Robustness / Lars Peter Hansen, Thomas J. Sargent.

Format:

Book

Author/Creator:

Hansen, Lars Peter.

Contributor:

Sargent, Thomas J.

Language:

English

Subjects (All):

Economics--Mathematical models.

Economics.

Macroeconomics--Decision making.

Macroeconomics.

Decision making.

Physical Description:

xvii, 435 pages : illustrations ; 27 cm

Place of Publication:

Princeton : Princeton University Press, [2008]

Summary:

The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to his decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if he incompletely trusts his model?

Lars Hansen and Thomas Sargent, two leading macroeconomists, push the frontier of the field as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics.

Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.

Notes:

Includes bibliographical references (pages 413-425) and indexes.

ISBN:

9780691114422

0691114420

OCLC:

173238983