Recursive Models of Dynamic Linear Economies

Lars Peter Hansen, Thomas J. Sargent

• Éditeur: Princeton University Press
• Année: 2013
• ISBN:
  9781400848188
• Sujet: Économie
• Sous-sujet: Théorie économique

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.

Table des matières

• Cover Page
• Title Page
• Copyright Page
• Contents
• Preface
• Acknowledgments
• Part I: Overview
• Part II: Tools
• Part III: Components of Economies
• Part IV: Representations and Properties
• A. MATLAB Programs
• References
• Subject Index
• Author Index
• MATLAB Index