Recursive Models of Dynamic Linear Economies

By: Lars Peter Hansen, Thomas J. Sargent

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Hardcover | 5 March 2014

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Hardcover
424 Pages

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18.9 x 26.4 x 3.2

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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.

Industry Reviews

Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics

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