Details about Lars Peter Hansen
Access statistics for papers by Lars Peter Hansen.
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Short-id: pha303
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Working Papers
2022
- Making Decisions under Model Misspecification
Papers, arXiv.org View citations (4)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (5) Working Papers, Becker Friedman Institute for Research In Economics (2020) View citations (4)
2021
- Climate Change Uncertainty Spillover in the Macroeconomy
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
See also Chapter (2021) Journal Article in NBER Macroeconomics Annual (2022)
- Rational Policymaking during a Pandemic
Post-Print, HAL View citations (5)
Also in Working Papers, IESEG School of Management (2020) View citations (3)
2020
- Robust Identification of Investor Beliefs
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (8) Working Papers, Becker Friedman Institute for Research In Economics (2020) View citations (8)
See also Journal Article in Proceedings of the National Academy of Sciences (2020)
- Uncertainty Spillovers for Markets and Policy
Working Papers, Becker Friedman Institute for Research In Economics View citations (2)
See also Journal Article in Annual Review of Economics (2021)
- Uncertainty and Decision-Making During a Crisis: How to Make Policy Decisions in the COVID-19 Context?
Working Papers, Becker Friedman Institute for Research In Economics View citations (1)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (1)
2019
- Macroeconomic Uncertainty Prices when Beliefs are Tenuous
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
See also Journal Article in Journal of Econometrics (2021)
2017
- The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics
Natural Field Experiments, The Field Experiments Website View citations (3)
2016
- Sets of Models and Prices of Uncertainty
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
- Term Structure of Uncertainty in the Macroeconomy
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Chapter (2016)
2015
- Misspecified Recovery
Papers, arXiv.org View citations (8)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (15) Working Papers, Princeton University, Department of Economics, Econometric Research Program. (2015) View citations (3)
See also Journal Article in Journal of Finance (2016)
2014
- Biographical
Nobel Prize in Economics documents, Nobel Prize Committee
- Shock Elasticities and Impulse Responses
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
- Uncertainty Outside and Inside Economic Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
Also in Nobel Prize in Economics documents, Nobel Prize Committee (2013) View citations (19)
2013
- Challenges in Identifying and Measuring Systemic Risk
Working Papers, CEMFI View citations (38)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (26)
See also Chapter (2013)
- Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
Nobel Prize in Economics documents, Nobel Prize Committee
- Stochastic Compounding and Uncertain Valuation
Working Papers, Princeton University, Department of Economics, Econometric Research Program.
2012
- Examining macroeconomic models through the lens of asset pricing
Working Paper Series, Federal Reserve Bank of Chicago View citations (6)
See also Journal Article in Journal of Econometrics (2014)
- Recursive utility in a Markov environment with stochastic growth
Working Papers, Princeton University, Department of Economics, Econometric Research Program. View citations (22)
2009
- Managing expectations and fiscal policy
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
- Nonlinearity and Temporal Dependence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
Also in CIRANO Working Papers, CIRANO (2009) View citations (2) Working Papers, Yale University, Department of Economics (2008) View citations (5) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (15)
See also Journal Article in Journal of Econometrics (2010)
- Principal Components and Long Run Implications of Multivariate Diffusions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
- Principal components and the long run
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (22)
Also in Levine's Bibliography, UCLA Department of Economics (2005) View citations (15)
- Risk Price Dynamics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in Working Papers, Princeton University, Department of Economics, Econometric Research Program. (2009)
- Underidentification?
