Recursive Models of Dynamic Linear Economies

Lars Hansen and Thomas Sargent

in Economics Books from Princeton University Press

Abstract: A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. Based on the 2012 Gorman lectures, the authors unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB programs that apply to the book's calculations.

Keywords: mathematical; tool; dynamic; optimization; estimation; filtering; linear economies; recursive; models; price; quanitity; quantities; consumer; analysis; economic theory; econometrics; mathematics; equilibria; linea; quadratic; Gaussian; markets; MATLAB (search for similar items in EconPapers)
Date: 2013
Edition: 1
References: Add references at CitEc
Citations: View citations in EconPapers (34)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pup:pbooks:10141

Access Statistics for this book

More books in Economics Books from Princeton University Press
Bibliographic data for series maintained by Webmaster ().