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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 2022-08-16. Update your information in the RePEc Author Service.

Short-id: pha303


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Working Papers

2022

  1. Making Decisions under Model Misspecification
    Papers, arXiv.org Downloads View citations (5)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) Downloads View citations (5)
    Working Papers, Becker Friedman Institute for Research In Economics (2020) Downloads View citations (4)

2021

  1. Climate Change Uncertainty Spillover in the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article Climate Change Uncertainty Spillover in the Macroeconomy, NBER Macroeconomics Annual, University of Chicago Press (2022) Downloads View citations (2) (2022)
    Chapter Climate Change Uncertainty Spillover in the Macroeconomy, NBER Chapters, National Bureau of Economic Research, Inc (2021) View citations (10) (2021)
  2. Rational Policymaking during a Pandemic
    Post-Print, HAL Downloads View citations (8)
    Also in Working Papers, IESEG School of Management (2020) Downloads View citations (3)

2020

  1. Robust Identification of Investor Beliefs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in Working Papers, Becker Friedman Institute for Research In Economics (2020) Downloads View citations (8)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) Downloads View citations (8)

    See also Journal Article Robust identification of investor beliefs, Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences (2020) Downloads View citations (8) (2020)
  2. Uncertainty Spillovers for Markets and Policy
    Working Papers, Becker Friedman Institute for Research In Economics Downloads View citations (2)
    See also Journal Article Uncertainty Spillovers for Markets and Policy, Annual Review of Economics, Annual Reviews (2021) Downloads (2021)
  3. 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 Downloads View citations (2)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) Downloads View citations (2)

2019

  1. Macroeconomic Uncertainty Prices when Beliefs are Tenuous
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article Macroeconomic uncertainty prices when beliefs are tenuous, Journal of Econometrics, Elsevier (2021) Downloads View citations (4) (2021)

2017

  1. 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 Downloads View citations (3)

2016

  1. Sets of Models and Prices of Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. Term Structure of Uncertainty in the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Chapter Term Structure of Uncertainty in the Macroeconomy, Handbook of Macroeconomics, Elsevier (2016) Downloads View citations (4) (2016)

2015

  1. Misspecified Recovery
    Working Papers, Princeton University, Department of Economics, Econometric Research Program. Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (15)
    Papers, arXiv.org (2015) Downloads View citations (8)

    See also Journal Article Misspecified Recovery, Journal of Finance, American Finance Association (2016) Downloads View citations (20) (2016)

2014

  1. Biographical
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads
  2. Shock Elasticities and Impulse Responses
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
  3. Uncertainty Outside and Inside Economic Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (76)
    Also in Nobel Prize in Economics documents, Nobel Prize Committee (2013) Downloads View citations (21)

2013

  1. Challenges in Identifying and Measuring Systemic Risk
    Working Papers, CEMFI Downloads View citations (38)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (27)

    See also Chapter Challenges in Identifying and Measuring Systemic Risk, NBER Chapters, National Bureau of Economic Research, Inc (2013) Downloads View citations (2) (2013)
  2. Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads
  3. Stochastic Compounding and Uncertain Valuation
    Working Papers, Princeton University, Department of Economics, Econometric Research Program. Downloads

2012

  1. Examining macroeconomic models through the lens of asset pricing
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (6)
    See also Journal Article Examining macroeconomic models through the lens of asset pricing, Journal of Econometrics, Elsevier (2014) Downloads View citations (29) (2014)
  2. Recursive utility in a Markov environment with stochastic growth
    Working Papers, Princeton University, Department of Economics, Econometric Research Program. Downloads View citations (25)

2009

  1. Managing expectations and fiscal policy
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (19)
  2. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in CIRANO Working Papers, CIRANO (2009) Downloads View citations (2)
    Working Papers, Yale University, Department of Economics (2008) Downloads View citations (5)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads View citations (15)

