Papers

September 1982 | Article

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

Lars Peter Hansen, Kenneth J. Singleton

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

(See also “Correction,” Econometrica 52(1): 267-268, January 1984.)

Journal: Econometrica|Volume: 50|Issue Number: 5|Pages: 1269-1286|Export BibTeX >

@article{hansensingleton:1982,
title={Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models},
author={Hansen, Lars Peter and Singleton, Kenneth J.},
journal={Econometrica: Journal of the Econometric Society},
pages={1269–1286},
year={1982},
publisher={JSTOR}
}

July 1982 | Article

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen

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: Econometrica|Volume: 50|Issue Number: 4|Pages: 1029-1054|Tags: Econometrics|Export BibTeX >
@article{hansen:1982,
  title={Large Sample Properties of Generalized Method of Moments Estimators},
  author={Hansen, Lars Peter},
  journal={Econometrica: Journal of the Econometric Society},
  pages={1029--1054},
  year={1982},
  publisher={JSTOR}
}
January 1982 | Article

Instrumental Variables Procedures for Estimating Linear Rational Expectations Models

Lars Peter Hansen and Thomas J. Sargent

This paper illustrates how to use instrumental variables procedures to estimate the parameters of a linear rational expectations model. These procedures are appropriate when disturbances are serially correlated and the instrumental variables are not exogenous. We compare our procedures to some alternative estimators that estimate free parameters from restrictions implied by the Euler equations. The procedures are applicable to a variety of linear rational expectations models, several examples of which we cite.

Journal: Journal of Monetary Economics|Volume: 9|Issue Number: 3|Pages: 263-296|Tags: Econometrics|Export BibTeX >
@article{hansen:1982,
  title={Instrumental Variables Procedures for Estimating Linear Rational Expectations Models},
  author={Hansen, Lars Peter and Sargent, Thomas J},
  journal={Journal of Monetary Economics},
  volume={9},
  number={3},
  pages={263--296},
  year={1982},
  publisher={Elsevier}
}
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}
}