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Recursive Models of Dynamic Linear Economies (The Gorman Lectures in Economics, 6)
Full title: | Recursive Models of Dynamic Linear Economies (The Gorman Lectures in Economics, 6) |
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ISBN: | 9780691180731 |
ISBN 10: | 0691180733 |
Authors: | Hansen, Lars Peter Sargent, Thomas J. |
Publisher: | Princeton University Press |
Edition: | Reprint |
Num. pages: | 424 |
Binding: | Paperback |
Language: | en |
Published on: | 2018 |
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Synopsis
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.