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies 
Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
See also Journal Article in Journal of Econometrics (2012)
- Underidentification? (Resumen)
Working Papers, CEMFI View citations (7)
2008
- Modeling the Long Run: Valuation in Dynamic Stochastic Economies
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
- Robustness and US Monetary
2008 Meeting Papers, Society for Economic Dynamics View citations (26)
2007
- Beliefs, Doubts and Learning: Valuing Economic Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (123)
- Long-term Risk: An Operator Approach
Levine's Bibliography, UCLA Department of Economics View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (1)
See also Journal Article in Econometrica (2009)
2005
- Consumption Strikes Back?: Measuring Long-Run Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
See also Journal Article in Journal of Political Economy (2008)
- Recursive robust estimation and control without commitment
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (7)
See also Journal Article in Journal of Economic Theory (2007)
2003
- Advances in economics and econometrics:theory and applications
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (406)
1999
- Micro Data and General Equilibrium Models
Discussion Papers, University of Copenhagen. Department of Economics View citations (335)
See also Chapter (1999)
1997
- 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)
- Robust Permanent Income and Pricing
Levine's Working Paper Archive, David K. Levine View citations (20)
Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (21)
See also Chapter (2014) Journal Article in Review of Economic Studies (1999)
1995
- On the mechanics of forming and estimating dynamic linear economies
Staff Report, Federal Reserve Bank of Minneapolis View citations (12)
Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) View citations (51)
See also Chapter (1996)
1994
- Assessing Specification Errors in Stochastic Discount Factor Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) View citations (7)
See also Journal Article in Journal of Finance (1997)
1993
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (35)
See also Journal Article in Econometrica (1995)
- Econometric Evaluation of Asset Pricing Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Review of Financial Studies (1995)
- 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)
1992
- Asset Pricing Explorations for Macroeconomics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (208)
See also Chapter (1992)
1990
- Implications of Security Market Data for Models of Dynamic Economies
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (31)
See also Journal Article in Journal of Political Economy (1991)
- Recursive Linear Models of Dynamic Economies
NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
See also Journal Article in Proceedings (1993)
1987
- Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Journal of Business & Economic Statistics (1990)
1986
- A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
See also Journal Article in The Quarterly Journal of Economics (1988)
1983
- Identification of continuous time rational expectations models from discrete time data
Staff Report, Federal Reserve Bank of Minneapolis View citations (3)
1982
- Formulating and estimating continuous time rational expectations models
Staff Report, Federal Reserve Bank of Minneapolis View citations (3)
1981
- A note on Wiener-Kolmogorov prediction formulas for rational expectations models
Staff Report, Federal Reserve Bank of Minneapolis View citations (26)
See also Journal Article in Economics Letters (1981)
- Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time
Staff Report, Federal Reserve Bank of Minneapolis View citations (5)
See also Journal Article in International Economic Review (1983)
- Exact linear rational expectations models: specification and estimation
Staff Report, Federal Reserve Bank of Minneapolis View citations (30)
- Instrumental variables procedures for estimating linear rational expectations models
Staff Report, Federal Reserve Bank of Minneapolis View citations (7)
See also Journal Article in Journal of Monetary Economics (1982)
- The dimensionality of the aliasing problem in models with rational spectral densities
Staff Report, Federal Reserve Bank of Minneapolis View citations (2)
See also Journal Article in Econometrica (1983)
1980
- Linear rational expectations models for dynamically interrelated variables
Working Papers, Federal Reserve Bank of Minneapolis View citations (23)
- Methods for estimating continuous time Rational Expectations models from discrete time data
Staff Report, Federal Reserve Bank of Minneapolis View citations (15)
- Rational expectations models and the aliasing phenomenon
Staff Report, Federal Reserve Bank of Minneapolis View citations (3)
1979
- Formulating and estimating dynamic linear rational expectations models
Working Papers, Federal Reserve Bank of Minneapolis View citations (22)
See also Journal Article in Journal of Economic Dynamics and Control (1980)
Undated
- Perturbation Methods for Risk-Sensitive Economies
Computing in Economics and Finance 1996, Society for Computational Economics View citations (1)
