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.
- ISBN13 9781400848188
- Publish Date 29 December 2013 (first published 1 January 2013)
- Publish Status Active
- Publish Country US
- Imprint Princeton University Press
- Format eBook
- Pages 424
- Language English
- URL http://degruyter.com/search?f_0=isbnissn&q_0=9781400848188&searchTitles=true