    See also Journal Article Nonlinearity and temporal dependence, Journal of Econometrics, Elsevier (2010) Downloads View citations (39) (2010)
  3. Principal Components and Long Run Implications of Multivariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (21)
  4. Principal components and the long run
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (24)
    Also in Levine's Bibliography, UCLA Department of Economics (2005) Downloads View citations (15)
  5. Risk Price Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Working Papers, Princeton University, Department of Economics, Econometric Research Program. (2009) Downloads
  6. Underidentification?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (13)

    See also Journal Article Underidentification?, Journal of Econometrics, Elsevier (2012) Downloads (2012)
  7. Underidentification? (Resumen)
    Working Papers, CEMFI Downloads View citations (7)

2008

  1. Modeling the Long Run: Valuation in Dynamic Stochastic Economies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
  2. Robustness and US Monetary
    2008 Meeting Papers, Society for Economic Dynamics View citations (26)

2007

  1. Beliefs, Doubts and Learning: Valuing Economic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (127)
  2. Long-term Risk: An Operator Approach
    Levine's Bibliography, UCLA Department of Economics Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (1)

    See also Journal Article Long-Term Risk: An Operator Approach, Econometrica, Econometric Society (2009) Downloads View citations (182) (2009)

2005

  1. Consumption Strikes Back?: Measuring Long-Run Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
    See also Journal Article Consumption Strikes Back? Measuring Long-Run Risk, Journal of Political Economy, University of Chicago Press (2008) Downloads View citations (338) (2008)
  2. Recursive robust estimation and control without commitment
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (7)
    See also Journal Article Recursive robust estimation and control without commitment, Journal of Economic Theory, Elsevier (2007) Downloads View citations (97) (2007)

2003

  1. Advances in economics and econometrics:theory and applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (413)

1999

  1. Micro Data and General Equilibrium Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (347)
    See also Chapter Micro data and general equilibrium models, Handbook of Macroeconomics, Elsevier (1999) Downloads View citations (359) (1999)

1997

  1. Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (64) (1996)
  2. Robust Permanent Income and Pricing
    Levine's Working Paper Archive, David K. Levine Downloads View citations (20)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (21)

    See also Journal Article Robust Permanent Income and Pricing, The Review of Economic Studies, Review of Economic Studies Ltd (1999) Downloads View citations (293) (1999)
    Chapter Robust Permanent Income and Pricing, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2014) Downloads (2014)

1995

  1. On the mechanics of forming and estimating dynamic linear economies
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (12)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) Downloads View citations (51)

    See also Chapter Mechanics of forming and estimating dynamic linear economies, Handbook of Computational Economics, Elsevier (1996) Downloads View citations (143) (1996)

1994

  1. Assessing Specification Errors in Stochastic Discount Factor Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) Downloads View citations (9)

    See also Journal Article Assessing Specification Errors in Stochastic Discount Factor Models, Journal of Finance, American Finance Association (1997) Downloads View citations (369) (1997)

1993

  1. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
    See also Journal Article Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes, Econometrica, Econometric Society (1995) Downloads View citations (142) (1995)
  2. Econometric Evaluation of Asset Pricing Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article Econometric Evaluation of Asset Pricing Models, The Review of Financial Studies, Society for Financial Studies (1995) Downloads View citations (106) (1995)
  3. 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 Flat rate taxes with adjustment costs and several capital stocks and household types, Proceedings, Federal Reserve Bank of San Francisco (1993) (1993)

1992

  1. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (211)
    See also Chapter Asset Pricing Explorations for Macroeconomics, NBER Chapters, National Bureau of Economic Research, Inc (1992) Downloads View citations (213) (1992)

1990

  1. Implications of Security Market Data for Models of Dynamic Economies
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) Downloads View citations (31)

    See also Journal Article Implications of Security Market Data for Models of Dynamic Economies, Journal of Political Economy, University of Chicago Press (1991) Downloads View citations (767) (1991)
  2. Recursive Linear Models of Dynamic Economies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article Recursive linear models of dynamic economies, Proceedings, Federal Reserve Bank of San Francisco (1993) View citations (48) (1993)