- Small Sample Properties of Alternative GMM Estimators
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
Journal Articles
2022
- Central banking challenges posed by uncertain climate change and natural disasters
Journal of Monetary Economics, 2022, 125, (C), 1-15 View citations (6)
- Climate Change Uncertainty Spillover in the Macroeconomy
NBER Macroeconomics Annual, 2022, 36, (1), 253 - 320 
See also Chapter (2021) Working Paper (2021)
- Structured ambiguity and model misspecification
Journal of Economic Theory, 2022, 199, (C) View citations (4)
2021
- Macroeconomic uncertainty prices when beliefs are tenuous
Journal of Econometrics, 2021, 223, (1), 222-250 View citations (2)
See also Working Paper (2019)
- Uncertainty Spillovers for Markets and Policy
Annual Review of Economics, 2021, 13, (1), 371-396 
See also Working Paper (2020)
2020
- Pricing Uncertainty Induced by Climate Change
Review of Financial Studies, 2020, 33, (3), 1024-1066 View citations (48)
- Robust identification of investor beliefs
Proceedings of the National Academy of Sciences, 2020, 117, (52), 33130-33140 View citations (8)
See also Working Paper (2020)
- Twisted probabilities, uncertainty, and prices
Journal of Econometrics, 2020, 216, (1), 151-174 View citations (2)
2018
- Aversion to ambiguity and model misspecification in dynamic stochastic environments
Proceedings of the National Academy of Sciences, 2018, 115, (37), 9163-9168 View citations (13)
- Comment
NBER Macroeconomics Annual, 2018, 32, (1), 479 - 489
2017
- Time-Series Econometrics in Macroeconomics and Finance
Journal of Political Economy, 2017, 125, (6), 1774 - 1782
- ПОСЛЕДСТВИЯ НЕОПРЕДЕЛЕННОСТИ ДЛЯ ЭКОНОМИЧЕСКОГО АНАЛИЗА // THE CONSEQUENCES OF UNCERTAINTY FOR ECONOMIC ANALYSIS
Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, 2015, (2), 6-12
2016
- Misspecified Recovery
Journal of Finance, 2016, 71, (6), 2493-2544 View citations (17)
See also Working Paper (2015)
2015
- Four types of ignorance
Journal of Monetary Economics, 2015, 69, (C), 97-113 View citations (7)
- [Robust Control and Model Uncertainty], Belirsizlik Modeli ve Saðlamlýlýk Kontrolü
Journal of Economics Bibliography, 2015, 2, (2), 57-65
2014
- Examining macroeconomic models through the lens of asset pricing
Journal of Econometrics, 2014, 183, (1), 67-90 View citations (29)
See also Working Paper (2012)
- Nobel Lecture: Uncertainty Outside and Inside Economic Models
Journal of Political Economy, 2014, 122, (5), 945 - 987 View citations (70)
2012
- Comment
NBER Macroeconomics Annual, 2012, 26, (1), 132 - 143
- Dynamic Valuation Decomposition Within Stochastic Economies
Econometrica, 2012, 80, (3), 911-967 View citations (52)
- Pricing growth-rate risk
Finance and Stochastics, 2012, 16, (1), 1-15 View citations (18)
- Proofs for large sample properties of generalized method of moments estimators
Journal of Econometrics, 2012, 170, (2), 325-330 View citations (6)
- Small noise methods for risk-sensitive/robust economies
Journal of Economic Dynamics and Control, 2012, 36, (4), 468-500 View citations (22)
- Three types of ambiguity
Journal of Monetary Economics, 2012, 59, (5), 422-445 View citations (35)
See also Chapter (2014)
- Underidentification?
Journal of Econometrics, 2012, 170, (2), 256-280 
See also Working Paper (2009)
2011
- Robustness and ambiguity in continuous time
Journal of Economic Theory, 2011, 146, (3), 1195-1223 View citations (18)
2010
- Fragile beliefs and the price of uncertainty
Quantitative Economics, 2010, 1, (1), 129-162 View citations (80)
See also Chapter (2014)
- Nonlinearity and temporal dependence
Journal of Econometrics, 2010, 155, (2), 155-169 View citations (37)
See also Working Paper (2009)
- Robust hidden Markov LQG problems
Journal of Economic Dynamics and Control, 2010, 34, (10), 1951-1966 View citations (5)
2009
- Doubts or variability?
Journal of Economic Theory, 2009, 144, (6), 2388-2418 View citations (112)
See also Chapter (2014)
- Long-Term Risk: An Operator Approach
Econometrica, 2009, 77, (1), 177-234 View citations (177)
See also Working Paper (2007)
2008
- Consumption Strikes Back? Measuring Long-Run Risk
Journal of Political Economy, 2008, 116, (2), 260-302 View citations (319)
See also Working Paper (2005)
- Robustness and U.S. Monetary Policy Experimentation
Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 View citations (63)
Also in Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 (2008) View citations (8)
2007
- Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
American Economic Review, 2007, 97, (2), 1-30 View citations (127)
See also Chapter (2014)
- Recursive robust estimation and control without commitment
Journal of Economic Theory, 2007, 136, (1), 1-27 View citations (90)
See also Working Paper (2005)
2006
- Introduction to model uncertainty and robustness
Journal of Economic Theory, 2006, 128, (1), 1-3 View citations (3)
- Robust control and model misspecification
Journal of Economic Theory, 2006, 128, (1), 45-90 View citations (139)
See also Chapter (2014)
2005
- Certainty equivalence and model uncertainty
Proceedings, 2005, 17-38 View citations (5)
- Model uncertainty and policy evaluation: some theory and empirics - comments
Proceedings, 2005
- Robust estimation and control under commitment
