (2), 258-301 View citations

2004

11. AN INTERVIEW WITH CHRISTOPHER A. SIMS
    Macroeconomic Dynamics, 2004, 8, (02), 273-294
12. Empirical and policy performance of a forward-looking monetary model, comments
    Proceedings, 2004, (Mar)

2003

13. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
    Journal of the European Economic Association, 2003, 1, (1), 68-123 View citations
14. Robust control of forward-looking models
    Journal of Monetary Economics, 2003, 50, (3), 581-604 View citations

2002

15. ROBUST PERMANENT INCOME AND PRICING WITH FILTERING
    Macroeconomic Dynamics, 2002, 6, (01), 40-84 View citations
16. Robustness and Pricing with Uncertain Growth
    Review of Financial Studies, 2002, 15, (2), 363-404 View citations

2001

17. Acknowledgement Misspecification in Macroeconomic Theory
    Monetary and Economic Studies, 2001, 19, (S1), 213-27
18. Acknowledging Misspecification in Macroeconomic Theory
    Review of Economic Dynamics, 2001, 4, (3), 519-535 View citations
19. Robust Control and Model Uncertainty
    American Economic Review, 2001, 91, (2), 60-66 View citations

1999

20. Robust Permanent Income and Pricing
    Review of Economic Studies, 1999, 66, (4), 873-907 View citations
    See also Working Paper (1997)

1998

21. Spectral methods for identifying scalar diffusions
    Journal of Econometrics, 1998, 86, (1), 1-32 View citations

1997

22. Assessing Specification Errors in Stochastic Discount Factor Models
    Journal of Finance, 1997, 52, (2), 557-90 View citations
    See also Working Paper (1994)
23. BOOTSTRAPPING THE LONG RUN
    Macroeconomic Dynamics, 1997, 1, (02), 279-311 View citations

1996

24. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
    Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations
    See also Working Paper (1997)
25. Finite-Sample Properties of Some Alternative GMM Estimators
    Journal of Business & Economic Statistics, 1996, 14, (3), 262-80 View citations
26. The Empirical Foundations of Calibration
    Journal of Economic Perspectives, 1996, 10, (1), 87-104 View citations

1995

27. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    Econometrica, 1995, 63, (4), 767-804 View citations
    See also Working Paper (1993)
28. Econometric Evaluation of Asset Pricing Models
    Review of Financial Studies, 1995, 8, (2), 237-74 View citations
    See also Working Paper (1993)

1993

29. Flat rate taxes with adjustment costs and several capital stocks and household types
    Proceedings, 1993, (Mar)
    See also Working Paper (1993)
30. Recursive linear models of dynamic economies
    Proceedings, 1993, (Mar) View citations
    See also Working Paper (1990)
31. Seasonality and approximation errors in rational expectations models
    Journal of Econometrics, 1993, 55, (1-2), 21-55 View citations

1991

32. Implications of Security Market Data for Models of Dynamic Economies
    Journal of Political Economy, 1991, 99, (2), 225-62 View citations
    See also Working Paper (1990)

1990

33. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    Journal of Business & Economic Statistics, 1990, 8, (1), 53-69 View citations
    See also Working Paper (1991)
34. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
    Journal of Econometrics, 1990, 45, (1-2), 141-179 View citations

1988

35. A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty
    The Quarterly Journal of Economics, 1988, 103, (1), 51-78 View citations
    See also Working Paper (1986)

1987

36. The Role of Conditioning Information in Deducing Testable
    Econometrica, 1987, 55, (3), 587-613 View citations

1986

37. Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Comment
    Journal of Business & Economic Statistics, 1986, 4, (4), 418-21

1985

38. A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
    Journal of Econometrics, 1985, 30, (1-2), 203-238 View citations

1983

39. Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time
    International Economic Review, 1983, 24, (1), 1-20
    See also Working Paper (1981)
40. Multiperiod Probit Models and Orthogonality Condition Estimation
    International Economic Review, 1983, 24, (1), 21-35 View citations
41. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
    Journal of Political Economy, 1983, 91, (2), 249-65 View citations
42. The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
    Econometrica, 1983, 51, (2), 377-87 View citations
    See also Working Paper (1981)

1982

43. Consumption, asset markets, and macroeconomic fluctuations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1982, 17, (1), 239-250
44. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    Econometrica, 1982, 50, (5), 1269-86 View citations
45. Instrumental variables procedures for estimating linear rational expectations models
    Journal of Monetary Economics, 1982, 9, (3), 263-296 View citations
    See also Working Paper (1981)
46. Large Sample Properties of Generalized Method of Moments Estimators
    Econometrica, 1982, 50, (4), 1029-54 View citations

1981

47. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Economics Letters, 1981, 8, (3), 255-260 View citations
    See also Working Paper (1981)

1980

48. Formulating and estimating dynamic linear rational expectations models
    Journal of Economic Dynamics and Control, 1980, 2, (1), 7-46 View citations
    See also Working Paper (1979)
49. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 View citations

1978

50. A note on first degree stochastic dominance
    Economics Letters, 1978, 1, (4), 315-319 View citations

Chapters

2007

1. Intertemporal Substitution and Risk Aversion
   Chapter 61 in Handbook of Econometrics, 2007, vol. 6A View citations
2. Introduction to Robustness
   A chapter in Robustness, 2007

2005

3. Intangible Risk
   A chapter in Measuring Capital in the New Economy, 2005, pp 111-152

1999

4. Micro data and general equilibrium models
   Chapter 08 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 543-633 View citations
   See also Working Paper (1999)

1996

5. Mechanics of forming and estimating dynamic linear economies
   Chapter 04 in Handbook of Computational Economics, 1996, vol. 1, pp 171-252 View citations
   See also Working Paper (1994)

1992

6. Asset Pricing Explorations for Macroeconomics
   A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 View citations
   See also Working Paper (1993)

1983

7. Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
   A chapter in Exchange Rates and International Macroeconomics, 1983, pp 113-152 View citations

Software Items

1995

1. Matlab code for robust Muth decision filter
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
2. Matlab code for robustifying Muth Filter
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles

Undated

3. Matlab programs by Hansen and T. Sargent
   Matlab codes