1987

  1. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (169) (1990)

1986

  1. A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty, The Quarterly Journal of Economics, President and Fellows of Harvard College (1988) Downloads View citations (351) (1988)

1983

  1. Identification of continuous time rational expectations models from discrete time data
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (3)

1982

  1. Formulating and estimating continuous time rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (3)

1981

  1. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (26)
    See also Journal Article A note on Wiener-Kolmogorov prediction formulas for rational expectations models, Economics Letters, Elsevier (1981) Downloads View citations (32) (1981)
  2. Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (5)
    See also Journal Article Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1983) Downloads View citations (7) (1983)
  3. Exact linear rational expectations models: specification and estimation
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (30)
  4. Instrumental variables procedures for estimating linear rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (7)
    See also Journal Article Instrumental variables procedures for estimating linear rational expectations models, Journal of Monetary Economics, Elsevier (1982) Downloads View citations (49) (1982)
  5. The dimensionality of the aliasing problem in models with rational spectral densities
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (2)
    See also Journal Article The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities, Econometrica, Econometric Society (1983) Downloads View citations (41) (1983)

1980

  1. Linear rational expectations models for dynamically interrelated variables
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (23)
  2. Methods for estimating continuous time Rational Expectations models from discrete time data
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (15)
  3. Rational expectations models and the aliasing phenomenon
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (3)

1979

  1. Formulating and estimating dynamic linear rational expectations models
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (22)
    See also Journal Article Formulating and estimating dynamic linear rational expectations models, Journal of Economic Dynamics and Control, Elsevier (1980) Downloads View citations (450) (1980)

Undated

  1. Perturbation Methods for Risk-Sensitive Economies
    Computing in Economics and Finance 1996, Society for Computational Economics Downloads View citations (1)
  2. Small Sample Properties of Alternative GMM Estimators
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads

Journal Articles

2022

  1. Central banking challenges posed by uncertain climate change and natural disasters
    Journal of Monetary Economics, 2022, 125, (C), 1-15 Downloads View citations (11)
  2. Climate Change Uncertainty Spillover in the Macroeconomy
    NBER Macroeconomics Annual, 2022, 36, (1), 253 - 320 Downloads View citations (2)
    See also Chapter Climate Change Uncertainty Spillover in the Macroeconomy, NBER Chapters, 2021, 253-320 (2021) View citations (10) (2021)
    Working Paper Climate Change Uncertainty Spillover in the Macroeconomy, NBER Working Papers (2021) Downloads View citations (11) (2021)
  3. Structured ambiguity and model misspecification
    Journal of Economic Theory, 2022, 199, (C) Downloads View citations (6)

2021

  1. Macroeconomic uncertainty prices when beliefs are tenuous
    Journal of Econometrics, 2021, 223, (1), 222-250 Downloads View citations (4)
    See also Working Paper Macroeconomic Uncertainty Prices when Beliefs are Tenuous, NBER Working Papers (2019) Downloads View citations (2) (2019)
  2. Uncertainty Spillovers for Markets and Policy
    Annual Review of Economics, 2021, 13, (1), 371-396 Downloads
    See also Working Paper Uncertainty Spillovers for Markets and Policy, Working Papers (2020) Downloads View citations (2) (2020)

2020

  1. Pricing Uncertainty Induced by Climate Change
    The Review of Financial Studies, 2020, 33, (3), 1024-1066 Downloads View citations (83)
  2. Robust identification of investor beliefs
    Proceedings of the National Academy of Sciences, 2020, 117, (52), 33130-33140 Downloads View citations (8)
    See also Working Paper Robust Identification of Investor Beliefs, NBER Working Papers (2020) Downloads View citations (8) (2020)
  3. Twisted probabilities, uncertainty, and prices
    Journal of Econometrics, 2020, 216, (1), 151-174 Downloads View citations (2)

