Recursive Models of Dynamic Linear Economies

di Thomas J. Sargent (Autore)

Lars Peter Hansen (Autore)

Princeton University Press, 2013

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.

• Autore: Thomas J. Sargent, Lars Peter Hansen
• Anno edizione: 2013
• Editore: Princeton University Press
• Formato: EPUB2 con Adobe DRM
• Lingua: Inglese
• Compatibilità: Tutti i dispositivi (eccetto Kindle)
• Layout: Reflowable
• EAN: 9781400848188