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Recursive Models of Dynamic Linear Economies
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Recursive Models of Dynamic Linear Economies

Lars Peter Hansen and Thomas J. Sargent

Abstract

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 ... More

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

Bibliographic Information

Print publication date: 2013 Print ISBN-13: 9780691042770
Published to Princeton Scholarship Online: October 2017 DOI:10.23943/princeton/9780691042770.001.0001

Authors

Affiliations are at time of print publication.

Lars Peter Hansen, author
University of Chicago

Thomas J. Sargent, author
New York University