2018

  1. Aversion to ambiguity and model misspecification in dynamic stochastic environments
    Proceedings of the National Academy of Sciences, 2018, 115, (37), 9163-9168 Downloads View citations (17)
  2. Comment
    NBER Macroeconomics Annual, 2018, 32, (1), 479 - 489 Downloads

2017

  1. Time-Series Econometrics in Macroeconomics and Finance
    Journal of Political Economy, 2017, 125, (6), 1774 - 1782 Downloads
  2. 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 Downloads

2016

  1. Misspecified Recovery
    Journal of Finance, 2016, 71, (6), 2493-2544 Downloads View citations (20)
    See also Working Paper Misspecified Recovery, Working Papers (2015) Downloads View citations (3) (2015)

2015

  1. Four types of ignorance
    Journal of Monetary Economics, 2015, 69, (C), 97-113 Downloads View citations (8)
  2. [Robust Control and Model Uncertainty], Belirsizlik Modeli ve Saðlamlýlýk Kontrolü
    Journal of Economics Bibliography, 2015, 2, (2), 57-65 Downloads

2014

  1. Examining macroeconomic models through the lens of asset pricing
    Journal of Econometrics, 2014, 183, (1), 67-90 Downloads View citations (29)
    See also Working Paper Examining macroeconomic models through the lens of asset pricing, Working Paper Series (2012) Downloads View citations (6) (2012)
  2. Nobel Lecture: Uncertainty Outside and Inside Economic Models
    Journal of Political Economy, 2014, 122, (5), 945 - 987 Downloads View citations (79)

2012

  1. Comment
    NBER Macroeconomics Annual, 2012, 26, (1), 132 - 143 Downloads
  2. Dynamic Valuation Decomposition Within Stochastic Economies
    Econometrica, 2012, 80, (3), 911-967 Downloads View citations (54)
  3. Pricing growth-rate risk
    Finance and Stochastics, 2012, 16, (1), 1-15 Downloads View citations (18)
  4. Proofs for large sample properties of generalized method of moments estimators
    Journal of Econometrics, 2012, 170, (2), 325-330 Downloads View citations (7)
  5. Small noise methods for risk-sensitive/robust economies
    Journal of Economic Dynamics and Control, 2012, 36, (4), 468-500 Downloads View citations (22)
  6. Three types of ambiguity
    Journal of Monetary Economics, 2012, 59, (5), 422-445 Downloads View citations (37)
    See also Chapter Three Types of Ambiguity, World Scientific Book Chapters, 2014, 379-430 (2014) Downloads (2014)
  7. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280 Downloads
    See also Working Paper Underidentification?, CeMMAP working papers (2009) Downloads (2009)

2011

  1. Robustness and ambiguity in continuous time
    Journal of Economic Theory, 2011, 146, (3), 1195-1223 Downloads View citations (24)

2010

  1. Fragile beliefs and the price of uncertainty
    Quantitative Economics, 2010, 1, (1), 129-162 Downloads View citations (85)
    See also Chapter Fragile Beliefs and the Price of Uncertainty, World Scientific Book Chapters, 2014, 293-330 (2014) Downloads (2014)
  2. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 Downloads View citations (39)
    See also Working Paper Nonlinearity and Temporal Dependence, Cowles Foundation Discussion Papers (2009) Downloads View citations (2) (2009)
  3. Robust hidden Markov LQG problems
    Journal of Economic Dynamics and Control, 2010, 34, (10), 1951-1966 Downloads View citations (5)

2009

  1. Doubts or variability?
    Journal of Economic Theory, 2009, 144, (6), 2388-2418 Downloads View citations (116)
    See also Chapter Doubts or Variability?, World Scientific Book Chapters, 2014, 217-256 (2014) Downloads (2014)
  2. Long-Term Risk: An Operator Approach
    Econometrica, 2009, 77, (1), 177-234 Downloads View citations (182)
    See also Working Paper Long-term Risk: An Operator Approach, Levine's Bibliography (2007) Downloads View citations (2) (2007)

