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 2024-12-16. Update your information in the RePEc Author Service.

Short-id: pha303

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Working Papers

2023

1. A Deep Learning Analysis of Climate Change, Innovation, and Uncertainty
   Papers, arXiv.org View citations (3)

2022

2. Making Decisions under Model Misspecification
   Papers, arXiv.org View citations (9)
   Also in Working Papers, Becker Friedman Institute for Research In Economics (2020) View citations (6)
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (6)

2021

3. Climate Change Uncertainty Spillover in the Macroeconomy
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
   See also Journal Article Climate Change Uncertainty Spillover in the Macroeconomy, NBER Macroeconomics Annual, University of Chicago Press (2022) View citations (11) (2022)
   Chapter Climate Change Uncertainty Spillover in the Macroeconomy, NBER Chapters, National Bureau of Economic Research, Inc (2021) View citations (11) (2021)
4. Rational Policymaking during a Pandemic
   Post-Print, HAL View citations (8)
   Also in Working Papers, IESEG School of Management (2020) View citations (3)

2020

5. Robust Identification of Investor Beliefs
   Working Papers, Becker Friedman Institute for Research In Economics View citations (9)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (9)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (9)
   See also Journal Article Robust identification of investor beliefs, Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences (2020) View citations (9) (2020)
6. Uncertainty Spillovers for Markets and Policy
   Working Papers, Becker Friedman Institute for Research In Economics View citations (3)
   See also Journal Article Uncertainty Spillovers for Markets and Policy, Annual Review of Economics, Annual Reviews (2021) (2021)
7. 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 (2)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (2)

2019

8. Macroeconomic Uncertainty Prices when Beliefs are Tenuous
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article Macroeconomic uncertainty prices when beliefs are tenuous, Journal of Econometrics, Elsevier (2021) View citations (5) (2021)

2017

9. 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 (4)

2016

10. Sets of Models and Prices of Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
11. Term Structure of Uncertainty in the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Chapter Term Structure of Uncertainty in the Macroeconomy, Handbook of Macroeconomics, Elsevier (2016) View citations (6) (2016)

2015

12. 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 Misspecified Recovery, Journal of Finance, American Finance Association (2016) View citations (24) (2016)

2014

13. Biographical
    Nobel Prize in Economics documents, Nobel Prize Committee
14. Shock Elasticities and Impulse Responses
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
15. Uncertainty Outside and Inside Economic Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (78)
    Also in Nobel Prize in Economics documents, Nobel Prize Committee (2013) View citations (21)

2013

16. 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 (27)
    See also Chapter Challenges in Identifying and Measuring Systemic Risk, NBER Chapters, National Bureau of Economic Research, Inc (2013) View citations (2) (2013)
17. Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
    Nobel Prize in Economics documents, Nobel Prize Committee
18. Stochastic Compounding and Uncertain Valuation
    Working Papers, Princeton University, Department of Economics, Econometric Research Program.

2012

19. Examining macroeconomic models through the lens of asset pricing
    Working Paper Series, Federal Reserve Bank of Chicago View citations (6)
    See also Journal Article Examining macroeconomic models through the lens of asset pricing, Journal of Econometrics, Elsevier (2014) View citations (29) (2014)
20. Recursive utility in a Markov environment with stochastic growth
    Working Papers, Princeton University, Department of Economics, Econometric Research Program. View citations (27)

2009

21. Managing expectations and fiscal policy
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
22. Nonlinearity and Temporal Dependence
    CIRANO Working Papers, CIRANO View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (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 Nonlinearity and temporal dependence, Journal of Econometrics, Elsevier (2010) View citations (40) (2010)
23. Principal Components and Long Run Implications of Multivariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
24. Principal components and the long run
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (24)
    Also in Levine's Bibliography, UCLA Department of Economics (2005) View citations (15)
25. Risk Price Dynamics
    Working Papers, Princeton University, Department of Economics, Econometric Research Program.
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (7)
26. 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 Underidentification?, Journal of Econometrics, Elsevier (2012) (2012)
27. Underidentification? (Resumen)
    Working Papers, CEMFI View citations (7)

