In this Book

Recursive Models of Dynamic Linear Economies
summary

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 ® programs that apply to the book’s calculations.

Table of Contents

  1. Cover
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  1. Title Page, Copyright
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  1. Contents
  2. pp. vii-xi
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  1. Preface
  2. pp. xiii-xiv
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  1. Acknowledgments
  2. p. xv
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  1. Part I: Overview
  2. pp. 1-2
  1. 1. Theory and Econometrics
  2. pp. 3-12
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  1. Part II: Tools
  2. pp. 13-14
  1. 2. Linear Stochastic Difference Equations
  2. pp. 15-32
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  1. 3. Efficient Computations
  2. pp. 33-58
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  1. Part III: Components of Economies
  2. pp. 59-60
  1. 4. Economic Environments
  2. pp. 61-78
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  1. 5. Optimal Resource Allocations
  2. pp. 79-124
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  1. 6. A Commodity Space
  2. pp. 125-130
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  1. 7. Competitive Economies
  2. pp. 131-150
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  1. Part IV: Representations and Properties
  2. pp. 151-152
  1. 8. Statistical Representations
  2. pp. 153-190
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  1. 9. Canonical Household Technologies
  2. pp. 191-216
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  1. 10. Examples
  2. pp. 217-232
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  1. 11. Permanent Income Models
  2. pp. 233-252
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  1. 12. Gorman Heterogeneous Households
  2. pp. 253-268
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  1. 13. Complete Markets Aggregation
  2. pp. 269-290
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  1. 14. Periodic Models of Seasonality
  2. pp. 291-326
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  1. A. MATLAB Programs
  2. pp. 327-378
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  1. References
  2. pp. 379-392
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  1. Subject Index
  2. pp. 393-396
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  1. Author Index
  2. pp. 397-398
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  1. MATLAB Index
  2. pp. 399-402
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