2008

  1. Consumption Strikes Back? Measuring Long-Run Risk
    Journal of Political Economy, 2008, 116, (2), 260-302 Downloads View citations (338)
    See also Working Paper Consumption Strikes Back?: Measuring Long-Run Risk, NBER Working Papers (2005) Downloads View citations (34) (2005)
  2. Robustness and U.S. Monetary Policy Experimentation
    Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 Downloads View citations (11)
    Also in Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 (2008) View citations (66)

2007

  1. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
    American Economic Review, 2007, 97, (2), 1-30 Downloads View citations (131)
    See also Chapter Beliefs, Doubts and Learning: Valuing Macroeconomic Risk, World Scientific Book Chapters, 2014, 331-377 (2014) Downloads (2014)
  2. Recursive robust estimation and control without commitment
    Journal of Economic Theory, 2007, 136, (1), 1-27 Downloads View citations (97)
    See also Working Paper Recursive robust estimation and control without commitment, Discussion Paper Series 1: Economic Studies (2005) Downloads View citations (7) (2005)

2006

  1. Introduction to model uncertainty and robustness
    Journal of Economic Theory, 2006, 128, (1), 1-3 Downloads View citations (3)
  2. Robust control and model misspecification
    Journal of Economic Theory, 2006, 128, (1), 45-90 Downloads View citations (154)
    See also Chapter Robust Control and Model Misspecification, World Scientific Book Chapters, 2014, 155-216 (2014) Downloads (2014)

2005

  1. Certainty equivalence and model uncertainty
    Proceedings, 2005, 17-38 Downloads View citations (6)
  2. Model uncertainty and policy evaluation: some theory and empirics - comments
    Proceedings, 2005 Downloads
  3. Robust estimation and control under commitment
    Journal of Economic Theory, 2005, 124, (2), 258-301 Downloads View citations (78)

2004

  1. AN INTERVIEW WITH CHRISTOPHER A. SIMS
    Macroeconomic Dynamics, 2004, 8, (2), 273-294 Downloads View citations (6)
  2. Empirical and policy performance of a forward-looking monetary model, comments
    Proceedings, 2004, (Mar) Downloads

2003

  1. 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 Downloads View citations (292)
    See also Chapter A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection, World Scientific Book Chapters, 2014, 83-143 (2014) Downloads (2014)
  2. Robust control of forward-looking models
    Journal of Monetary Economics, 2003, 50, (3), 581-604 Downloads View citations (128)

2002

  1. ROBUST PERMANENT INCOME AND PRICING WITH FILTERING
    Macroeconomic Dynamics, 2002, 6, (1), 40-84 Downloads View citations (84)
  2. Robustness and Pricing with Uncertain Growth
    The Review of Financial Studies, 2002, 15, (2), 363-404 View citations (99)

2001

  1. Acknowledgement Misspecification in Macroeconomic Theory
    Monetary and Economic Studies, 2001, 19, (S1), 213-227 Downloads View citations (45)
  2. Acknowledging Misspecification in Macroeconomic Theory
    Review of Economic Dynamics, 2001, 4, (3), 519-535 Downloads View citations (118)
  3. Robust Control and Model Uncertainty
    American Economic Review, 2001, 91, (2), 60-66 Downloads View citations (604)
    See also Chapter Robust Control and Model Uncertainty, World Scientific Book Chapters, 2014, 145-154 (2014) Downloads (2014)

1999

  1. Robust Permanent Income and Pricing
    The Review of Economic Studies, 1999, 66, (4), 873-907 Downloads View citations (293)
    See also Working Paper Robust Permanent Income and Pricing, Levine's Working Paper Archive (1997) Downloads View citations (20) (1997)
    Chapter Robust Permanent Income and Pricing, World Scientific Book Chapters, 2014, 33-81 (2014) Downloads (2014)