2008

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

2007

30. Beliefs, Doubts and Learning: Valuing Economic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (134)
31. 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 Long-Term Risk: An Operator Approach, Econometrica, Econometric Society (2009) View citations (187) (2009)

2005

32. Consumption Strikes Back?: Measuring Long-Run Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article Consumption Strikes Back? Measuring Long-Run Risk, Journal of Political Economy, University of Chicago Press (2008) View citations (350) (2008)
33. Recursive robust estimation and control without commitment
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (7)
    See also Journal Article Recursive robust estimation and control without commitment, Journal of Economic Theory, Elsevier (2007) View citations (101) (2007)

2003

34. Advances in economics and econometrics:theory and applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (408)

1999

35. Micro Data and General Equilibrium Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (354)
    See also Chapter Micro data and general equilibrium models, Handbook of Macroeconomics, Elsevier (1999) View citations (364) (1999)

1997

36. 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 Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (65) (1996)
37. 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 Journal Article Robust Permanent Income and Pricing, The Review of Economic Studies, Review of Economic Studies Ltd (1999) View citations (297) (1999)
    Chapter Robust Permanent Income and Pricing, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2014) (2014)

1995

38. 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 Mechanics of forming and estimating dynamic linear economies, Handbook of Computational Economics, Elsevier (1996) View citations (143) (1996)

1994

39. 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 (9)
    See also Journal Article Assessing Specification Errors in Stochastic Discount Factor Models, Journal of Finance, American Finance Association (1997) View citations (376) (1997)

1993

40. 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 Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes, Econometrica, Econometric Society (1995) View citations (143) (1995)
41. Econometric Evaluation of Asset Pricing Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Econometric Evaluation of Asset Pricing Models, The Review of Financial Studies, Society for Financial Studies (1995) View citations (110) (1995)
42. 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

43. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (213)
    See also Chapter Asset Pricing Explorations for Macroeconomics, NBER Chapters, National Bureau of Economic Research, Inc (1992) View citations (215) (1992)

1990

44. 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 Implications of Security Market Data for Models of Dynamic Economies, Journal of Political Economy, University of Chicago Press (1991) View citations (788) (1991)
45. Recursive Linear Models of Dynamic Economies
    NBER Working Papers, National Bureau of Economic Research, Inc 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

46. 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 Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (171) (1990)

1986

47. 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 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) View citations (359) (1988)

1983

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

1982

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

1981

50. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (27)
    See also Journal Article A note on Wiener-Kolmogorov prediction formulas for rational expectations models, Economics Letters, Elsevier (1981) View citations (33) (1981)
51. 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 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) View citations (7) (1983)
52. Exact linear rational expectations models: specification and estimation
    Staff Report, Federal Reserve Bank of Minneapolis View citations (30)
53. Instrumental variables procedures for estimating linear rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (7)
    See also Journal Article Instrumental variables procedures for estimating linear rational expectations models, Journal of Monetary Economics, Elsevier (1982) View citations (51) (1982)
54. 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 The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities, Econometrica, Econometric Society (1983) View citations (42) (1983)

1980

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

1979

58. Formulating and estimating dynamic linear rational expectations models
    Working Papers, Federal Reserve Bank of Minneapolis View citations (22)
    See also Journal Article Formulating and estimating dynamic linear rational expectations models, Journal of Economic Dynamics and Control, Elsevier (1980) View citations (456) (1980)

Undated

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

Journal Articles

2024

1. Robust inference for moment condition models without rational expectations
   Journal of Econometrics, 2024, 243, (1) View citations (1)

