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Recursive Models of Dynamic Linear Economies

Author

Listed:
  • Lars Peter Hansen

    (University of Chicago)

  • Thomas J. Sargent

    (New York University
    Stanford University)

Abstract

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.

Suggested Citation

  • Lars Peter Hansen & Thomas J. Sargent, 2013. "Recursive Models of Dynamic Linear Economies," Economics Books, Princeton University Press, edition 1, number 10141, December.
  • Handle: RePEc:pup:pbooks:10141
    as

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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Connecting the Academic and Policy Worlds: Interview with James Bullard
      by David Andolfatto in MacroMania on 2013-11-26 03:40:00

    Citations

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    Cited by:

    1. David Backus & Mikhail Chernov & Stanley E. Zin & Irina Zviadadze, 2013. "Identifying monetary policy in macro-finance models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
    2. Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," Economics Working Papers 15105, Hoover Institution, Stanford University.
    3. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2013. "Identifying Taylor rules in macro-finance models," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    4. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    5. Giannoni, Marc P. & Woodford, Michael, 2017. "Optimal target criteria for stabilization policy," Journal of Economic Theory, Elsevier, vol. 168(C), pages 55-106.
    6. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    7. Stephen Wright & James Mitchell & Donald Robertson, 2018. "R2 bounds for predictive models: what univariate properties tell us about multivariate predictability," Birkbeck Working Papers in Economics and Finance 1804, Birkbeck, Department of Economics, Mathematics & Statistics.
    8. repec:eee:macchp:v2-527 is not listed on IDEAS
    9. Mitchell, James & Robertson, Donald & Wright, Stephen, 2016. "What univariate models tell us about multivariate macroeconomic models," EMF Research Papers 08, Economic Modelling and Forecasting Group.
    10. repec:eee:jcecon:v:45:y:2017:i:2:p:271-286 is not listed on IDEAS
    11. repec:eee:jmacro:v:58:y:2018:i:c:p:39-59 is not listed on IDEAS
    12. Steven Kou & Xianhua Peng & Xingbo Xu, 2016. "EM Algorithm and Stochastic Control in Economics," Papers 1611.01767, arXiv.org.
    13. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.
    14. Paolo Vitale, 2017. "Pessimistic Optimal Choice for Risk-Averse Agents: The Continuous-Time Limit," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 17-65, January.
    15. Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016. "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers 16-738, Toulouse School of Economics (TSE).

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