Leseprobe
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Robustness
Thomas J. Sargent, Lars Peter Hansen
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Sozialwissenschaften, Recht, Wirtschaft / Wirtschaft
Beschreibung
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted?
Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics.
Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
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Stochastic process, Parameter, Loss function, Probability, State variable, Sylvester equation, Optimal control, Ramsey problem, Kalman filter, Markov perfect equilibrium, Marginal rate of substitution, Discrete time and continuous time, Eigenvalues and eigenvectors, Expected utility hypothesis, Mathematical optimization, Control theory, Riccati equation, Hyperbolic discounting, Bellman equation, Kullback–Leibler divergence, Invariant subspace, Permanent income hypothesis, Conditional expectation, Markov chain, Normal distribution, Big O notation, Order condition, Lagrange multiplier, Trend stationary, Macroeconomics, Algebraic Riccati equation, Utility, Decision rule, Calculation, Stochastic control, Best, worst and average case, Robustness, Decision problem, Linear regulator, Bayesian, Dummy variable (statistics), Frequency domain, Covariance matrix, Representative agent, Markov process, Preference (economics), Economic equilibrium, Theorem, Partial equilibrium, Unit root test, Autocorrelation, Robust control, Shadow price, Stochastic discount factor, Estimation, Decision-making, Probability distribution, Dynamic programming, Competitive equilibrium, Estimation theory, Free parameter, Linear least squares (mathematics), Uncertainty, Precautionary savings, Risk aversion, Rational expectations, Observational equivalence, Lucas critique, Detection, Ambiguity aversion