Papers

August 1981 | Article

A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models

Lars Peter Hansen and Thomas J. Sargent

A prediction formula for geometrically declining sums of future forcing variables is derived for models in which the forcing variables are generated by a vector autoregressive-moving average process. This formula is useful in deducing and characterizing cross-equation restrictions implied by linear rational expectations models.

Journal: Economics Letters|Volume: 8|Issue Number: 3|Pages: 255-260|Tags: Econometrics|
January 1981 | Chapter

Linear Rational Expectations Models for Dynamically Interrelated Variables

Lars Peter Hansen and Thomas J. Sargent
Pages: 127-156|Title of book: Rational Expectations and Econometric Practice, Vol. 1|Editor(s): Robert E. Lucas Jr. and Thomas J. Sargent|Publisher: University of Minnesota Press|Tags: Econometrics, Financial Market Linkages to the Macroeconomy|
December 1980 | Article

Formulating and Estimating Dynamic Linear Rational Expectations Models

Lars Peter Hansen and Thomas J. Sargent

This paper describes methods for conveniently formulating and estimating dynamic linear econometric models under the hypothesis of rational expectations. An econometrically convenient formula for the cross-equation rational expectations restrictions is derived. Models of error terms and the role of the concept of Granger causality in formulating rational expectations models are both discussed. Tests of the hypothesis of strict econometric exogeneity along the lines of Sims’s are compared with a test that is related to Wu’s.

Journal: Journal of Economic Dynamics & Control|Volume: 2|Pages: 7-46|Export BibTeX >
@article{hansen:1980formulating,
  title={Formulating and Estimating Dynamic Linear Rational Expectations Models},
  author={Hansen, Lars Peter and Sargent, Thomas J},
  journal={Journal of Economic Dynamics and Control},
  volume={2},
  pages={7--46},
  year={1980},
  publisher={Elsevier}
}
October 1980 | Article

Forward Exchange-Rates as Optimal Predictors of Future Spot Rates-An Econometric Analysis

Lars Peter Hansen and Robert J. Hodrick

This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose large sample properties have not heretofore been discussed, is provided.

Journal: Journal of Political Economy|Volume: 88|Issue Number: 5|Pages: 829-853|Tags: Econometrics, Financial Market Linkages to the Macroeconomy|Export BibTeX >

@article{hansen:1980,
title={Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis},
author={Hansen, Lars Peter and Hodrick, Robert J},
journal={Journal of Political Economy},
volume={88},
number={5},
pages={829–853},
year={1980},
publisher={The University of Chicago Press}
}

January 1978 | Article

A Note on First Degree Stochastic Dominance

Lars Peter Hansen, C.A. Holt, D. Peled

A link is established between stochastic dominance and a different dominance relationship which we call pointwise dominance. This provides the basis for making several comparisons of expected values of non-decreasing functions of random variables. We discuss economic problems for which the application of stochastic dominance results depends on this link.

Journal: Economic Letters|Volume: 1|Issue Number: 4|Pages: 315-319|Tags: Econometrics|Export BibTeX >
@article{hhp:1978,
  title={A Note on First Degree Stochastic Dominance},
  author={Hansen, Lars Peter and Holt, Charles A and Peled, Dan},
  journal={Economics Letters},
  volume={1},
  number={4},
  pages={315--319},
  year={1978},
  publisher={Elsevier}
}