1998

  1. Spectral methods for identifying scalar diffusions
    Journal of Econometrics, 1998, 86, (1), 1-32 Downloads View citations (62)

1997

  1. Assessing Specification Errors in Stochastic Discount Factor Models
    Journal of Finance, 1997, 52, (2), 557-90 Downloads View citations (369)
    See also Working Paper Assessing Specification Errors in Stochastic Discount Factor Models, NBER Technical Working Papers (1994) Downloads View citations (9) (1994)
  2. BOOTSTRAPPING THE LONG RUN
    Macroeconomic Dynamics, 1997, 1, (2), 279-311 Downloads View citations (19)

1996

  1. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
    Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations (64)
    See also Working Paper Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors, NBER Technical Working Papers (1997) Downloads (1997)
  2. Finite-Sample Properties of Some Alternative GMM Estimators
    Journal of Business & Economic Statistics, 1996, 14, (3), 262-80 View citations (633)
  3. The Empirical Foundations of Calibration
    Journal of Economic Perspectives, 1996, 10, (1), 87-104 Downloads View citations (194)

1995

  1. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    Econometrica, 1995, 63, (4), 767-804 Downloads View citations (142)
    See also Working Paper Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes, NBER Technical Working Papers (1993) Downloads View citations (35) (1993)
  2. Econometric Evaluation of Asset Pricing Models
    The Review of Financial Studies, 1995, 8, (2), 237-74 Downloads View citations (106)
    See also Working Paper Econometric Evaluation of Asset Pricing Models, NBER Technical Working Papers (1993) Downloads View citations (6) (1993)

1993

  1. Flat rate taxes with adjustment costs and several capital stocks and household types
    Proceedings, 1993, (Mar)
    See also Working Paper Flat rate taxes with adjustment costs and several capital stocks and household types, Working Papers in Applied Economic Theory (1993) (1993)
  2. Recursive linear models of dynamic economies
    Proceedings, 1993, (Mar) View citations (48)
    See also Working Paper Recursive Linear Models of Dynamic Economies, NBER Working Papers (1990) Downloads View citations (22) (1990)
  3. Seasonality and approximation errors in rational expectations models
    Journal of Econometrics, 1993, 55, (1-2), 21-55 Downloads View citations (68)

1991

  1. Implications of Security Market Data for Models of Dynamic Economies
    Journal of Political Economy, 1991, 99, (2), 225-62 Downloads View citations (767)
    See also Working Paper Implications of Security Market Data for Models of Dynamic Economies, NBER Technical Working Papers (1990) Downloads View citations (4) (1990)

1990

  1. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    Journal of Business & Economic Statistics, 1990, 8, (1), 53-69 View citations (169)
    See also Working Paper Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data, NBER Working Papers (1987) Downloads View citations (6) (1987)
  2. 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 Downloads View citations (70)

1988

  1. 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 Downloads View citations (351)
    See also Working Paper A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty, NBER Working Papers (1986) Downloads View citations (3) (1986)

1987

  1. The Role of Conditioning Information in Deducing Testable
    Econometrica, 1987, 55, (3), 587-613 Downloads View citations (383)

1986

  1. 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

  1. 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 Downloads View citations (83)

1983

  1. Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time
    International Economic Review, 1983, 24, (1), 1-20 Downloads View citations (7)
    See also Working Paper Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time, Staff Report (1981) Downloads View citations (5) (1981)
  2. Multiperiod Probit Models and Orthogonality Condition Estimation
    International Economic Review, 1983, 24, (1), 21-35 Downloads View citations (67)
  3. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
    Journal of Political Economy, 1983, 91, (2), 249-65 Downloads View citations (752)
  4. The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
    Econometrica, 1983, 51, (2), 377-87 Downloads View citations (41)
    See also Working Paper The dimensionality of the aliasing problem in models with rational spectral densities, Staff Report (1981) Downloads View citations (2) (1981)

