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Recursive Models of Dynamic Linear Economies
Lars Peter Hansen, Thomas J. Sargent
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Sozialwissenschaften, Recht, Wirtschaft / Wirtschaft
Beschreibung
A guide to the economic modeling of household preferences, from two leaders in the field
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.
Hansen and Sargent 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, based on the 2012 Gorman lectures, 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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Budget constraint, Quantity, Dynamic programming, Income, Computation, Loss function, Conditional expectation, Kalman filter, MATLAB, Investment goods, Division by zero, Special case, Economy, Physical capital, Rational expectations, Wealth, Commodity, Consumer, Stationary distribution, Parameter, Time series, Shadow price, Martingale difference sequence, Numeraire, Mathematical optimization, State variable, Utility, Absolute value, Spectral density, Economic equilibrium, Lag operator, State of the World (book series), Lagrange multiplier, Variable (mathematics), Marginal utility, Valuation (finance), Covariance matrix, Linear combination, Stock, Observational error, Economics, Iteration, Preference (economics), Initial condition, Impulse response, Bellman equation, Linear regulator, Eigenvalues and eigenvectors, Vector autoregression, Household, Factorization, Demand curve, Equation, Partial equilibrium, Price system, Engel curve, Decision rule, Seasonality, Random variable, Algorithm, Technology, Summation, State-space representation, Optimal control, Likelihood function, Calculation, Competitive equilibrium, Depreciation, Invertible matrix, Stochastic process