Recursive Models of Dynamic Linear Economies

Recursive Models of Dynamic Linear Economies - The Gorman Lectures in Economics

Hardback (28 Jan 2014)

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Publisher's Synopsis

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.

Book information

ISBN: 9780691042770
Publisher: Princeton University Press
Imprint: Princeton University Press
Pub date:
DEWEY: 330.01511352
DEWEY edition: 23
Language: English
Number of pages: xv, 399
Weight: 928g
Height: 260mm
Width: 188mm
Spine width: 29mm