Recursive Models of Dynamic Linear Economies / Thomas J. Sargent, Lars Peter Hansen.

Format:

Book

Author/Creator:

Hansen, Lars Peter, author.

Sargent, Thomas J., author.

Series:

Gorman lectures in economics.

The Gorman Lectures in Economics

Language:

English

Subjects (All):

Economics--Mathematical models.

Economics.

Physical Description:

1 online resource (419 pages) : charts

Edition:

Course Book

Place of Publication:

Princeton, NJ : Princeton University Press, [2013]

Language Note:

English

Summary:

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.

Contents:

Frontmatter

Contents

Preface

Acknowledgments

Part I. Overview

Chapter 1. Theory and Econometrics

Part II. Tools

Chapter 2. Linear Stochastic Difference Equations

Chapter 3. Efficient Computations

Part III. Components of Economies

Chapter 4. Economic Environments

Chapter 5. Optimal Resource Allocations

Chapter 6. A Commodity Space

Chapter 7. Competitive Economies

Part IV. Representations and Properties

Chapter 8. Statistical Representations

Chapter 9. Canonical Household Technologies

Chapter 10. Examples

Chapter 11. Permanent IncomeModels

Chapter 12. Gorman Heterogeneous Households

Chapter 13. Complete Markets Aggregation

Chapter 14. Periodic Models of Seasonality

Appendix A. MATLAB Programs

References

Subject Index

Author Index

MATLAB Index

The Gorman Lectures in Economics

Notes:

Previously issued in print: 2013.

Includes bibliographical references (p. 379-392) and index.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 08. Jul 2019)

ISBN:

9780691180731

0691180733

9781400848188

1400848180

OCLC:

863670637