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Recursive Models of Dynamic Linear Economies

Listed author(s):
  • Lars Peter Hansen

    (University of Chicago)

  • Thomas J. Sargent

    (New York University
    Stanford University)

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.

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This book is provided by Princeton University Press in its series Economics Books with number 10141 and published in 2013.
Edition: 1
Handle: RePEc:pup:pbooks:10141
Contact details of provider: Web page: http://press.princeton.edu

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