2023

2. Correction to: Asset pricing under smooth ambiguity in continuous time
   Economic Theory, 2023, 75, (1), 291-292

2022

3. Asset pricing under smooth ambiguity in continuous time
   Economic Theory, 2022, 74, (2), 335-371 View citations (6)
4. Central banking challenges posed by uncertain climate change and natural disasters
   Journal of Monetary Economics, 2022, 125, (C), 1-15 View citations (23)
5. Climate Change Uncertainty Spillover in the Macroeconomy
   NBER Macroeconomics Annual, 2022, 36, (1), 253 - 320 View citations (11)
   See also Working Paper Climate Change Uncertainty Spillover in the Macroeconomy, NBER Working Papers (2021) View citations (12) (2021)
   Chapter Climate Change Uncertainty Spillover in the Macroeconomy, NBER Chapters, 2021, 253-320 (2021) View citations (11) (2021)
6. Structured ambiguity and model misspecification
   Journal of Economic Theory, 2022, 199, (C) View citations (11)

2021

7. Macroeconomic uncertainty prices when beliefs are tenuous
   Journal of Econometrics, 2021, 223, (1), 222-250 View citations (5)
   See also Working Paper Macroeconomic Uncertainty Prices when Beliefs are Tenuous, NBER Working Papers (2019) View citations (2) (2019)
8. Uncertainty Spillovers for Markets and Policy
   Annual Review of Economics, 2021, 13, (1), 371-396
   See also Working Paper Uncertainty Spillovers for Markets and Policy, Working Papers (2020) View citations (3) (2020)

2020

9. Pricing Uncertainty Induced by Climate Change
   The Review of Financial Studies, 2020, 33, (3), 1024-1066 View citations (120)
10. Robust identification of investor beliefs
    Proceedings of the National Academy of Sciences, 2020, 117, (52), 33130-33140 View citations (9)
    See also Working Paper Robust Identification of Investor Beliefs, Working Papers (2020) View citations (9) (2020)
11. Twisted probabilities, uncertainty, and prices
    Journal of Econometrics, 2020, 216, (1), 151-174 View citations (3)

2018

12. Comment
    NBER Macroeconomics Annual, 2018, 32, (1), 479 - 489

2017

13. Time-Series Econometrics in Macroeconomics and Finance
    Journal of Political Economy, 2017, 125, (6), 1774 - 1782
14. 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

15. Misspecified Recovery
    Journal of Finance, 2016, 71, (6), 2493-2544 View citations (24)
    See also Working Paper Misspecified Recovery, Papers (2015) View citations (8) (2015)

2015

16. Four types of ignorance
    Journal of Monetary Economics, 2015, 69, (C), 97-113 View citations (11)
17. [Robust Control and Model Uncertainty], Belirsizlik Modeli ve Saðlamlýlýk Kontrolü
    Journal of Economics Bibliography, 2015, 2, (2), 57-65

2014

18. Examining macroeconomic models through the lens of asset pricing
    Journal of Econometrics, 2014, 183, (1), 67-90 View citations (29)
    See also Working Paper Examining macroeconomic models through the lens of asset pricing, Working Paper Series (2012) View citations (6) (2012)
19. Nobel Lecture: Uncertainty Outside and Inside Economic Models
    Journal of Political Economy, 2014, 122, (5), 945 - 987 View citations (93)

2012

20. Comment
    NBER Macroeconomics Annual, 2012, 26, (1), 132 - 143
21. Dynamic Valuation Decomposition Within Stochastic Economies
    Econometrica, 2012, 80, (3), 911-967 View citations (55)
22. Pricing growth-rate risk
    Finance and Stochastics, 2012, 16, (1), 1-15 View citations (18)
23. Proofs for large sample properties of generalized method of moments estimators
    Journal of Econometrics, 2012, 170, (2), 325-330 View citations (9)
24. Small noise methods for risk-sensitive/robust economies
    Journal of Economic Dynamics and Control, 2012, 36, (4), 468-500 View citations (22)
25. Three types of ambiguity
    Journal of Monetary Economics, 2012, 59, (5), 422-445 View citations (39)
    See also Chapter Three Types of Ambiguity, World Scientific Book Chapters, 2014, 379-430 (2014) (2014)
26. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280
    See also Working Paper Underidentification?, CeMMAP working papers (2009) (2009)