Journal of Economic Theory, 2005, 124, (2), 258-301 View citations (77)
2004
- AN INTERVIEW WITH CHRISTOPHER A. SIMS
Macroeconomic Dynamics, 2004, 8, (2), 273-294 View citations (6)
- Empirical and policy performance of a forward-looking monetary model, comments
Proceedings, 2004, (Mar)
2003
- 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 (258)
See also Chapter (2014)
- Robust control of forward-looking models
Journal of Monetary Economics, 2003, 50, (3), 581-604 View citations (126)
2002
- ROBUST PERMANENT INCOME AND PRICING WITH FILTERING
Macroeconomic Dynamics, 2002, 6, (1), 40-84 View citations (83)
- Robustness and Pricing with Uncertain Growth
Review of Financial Studies, 2002, 15, (2), 363-404 View citations (95)
2001
- Acknowledgement Misspecification in Macroeconomic Theory
Monetary and Economic Studies, 2001, 19, (S1), 213-227 View citations (43)
- Acknowledging Misspecification in Macroeconomic Theory
Review of Economic Dynamics, 2001, 4, (3), 519-535 View citations (115)
- Robust Control and Model Uncertainty
American Economic Review, 2001, 91, (2), 60-66 View citations (564)
See also Chapter (2014)
1999
- Robust Permanent Income and Pricing
Review of Economic Studies, 1999, 66, (4), 873-907 View citations (289)
See also Working Paper (1997) Chapter (2014)
1998
- Spectral methods for identifying scalar diffusions
Journal of Econometrics, 1998, 86, (1), 1-32 View citations (60)
1997
- Assessing Specification Errors in Stochastic Discount Factor Models
Journal of Finance, 1997, 52, (2), 557-90 View citations (362)
See also Working Paper (1994)
- BOOTSTRAPPING THE LONG RUN
Macroeconomic Dynamics, 1997, 1, (2), 279-311 View citations (19)
1996
- Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations (60)
See also Working Paper (1997)
- Finite-Sample Properties of Some Alternative GMM Estimators
Journal of Business & Economic Statistics, 1996, 14, (3), 262-80 View citations (605)
- The Empirical Foundations of Calibration
Journal of Economic Perspectives, 1996, 10, (1), 87-104 View citations (188)
1995
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Econometrica, 1995, 63, (4), 767-804 View citations (139)
See also Working Paper (1993)
- Econometric Evaluation of Asset Pricing Models
Review of Financial Studies, 1995, 8, (2), 237-74 View citations (105)
See also Working Paper (1993)
1993
- Flat rate taxes with adjustment costs and several capital stocks and household types
Proceedings, 1993, (Mar)
See also Working Paper (1993)
- Recursive linear models of dynamic economies
Proceedings, 1993, (Mar) View citations (43)
See also Working Paper (1990)
- Seasonality and approximation errors in rational expectations models
Journal of Econometrics, 1993, 55, (1-2), 21-55 View citations (67)
1991
- Implications of Security Market Data for Models of Dynamic Economies
Journal of Political Economy, 1991, 99, (2), 225-62 View citations (741)
See also Working Paper (1990)
1990
- Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
Journal of Business & Economic Statistics, 1990, 8, (1), 53-69 View citations (164)
See also Working Paper (1987)
- 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 (68)
1988
- 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 (341)
See also Working Paper (1986)
1987
- The Role of Conditioning Information in Deducing Testable
Econometrica, 1987, 55, (3), 587-613 View citations (368)
1986
- 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 View citations (3)
1985
- 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 (82)
1983
- Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time
International Economic Review, 1983, 24, (1), 1-20 View citations (7)
See also Working Paper (1981)
- Multiperiod Probit Models and Orthogonality Condition Estimation
International Economic Review, 1983, 24, (1), 21-35 View citations (67)
- Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Journal of Political Economy, 1983, 91, (2), 249-65 View citations (692)
- The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
Econometrica, 1983, 51, (2), 377-87 View citations (38)
See also Working Paper (1981)
1982
- Consumption, asset markets, and macroeconomic fluctuations: A comment
Carnegie-Rochester Conference Series on Public Policy, 1982, 17, (1), 239-250
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Econometrica, 1982, 50, (5), 1269-86 View citations (1069)
- Instrumental variables procedures for estimating linear rational expectations models
Journal of Monetary Economics, 1982, 9, (3), 263-296 View citations (45)
See also Working Paper (1981)
- Large Sample Properties of Generalized Method of Moments Estimators
Econometrica, 1982, 50, (4), 1029-54 View citations (5664)
1981
- A note on Wiener-Kolmogorov prediction formulas for rational expectations models
Economics Letters, 1981, 8, (3), 255-260 View citations (27)
See also Working Paper (1981)
1980
- Formulating and estimating dynamic linear rational expectations models
Journal of Economic Dynamics and Control, 1980, 2, (1), 7-46 View citations (440)
See also Working Paper (1979)
- Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
Journal of Political Economy, 1980, 88, (5), 829-53 View citations (825)
1978
- A note on first degree stochastic dominance
Economics Letters, 1978, 1, (4), 315-319 View citations (1)
Undated
- Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
The Journal of Financial Econometrics, 18, (4), 715-720
- Repercussions of Pandemics on Markets and Policy
The Review of Asset Pricing Studies, 10, (4), 569-573
Books
2014
- Uncertainty within Economic Models
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (9)
2013
- Recursive Models of Dynamic Linear Economies
Economics Books, Princeton University Press View citations (28)
Edited books
2003
- Advances in Economics and Econometrics
Cambridge Books, Cambridge University Press View citations (773)
- Advances in Economics and Econometrics
Cambridge Books, Cambridge University Press View citations (773)
- Advances in Economics and Econometrics
Cambridge Books, Cambridge University Press View citations (773)
- Advances in Economics and Econometrics
Cambridge Books, Cambridge University Press View citations (773)
- Advances in Economics and Econometrics
Cambridge Books, Cambridge University Press View citations (773)
- Advances in Economics and Econometrics
Cambridge Books, Cambridge University Press View citations (773)
Chapters
2021
- Climate Change Uncertainty Spillover in the Macroeconomy
A chapter in NBER Macroeconomics Annual 2021, volume 36, 2021, pp 253-320 View citations (7)
See also Working Paper (2021) Journal Article in NBER Macroeconomics Annual (2022)
2017
- Comment on "Survey Measurement of Probabilistic Economic Expectations: Progress and Promise"
A chapter in NBER Macroeconomics Annual 2017, volume 32, 2017, pp 479-489
2016
- Term Structure of Uncertainty in the Macroeconomy
Elsevier View citations (1)
See also Working Paper (2016)
2014
- A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
Chapter 4 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 83-143 
See also Journal Article in Journal of the European Economic Association (2003)
- Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
Chapter 10 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 331-377 
See also Journal Article in American Economic Review (2007)
- Discounted Linear Exponential Quadratic Gaussian Control
Chapter 2 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 23-32
- Doubts or Variability?
Chapter 7 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 217-256 
See also Journal Article in Journal of Economic Theory (2009)
- Fragile Beliefs and the Price of Uncertainty
Chapter 9 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 293-330 
See also Journal Article in Quantitative Economics (2010)
- Introduction
Chapter 1 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 1-21
- Robust Control and Model Misspecification
Chapter 6 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 155-216 
See also Journal Article in Journal of Economic Theory (2006)
- Robust Control and Model Uncertainty
Chapter 5 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 145-154 
See also Journal Article in American Economic Review (2001)
- Robust Estimation and Control without Commitment
Chapter 8 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 257-291
- Robust Permanent Income and Pricing
Chapter 3 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 33-81 
See also Working Paper (1997) Journal Article in Review of Economic Studies (1999)
- Three Types of Ambiguity
Chapter 11 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 379-430 
See also Journal Article in Journal of Monetary Economics (2012)
2013
- Challenges in Identifying and Measuring Systemic Risk
A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 15-30 View citations (2)
See also Working Paper (2013)
- Risk Pricing over Alternative Investment Horizons
Elsevier View citations (8)
2011
- Comment on "House Price Booms and the Current Account"
A chapter in NBER Macroeconomics Annual 2011, Volume 26, 2011, pp 132-143
2010
- Wanting Robustness in Macroeconomics
Chapter 20 in Handbook of Monetary Economics, 2010, vol. 3, pp 1097-1157 View citations (40)
2008
- Time Inconsistency of Robust Control?
Chapter 7 in Macroeconomics in the Small and the Large, 2008 View citations (41)
2007
- Intertemporal Substitution and Risk Aversion
Chapter 61 in Handbook of Econometrics, 2007, vol. 6A View citations (74)
- Introduction to Robustness
A chapter in Robustness, 2007 View citations (87)
2005
- Intangible Risk
A chapter in Measuring Capital in the New Economy, 2005, pp 111-152 View citations (3)
1999
- Micro data and general equilibrium models
Chapter 08 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 543-633 View citations (351)
See also Working Paper (1999)
1996
- Mechanics of forming and estimating dynamic linear economies
Chapter 04 in Handbook of Computational Economics, 1996, vol. 1, pp 171-252 View citations (142)
See also Working Paper (1995)
1992
- Asset Pricing Explorations for Macroeconomics
A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 View citations (208)
See also Working Paper (1992)
1983
- 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 (133)
Software Items
1995
- Matlab code for robust Muth decision filter
QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
- Matlab code for robustifying Muth Filter
QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
Undated
- Matlab programs by Hansen and T. Sargent
Matlab codes
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