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Recursive Models of Dynamic Linear Economies
Recursive Models of Dynamic Linear Economies
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A01=Lars Peter Hansen
A01=Thomas J. Sargent
Absolute value
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Algorithm
Author_Lars Peter Hansen
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Bellman equation
Budget constraint
Calculation
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Commodity
Competitive equilibrium
Computation
Conditional expectation
Consumer
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Covariance matrix
Decision rule
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Demand curve
Depreciation
Division by zero
Dynamic programming
Economic equilibrium
Economics
Economy
Eigenvalues and eigenvectors
Engel curve
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eq_isMigrated=2
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Equation
Factorization
Household
Impulse response
Income
Initial condition
Invertible matrix
Investment goods
Iteration
Kalman filter
Lag operator
Lagrange multiplier
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Likelihood function
Linear combination
Linear regulator
Loss function
Marginal utility
Martingale difference sequence
Mathematical optimization
MATLAB
Numeraire
Observational error
Optimal control
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Parameter
Partial equilibrium
Physical capital
Preference (economics)
Price system
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Quantity
Random variable
Rational expectations
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Shadow price
softlaunch
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Spectral density
State of the World (book series)
State variable
State-space representation
Stationary distribution
Stochastic process
Stock
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Technology
Time series
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Valuation (finance)
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Vector autoregression
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Product details
- ISBN 9780691042770
- Weight: 907g
- Dimensions: 178 x 254mm
- Publication Date: 26 Dec 2013
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
- Language: English
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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. Hansen and Sargent 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, based on the 2012 Gorman lectures, 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.
Lars Peter Hansen is the David Rockefeller Distinguished Service Professor at the University of Chicago, where he is also the research director of the Becker Friedman Institute. Thomas J. Sargent is professor of economics at New York University and a senior fellow at the Hoover Institution at Stanford University. His books include Rational Expectations and Inflation and The Conquest of American Inflation (both Princeton). Hansen and Sargent are the coauthors of Robustness (Princeton). Sargent was awarded the Nobel Prize in economics in 2011 and Hansen received it in 2013.
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