Books

January 2014 | Book

Uncertainty within Economic Models

Lars Peter Hansen, Thomas J. Sargent

Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents’ fears of model misspecification in quantitative contexts.

Publisher: World Scientific Publishing Co.|Document Number: ISBN: 9789814578110|
January 2013 | Book

Recursive Models of Dynamic Linear Economies

Lars Peter Hansen, Thomas J. Sargent

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.

Publisher: Princeton University Press|Document Number: ISBN: 9780691042770|Tags: Econometrics|
January 2009 | Book

Handbook of Financial Econometrics

Yacine Aït-Sahalia, Lars Peter Hansen

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume.

Volume: Volume 1: Tools and Techniques; Volume 2: Applications|Publisher: North Holland|Document Number: ISBN: 9780444535542|
January 2007 | Book

Robustness

Lars Peter Hansen, Thomas J. Sargent

Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics.  

Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.

Publisher: Princeton University Press|Document Number: ISBN: 9780691114422|
January 2003 | Book

Advances in Economics and Econometrics

Mathias Dewatripont, Lars Peter Hansen, Stephen J. Turnovsky

This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline.

Publisher: Cambridge University Press|Document Number: ISBN: 9780521524131|Tags: Econometrics|
January 1991 | Book

Rational Expectations Econometrics

Lars Peter Hansen, Thomas J. Sargent

At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents’ knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling.

This volume consists of work by two rational expectations pioneers dealing with the “nuts and bolts” problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Please note: This book is out of print, but a scanned copy of the text can be found on Tom Sargent’s website by following this link.
Publisher: Westview Press|Document Number: ISBN: 9780813378008|Tags: Econometrics|