Recursive Models of Dynamic Linear Economies
Synopsis
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.
- Copyright:
- 2014 Princeton University Press
Book Details
- Book Quality:
- ISBN-13:
- 9781400848188
- Publisher:
- Princeton University Press
- Date of Addition:
- 2017-04-20T11:00:57Z
- Language:
- English
- Categories:
- Usage Restrictions:
- This is a copyrighted book.