1982

  1. Consumption, asset markets, and macroeconomic fluctuations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1982, 17, (1), 239-250 Downloads
  2. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    Econometrica, 1982, 50, (5), 1269-86 Downloads View citations (1099)
  3. Instrumental variables procedures for estimating linear rational expectations models
    Journal of Monetary Economics, 1982, 9, (3), 263-296 Downloads View citations (49)
    See also Working Paper Instrumental variables procedures for estimating linear rational expectations models, Staff Report (1981) Downloads View citations (7) (1981)
  4. Large Sample Properties of Generalized Method of Moments Estimators
    Econometrica, 1982, 50, (4), 1029-54 Downloads View citations (6001)

1981

  1. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Economics Letters, 1981, 8, (3), 255-260 Downloads View citations (32)
    See also Working Paper A note on Wiener-Kolmogorov prediction formulas for rational expectations models, Staff Report (1981) Downloads View citations (26) (1981)

1980

  1. Formulating and estimating dynamic linear rational expectations models
    Journal of Economic Dynamics and Control, 1980, 2, (1), 7-46 Downloads View citations (450)
    See also Working Paper Formulating and estimating dynamic linear rational expectations models, Working Papers (1979) Downloads View citations (22) (1979)
  2. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 Downloads View citations (874)

1978

  1. A note on first degree stochastic dominance
    Economics Letters, 1978, 1, (4), 315-319 Downloads View citations (2)

Undated

  1. Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
    Journal of Financial Econometrics, 18, (4), 715-720 Downloads
  2. Repercussions of Pandemics on Markets and Policy
    The Review of Asset Pricing Studies, 10, (4), 569-573 Downloads

Books

2014

  1. Uncertainty within Economic Models
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (11)

2013

  1. Recursive Models of Dynamic Linear Economies
    Economics Books, Princeton University Press View citations (33)

Edited books

2003

  1. Advances in Economics and Econometrics
    Cambridge Books, Cambridge University Press View citations (760)
  2. Advances in Economics and Econometrics
    Cambridge Books, Cambridge University Press View citations (760)
  3. Advances in Economics and Econometrics
    Cambridge Books, Cambridge University Press View citations (760)
  4. Advances in Economics and Econometrics
    Cambridge Books, Cambridge University Press View citations (760)
  5. Advances in Economics and Econometrics
    Cambridge Books, Cambridge University Press View citations (760)
  6. Advances in Economics and Econometrics
    Cambridge Books, Cambridge University Press View citations (760)

Chapters

2021

  1. Climate Change Uncertainty Spillover in the Macroeconomy
    A chapter in NBER Macroeconomics Annual 2021, volume 36, 2021, pp 253-320 View citations (10)
    See also Journal Article Climate Change Uncertainty Spillover in the Macroeconomy, University of Chicago Press (2022) Downloads View citations (2) (2022)
    Working Paper Climate Change Uncertainty Spillover in the Macroeconomy, National Bureau of Economic Research, Inc (2021) Downloads View citations (11) (2021)

2017

  1. 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

  1. Term Structure of Uncertainty in the Macroeconomy
    Elsevier Downloads View citations (4)
    See also Working Paper Term Structure of Uncertainty in the Macroeconomy, National Bureau of Economic Research, Inc (2016) Downloads (2016)

