Recursive Linear Models of Dynamic Economies

Lars Peter Hansen and Thomas Sargent ()

No 3479, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper describes a class of dynamic stochastic linear quadratic equilibrium models. A model is specified by naming lists of matrices that determine preferences, technology, and the information structure. Aggregate equilibrium allocations and prices are computed by solving a social planning problem in the form of an optimal linear regulator. Heterogeneity among agents is permitted. Several examples are computed.

Date: Written
Note: EFG
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Journal Article: Recursive linear models of dynamic economies (1993)
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