2011

27. Robustness and ambiguity in continuous time
    Journal of Economic Theory, 2011, 146, (3), 1195-1223 View citations (28)

2010

28. Fragile beliefs and the price of uncertainty
    Quantitative Economics, 2010, 1, (1), 129-162 View citations (89)
    See also Chapter Fragile Beliefs and the Price of Uncertainty, World Scientific Book Chapters, 2014, 293-330 (2014) (2014)
29. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 View citations (40)
    See also Working Paper Nonlinearity and Temporal Dependence, CIRANO Working Papers (2009) View citations (2) (2009)
30. Robust hidden Markov LQG problems
    Journal of Economic Dynamics and Control, 2010, 34, (10), 1951-1966 View citations (5)

2009

31. Doubts or variability?
    Journal of Economic Theory, 2009, 144, (6), 2388-2418 View citations (122)
    See also Chapter Doubts or Variability?, World Scientific Book Chapters, 2014, 217-256 (2014) (2014)
32. Long-Term Risk: An Operator Approach
    Econometrica, 2009, 77, (1), 177-234 View citations (187)
    See also Working Paper Long-term Risk: An Operator Approach, Levine's Bibliography (2007) View citations (2) (2007)

2008

33. Consumption Strikes Back? Measuring Long-Run Risk
    Journal of Political Economy, 2008, 116, (2), 260-302 View citations (350)
    See also Working Paper Consumption Strikes Back?: Measuring Long-Run Risk, NBER Working Papers (2005) View citations (34) (2005)
34. Robustness and U.S. Monetary Policy Experimentation
    Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 View citations (67)
    Also in Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 (2008) View citations (12)

2007

35. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
    American Economic Review, 2007, 97, (2), 1-30 View citations (138)
    See also Chapter Beliefs, Doubts and Learning: Valuing Macroeconomic Risk, World Scientific Book Chapters, 2014, 331-377 (2014) (2014)
36. Recursive robust estimation and control without commitment
    Journal of Economic Theory, 2007, 136, (1), 1-27 View citations (101)
    See also Working Paper Recursive robust estimation and control without commitment, Discussion Paper Series 1: Economic Studies (2005) View citations (7) (2005)

2006

37. Introduction to model uncertainty and robustness
    Journal of Economic Theory, 2006, 128, (1), 1-3 View citations (3)
38. Robust control and model misspecification
    Journal of Economic Theory, 2006, 128, (1), 45-90 View citations (164)
    See also Chapter Robust Control and Model Misspecification, World Scientific Book Chapters, 2014, 155-216 (2014) (2014)

2005

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

2004

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

2003

44. 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 (315)
    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) (2014)
45. Robust control of forward-looking models
    Journal of Monetary Economics, 2003, 50, (3), 581-604 View citations (132)

2002

46. ROBUST PERMANENT INCOME AND PRICING WITH FILTERING
    Macroeconomic Dynamics, 2002, 6, (1), 40-84 View citations (86)
47. Robustness and Pricing with Uncertain Growth
    The Review of Financial Studies, 2002, 15, (2), 363-404 View citations (102)

2001

48. Acknowledgement Misspecification in Macroeconomic Theory
    Monetary and Economic Studies, 2001, 19, (S1), 213-227 View citations (49)
49. Acknowledging Misspecification in Macroeconomic Theory
    Review of Economic Dynamics, 2001, 4, (3), 519-535 View citations (123)
50. Robust Control and Model Uncertainty
    American Economic Review, 2001, 91, (2), 60-66 View citations (636)
    See also Chapter Robust Control and Model Uncertainty, World Scientific Book Chapters, 2014, 145-154 (2014) (2014)

1999

51. Robust Permanent Income and Pricing
    The Review of Economic Studies, 1999, 66, (4), 873-907 View citations (297)
    See also Chapter Robust Permanent Income and Pricing, World Scientific Book Chapters, 2014, 33-81 (2014) (2014)
    Working Paper Robust Permanent Income and Pricing, Levine's Working Paper Archive (1997) View citations (20) (1997)

