Recursive Models of Dynamic Linear Economies /
Hansen, Lars Peter
Recursive Models of Dynamic Linear Economies / Thomas J. Sargent, Lars Peter Hansen. - Course Book - 1 online resource (424 p.) : 20 line illus. - The Gorman Lectures in Economics ; 6 .
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
restricted access http://purl.org/coar/access_right/c_16ec
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.
Mode of access: Internet via World Wide Web.
In English.
9780691042770 9781400848188
10.1515/9781400848188 doi
Economics--Mathematical models.
Economics; Mathematical models.
BUSINESS & ECONOMICS / Economics / Theory.
Engel curves. Gorman aggregation. Lagrange multipliers. Lagrangian. MATLAB programs. aggregate consumption. aggregation. allocation. approximation. asset pricing. autoregressive representations. canonical representation. cattle. commodity space. competitive equilibia. competitive equilibria. competitive equilibrium allocation. competitive equilibrium. complete markets. consumer preferences. consumption. decentralized economy. demand function. doubling algorithm. dynamic estimation. dynamic optimization. dynamic programming. econometric estimation. econometrics. economic environment. economic equilibrium. economic theory. economy. endowments. fast algorithms. filtering. heterogeneous households. household preferences. household technologies. housing. invariant subspace methods. law of motion. laws of motion. linear regulator problem. linear stochastic difference equation. linear-quadratic optimal control. linear-quadratic-Gaussian-dynamic economies. macroeconomics. martingale difference sequence. matrices. microeconomics. multiple goods. occupational choice. optimal decision rule. partial equilibrium models. periodic economies. periodicity. permanent income model. preference ordering. preferences model. price system. random disturbance. rational addiction model. representative firm. resource allocation. seasonality model. social planning. spectral density. state variables. stochastic Lagrange multipliers. storage technology. taste. technology shock. time series. valuation. value function. vector first-order. welfare economics.
Recursive Models of Dynamic Linear Economies / Thomas J. Sargent, Lars Peter Hansen. - Course Book - 1 online resource (424 p.) : 20 line illus. - The Gorman Lectures in Economics ; 6 .
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
restricted access http://purl.org/coar/access_right/c_16ec
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.
Mode of access: Internet via World Wide Web.
In English.
9780691042770 9781400848188
10.1515/9781400848188 doi
Economics--Mathematical models.
Economics; Mathematical models.
BUSINESS & ECONOMICS / Economics / Theory.
Engel curves. Gorman aggregation. Lagrange multipliers. Lagrangian. MATLAB programs. aggregate consumption. aggregation. allocation. approximation. asset pricing. autoregressive representations. canonical representation. cattle. commodity space. competitive equilibia. competitive equilibria. competitive equilibrium allocation. competitive equilibrium. complete markets. consumer preferences. consumption. decentralized economy. demand function. doubling algorithm. dynamic estimation. dynamic optimization. dynamic programming. econometric estimation. econometrics. economic environment. economic equilibrium. economic theory. economy. endowments. fast algorithms. filtering. heterogeneous households. household preferences. household technologies. housing. invariant subspace methods. law of motion. laws of motion. linear regulator problem. linear stochastic difference equation. linear-quadratic optimal control. linear-quadratic-Gaussian-dynamic economies. macroeconomics. martingale difference sequence. matrices. microeconomics. multiple goods. occupational choice. optimal decision rule. partial equilibrium models. periodic economies. periodicity. permanent income model. preference ordering. preferences model. price system. random disturbance. rational addiction model. representative firm. resource allocation. seasonality model. social planning. spectral density. state variables. stochastic Lagrange multipliers. storage technology. taste. technology shock. time series. valuation. value function. vector first-order. welfare economics.