In this Book
- Recursive Models of Dynamic Linear Economies
- Book
- 2013
- Published by: Princeton University Press
- Series: The Gorman Lectures in Economics
A guide to the economic modeling of household preferences, from two leaders in the field
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.
Table of Contents
- Acknowledgments
- p. xv
- Part I: Overview
- 1. Theory and Econometrics
- pp. 3-12
- Part II: Tools
- 3. Efficient Computations
- pp. 33-58
- Part III: Components of Economies
- 4. Economic Environments
- pp. 61-78
- 5. Optimal Resource Allocations
- pp. 79-124
- 6. A Commodity Space
- pp. 125-130
- 7. Competitive Economies
- pp. 131-150
- Part IV: Representations and Properties
- 8. Statistical Representations
- pp. 153-190
- 9. Canonical Household Technologies
- pp. 191-216
- 10. Examples
- pp. 217-232
- 11. Permanent Income Models
- pp. 233-252
- 12. Gorman Heterogeneous Households
- pp. 253-268
- 13. Complete Markets Aggregation
- pp. 269-290
- 14. Periodic Models of Seasonality
- pp. 291-326
- A. MATLAB Programs
- pp. 327-378
- References
- pp. 379-392
- Subject Index
- pp. 393-396
- Author Index
- pp. 397-398
- MATLAB Index
- pp. 399-402