1998

52. Spectral methods for identifying scalar diffusions
    Journal of Econometrics, 1998, 86, (1), 1-32 View citations (63)

1997

53. Assessing Specification Errors in Stochastic Discount Factor Models
    Journal of Finance, 1997, 52, (2), 557-90 View citations (376)
    See also Working Paper Assessing Specification Errors in Stochastic Discount Factor Models, NBER Technical Working Papers (1994) View citations (9) (1994)
54. BOOTSTRAPPING THE LONG RUN
    Macroeconomic Dynamics, 1997, 1, (2), 279-311 View citations (19)

1996

55. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
    Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations (65)
    See also Working Paper Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors, NBER Technical Working Papers (1997) (1997)
56. Finite-Sample Properties of Some Alternative GMM Estimators
    Journal of Business & Economic Statistics, 1996, 14, (3), 262-80 View citations (648)
57. The Empirical Foundations of Calibration
    Journal of Economic Perspectives, 1996, 10, (1), 87-104 View citations (199)

1995

58. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    Econometrica, 1995, 63, (4), 767-804 View citations (143)
    See also Working Paper Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes, NBER Technical Working Papers (1993) View citations (35) (1993)
59. Econometric Evaluation of Asset Pricing Models
    The Review of Financial Studies, 1995, 8, (2), 237-74 View citations (110)
    See also Working Paper Econometric Evaluation of Asset Pricing Models, NBER Technical Working Papers (1993) View citations (6) (1993)

1993

60. 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)
61. 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) View citations (22) (1990)
62. Seasonality and approximation errors in rational expectations models
    Journal of Econometrics, 1993, 55, (1-2), 21-55 View citations (69)

1991

63. Implications of Security Market Data for Models of Dynamic Economies
    Journal of Political Economy, 1991, 99, (2), 225-62 View citations (788)
    See also Working Paper Implications of Security Market Data for Models of Dynamic Economies, NBER Technical Working Papers (1990) View citations (4) (1990)

1990

64. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    Journal of Business & Economic Statistics, 1990, 8, (1), 53-69 View citations (171)
    See also Working Paper Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data, NBER Working Papers (1987) View citations (6) (1987)
65. 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 (71)

1988

66. 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 (359)
    See also Working Paper A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty, NBER Working Papers (1986) View citations (3) (1986)

1987

67. The Role of Conditioning Information in Deducing Testable
    Econometrica, 1987, 55, (3), 587-613 View citations (381)

1986

68. 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

69. 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 (85)

1983

70. 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 Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time, Staff Report (1981) View citations (5) (1981)
71. Multiperiod Probit Models and Orthogonality Condition Estimation
    International Economic Review, 1983, 24, (1), 21-35 View citations (67)
72. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
    Journal of Political Economy, 1983, 91, (2), 249-65 View citations (772)
73. The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
    Econometrica, 1983, 51, (2), 377-87 View citations (42)
    See also Working Paper The dimensionality of the aliasing problem in models with rational spectral densities, Staff Report (1981) View citations (2) (1981)

1982

74. Consumption, asset markets, and macroeconomic fluctuations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1982, 17, (1), 239-250
75. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    Econometrica, 1982, 50, (5), 1269-86 View citations (1124)
76. Instrumental variables procedures for estimating linear rational expectations models
    Journal of Monetary Economics, 1982, 9, (3), 263-296 View citations (51)
    See also Working Paper Instrumental variables procedures for estimating linear rational expectations models, Staff Report (1981) View citations (7) (1981)
77. Large Sample Properties of Generalized Method of Moments Estimators
    Econometrica, 1982, 50, (4), 1029-54 View citations (6280)

1981

78. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Economics Letters, 1981, 8, (3), 255-260 View citations (33)
    See also Working Paper A note on Wiener-Kolmogorov prediction formulas for rational expectations models, Staff Report (1981) View citations (27) (1981)

