Doubts or Variability?

Lars Hansen and Thomas Sargent

Chapter 7 in Uncertainty within Economic Models, 2014, pp 217-256 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe Equity Premium and Risk-free Rate PuzzlesThe Choice SettingA Type I Agent: Kreps–Porteus–Epstein–Zin–TallariniA Type I Agent Economy with High Risk Aversion Attains HJ BoundReinterpretationsReinterpreting TallariniWelfare Gains from Eliminating Model UncertaintyDogmatic Bayesians and LearningConcluding RemarksAppendix 7.A Formulas for Trend Stationary Model

Keywords: Uncertainty; Economic Models; Econometrics; Dynamic Programming; Macroeconomics; Robustness; Robust Control Theory; Agents; Market Prices; Model Misspecification (search for similar items in EconPapers)
Date: 2014
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Journal Article: Doubts or variability? (2009)
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