Uncertainty Within Economic Models
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€192.20
A01=Lars Peter Hansen
A01=Thomas J Sargent
Agents
Author_Lars Peter Hansen
Author_Thomas J Sargent
Category=KCH
Dynamic Programming
Econometrics
Economic Models
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Macroeconomics
Market Prices
Model Misspecification
Robust Control Theory
Robustness
Uncertainty
Product details
- ISBN 9789814578110
- Publication Date: 05 Nov 2014
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.