1980

79. Formulating and estimating dynamic linear rational expectations models
    Journal of Economic Dynamics and Control, 1980, 2, (1), 7-46 View citations (456)
    See also Working Paper Formulating and estimating dynamic linear rational expectations models, Working Papers (1979) View citations (22) (1979)
80. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 View citations (891)

1978

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

Undated

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

Books

2014

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

2013

2. Recursive Models of Dynamic Linear Economies
   Economics Books, Princeton University Press View citations (34)

Edited books

2003

1. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (756)
2. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (756)
3. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (756)
4. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (756)
5. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (756)
6. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (756)

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 (11)
   See also Working Paper Climate Change Uncertainty Spillover in the Macroeconomy, National Bureau of Economic Research, Inc (2021) View citations (12) (2021)
   Journal Article Climate Change Uncertainty Spillover in the Macroeconomy, University of Chicago Press (2022) View citations (11) (2022)

2017

2. 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

3. Term Structure of Uncertainty in the Macroeconomy
   Elsevier View citations (6)
   See also Working Paper Term Structure of Uncertainty in the Macroeconomy, National Bureau of Economic Research, Inc (2016) View citations (1) (2016)

2014

4. 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 A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection, MIT Press (2003) View citations (315) (2003)
5. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
   Chapter 10 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 331-377
   See also Journal Article Beliefs, Doubts and Learning: Valuing Macroeconomic Risk, American Economic Association (2007) View citations (138) (2007)
6. Discounted Linear Exponential Quadratic Gaussian Control
   Chapter 2 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 23-32
7. Doubts or Variability?
   Chapter 7 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 217-256
   See also Journal Article Doubts or variability?, Elsevier (2009) View citations (122) (2009)
8. Fragile Beliefs and the Price of Uncertainty
   Chapter 9 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 293-330
   See also Journal Article Fragile beliefs and the price of uncertainty, Econometric Society (2010) View citations (89) (2010)
9. Introduction
   Chapter 1 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 1-21
10. Robust Control and Model Misspecification
    Chapter 6 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 155-216
    See also Journal Article Robust control and model misspecification, Elsevier (2006) View citations (164) (2006)
11. Robust Control and Model Uncertainty
    Chapter 5 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 145-154
    See also Journal Article Robust Control and Model Uncertainty, American Economic Association (2001) View citations (636) (2001)
12. Robust Estimation and Control without Commitment
    Chapter 8 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 257-291
13. Robust Permanent Income and Pricing
    Chapter 3 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 33-81
    See also Journal Article Robust Permanent Income and Pricing, Review of Economic Studies Ltd (1999) View citations (297) (1999)
    Working Paper Robust Permanent Income and Pricing, David K. Levine (1997) View citations (20) (1997)
14. Three Types of Ambiguity
    Chapter 11 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 379-430
    See also Journal Article Three types of ambiguity, Elsevier (2012) View citations (39) (2012)

2013

15. 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 Challenges in Identifying and Measuring Systemic Risk, CEMFI (2013) View citations (38) (2013)
16. Risk Pricing over Alternative Investment Horizons
    Elsevier View citations (8)

2011

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

2010

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

2008

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

2007

20. Intertemporal Substitution and Risk Aversion
    Chapter 61 in Handbook of Econometrics, 2007, vol. 6A View citations (81)
21. Introduction to Robustness
    A chapter in Robustness, 2007 View citations (87)

2005

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

1999

23. Micro data and general equilibrium models
    Chapter 08 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 543-633 View citations (364)
    See also Working Paper Micro Data and General Equilibrium Models, University of Copenhagen. Department of Economics (1999) View citations (354) (1999)

1996

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

1992

25. Asset Pricing Explorations for Macroeconomics
    A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 View citations (215)
    See also Working Paper Asset Pricing Explorations for Macroeconomics, National Bureau of Economic Research, Inc (1992) View citations (213) (1992)

1983

26. 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 (140)

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