Book

Recursive Models of Dynamic Linear Economies

Lars Peter Hansen and Thomas J. Sargent

Published by Princeton University Press

Published in print December 2013 | ISBN: 9780691042770
Published online October 2017 | e-ISBN: 9781400848188
Recursive Models of Dynamic Linear Economies

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A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. This book uses these tools to create a class of econometrically tractable models of prices and quantities. The book presents examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While the book demonstrates the analytical benefits acquired when an analysis with a representative consumer is possible, it also characterizes the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. The book unites economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. It constructs and applies competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. The 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.

Keywords: dynamic optimization; dynamic estimation; filtering; microeconomics; macroeconomics; asset pricing; economic theory; econometrics; MATLAB programs

Book.  424 pages.  Illustrated.

Subjects: History of Economic Thought

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Table of Contents

Theory and Econometrics in Recursive Models of Dynamic Linear Economies

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Linear Stochastic Difference Equations in Recursive Models of Dynamic Linear Economies

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Efficient Computations in Recursive Models of Dynamic Linear Economies

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Economic Environments in Recursive Models of Dynamic Linear Economies

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Optimal Resource Allocations in Recursive Models of Dynamic Linear Economies

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A Commodity Space in Recursive Models of Dynamic Linear Economies

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Competitive Economies in Recursive Models of Dynamic Linear Economies

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Statistical Representations in Recursive Models of Dynamic Linear Economies

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Canonical Household Technologies in Recursive Models of Dynamic Linear Economies

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Examples in Recursive Models of Dynamic Linear Economies

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