2014

  1. 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 Downloads
    See also Journal Article A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection, MIT Press (2003) Downloads View citations (292) (2003)
  2. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
    Chapter 10 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 331-377 Downloads
    See also Journal Article Beliefs, Doubts and Learning: Valuing Macroeconomic Risk, American Economic Association (2007) Downloads View citations (131) (2007)
  3. Discounted Linear Exponential Quadratic Gaussian Control
    Chapter 2 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 23-32 Downloads
  4. Doubts or Variability?
    Chapter 7 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 217-256 Downloads
    See also Journal Article Doubts or variability?, Elsevier (2009) Downloads View citations (116) (2009)
  5. Fragile Beliefs and the Price of Uncertainty
    Chapter 9 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 293-330 Downloads
    See also Journal Article Fragile beliefs and the price of uncertainty, Econometric Society (2010) Downloads View citations (85) (2010)
  6. Introduction
    Chapter 1 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 1-21 Downloads
  7. Robust Control and Model Misspecification
    Chapter 6 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 155-216 Downloads
    See also Journal Article Robust control and model misspecification, Elsevier (2006) Downloads View citations (154) (2006)
  8. Robust Control and Model Uncertainty
    Chapter 5 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 145-154 Downloads
    See also Journal Article Robust Control and Model Uncertainty, American Economic Association (2001) Downloads View citations (604) (2001)
  9. Robust Estimation and Control without Commitment
    Chapter 8 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 257-291 Downloads
  10. Robust Permanent Income and Pricing
    Chapter 3 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 33-81 Downloads
    See also Journal Article Robust Permanent Income and Pricing, Review of Economic Studies Ltd (1999) Downloads View citations (293) (1999)
    Working Paper Robust Permanent Income and Pricing, David K. Levine (1997) Downloads View citations (20) (1997)
  11. Three Types of Ambiguity
    Chapter 11 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 379-430 Downloads
    See also Journal Article Three types of ambiguity, Elsevier (2012) Downloads View citations (37) (2012)

2013

  1. Challenges in Identifying and Measuring Systemic Risk
    A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 15-30 Downloads View citations (2)
    See also Working Paper Challenges in Identifying and Measuring Systemic Risk, CEMFI (2013) Downloads View citations (38) (2013)
  2. Risk Pricing over Alternative Investment Horizons
    Elsevier Downloads View citations (8)

2011

  1. Comment on "House Price Booms and the Current Account"
    A chapter in NBER Macroeconomics Annual 2011, Volume 26, 2011, pp 132-143 Downloads

2010

  1. Wanting Robustness in Macroeconomics
    Chapter 20 in Handbook of Monetary Economics, 2010, vol. 3, pp 1097-1157 Downloads View citations (42)

2008

  1. Time Inconsistency of Robust Control?
    Chapter 7 in Macroeconomics in the Small and the Large, 2008 Downloads View citations (41)

2007

  1. Intertemporal Substitution and Risk Aversion
    Chapter 61 in Handbook of Econometrics, 2007, vol. 6A Downloads View citations (79)
  2. Introduction to Robustness
    A chapter in Robustness, 2007 Downloads View citations (87)

2005

  1. Intangible Risk
    A chapter in Measuring Capital in the New Economy, 2005, pp 111-152 Downloads View citations (3)

1999

  1. Micro data and general equilibrium models
    Chapter 08 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 543-633 Downloads View citations (359)
    See also Working Paper Micro Data and General Equilibrium Models, University of Copenhagen. Department of Economics (1999) View citations (347) (1999)

1996

  1. Mechanics of forming and estimating dynamic linear economies
    Chapter 04 in Handbook of Computational Economics, 1996, vol. 1, pp 171-252 Downloads View citations (143)
    See also Working Paper On the mechanics of forming and estimating dynamic linear economies, Federal Reserve Bank of Minneapolis (1995) Downloads View citations (12) (1995)

1992

  1. Asset Pricing Explorations for Macroeconomics
    A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 Downloads View citations (213)
    See also Working Paper Asset Pricing Explorations for Macroeconomics, National Bureau of Economic Research, Inc (1992) Downloads View citations (211) (1992)

1983

  1. 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 Downloads View citations (140)

Software Items

1995

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

Undated

  1. Matlab programs by Hansen and T. Sargent
    Matlab codes Downloads
 
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