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Recursive Linear Models of Dynamic Economies

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  • Lars Peter Hansen
  • Thomas J. Sargent

Abstract

This paper describes a class of dynamic stochastic linear quadratic equilibrium models. A model is specified by naming lists of matrices that determine preferences, technology, and the information structure. Aggregate equilibrium allocations and prices are computed by solving a social planning problem in the form of an optimal linear regulator. Heterogeneity among agents is permitted. Several examples are computed.

Suggested Citation

  • Lars Peter Hansen & Thomas J. Sargent, 1990. "Recursive Linear Models of Dynamic Economies," NBER Working Papers 3479, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:3479
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    References listed on IDEAS

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