A01=Lars Peter Hansen
A01=Thomas Sargent
Author_Lars Peter Hansen
Author_Thomas Sargent
Borel Measurable Functions
Category=PB
Closed Linear Subspace
Conditional Expectations
Continuous Time
Continuous Time Counterpart
Continuous Time Model
Continuous Time Versions
Continuous Time White Noise
Cross Spectral Density
Cross-equation Restrictions
Discrete Time
dynamic systems estimation
economic theory
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Impulse Response Function
inference in rational expectations models
Laplace Transform
Laurent Series Expansion
Linear Rational
Linear Rational Expectations Models
macroeconomic modeling
MAR
Martingale Model
parameter identification
Permanent Income Model
policy feedback effects
Prediction Theory
Rational Expectations Models
Spectral Density Matrix
Time Recursive
time series analysis
Unit Circle
vector autoregression
Vector Autoregressions
Vector Stochastic Process
Wold Decomposition
Wold Representation
Product details
- ISBN 9780367285012
- Weight: 720g
- Dimensions: 152 x 241mm
- Publication Date: 09 Sep 2019
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Hardback
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At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.
Lars Peter Hansen, University of Chicago. Thomas J. Sargent is Donald Lucas Professor of Economics at Stanford University and Senior Fellow at the Hoover Institution. A pioneer of the rational expectations school of macroeconomics, he is the author of "The Conquest of American Inflation" (Princeton), "Bounded Rationality in Macroeconomics", and "Dynamic Macroeconomic Theory".
