Recursive Linear Mod - Thomas J. Sargent; Lars Peter Hansen

Recursive Linear Mod
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Autor: Thomas J. Sargent; Lars Peter Hansen

 Wydawnictwo: Princeton University Press
ISBN: 9780691042770
EAN:
Format: ...
Oprawa: twarda
Stron: 424
Data wydania: 2014-02-26
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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. Based on the 2012 Gorman lectures, the authors 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 stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB (R) programs that apply to the book's calculations. Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics Thomas J. Sargent, Winner of the 2011 Nobel Prize in Economics

Książka "Recursive Linear Mod"
Thomas J. Sargent; Lars Peter Hansen