The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing-Models
@article{hansen1987role,
title={The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models},
author={Hansen, Lars Peter and Richard, Scott F},
journal={Econometrica: Journal of the Econometric Society},
pages={587--613},
year={1987},
publisher={JSTOR}
}
✕ Calculating Asset Prices in Three Example Economies
@inproceedings{hansen1987calculating,
title={Calculating Asset Prices in Three Example Economies},
author={Hansen, Lars Peter},
booktitle={Advances in Econometrics: Volume 1: Fifth World Congress},
year={1987},
organization={Press Cambridge University}
}
✕A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators
For many time series estimation problems, there is an infinite-dimensional class of generalized method of moments estimators that are consistent and asymptotically normal. This paper suggests a procedure for calculating the greatest lower bound for the asymptotic covariance matrices of such estimators. The analysis focuses on estimation problems in which the data are generated by a stochastic process that is stationary and ergodic. The calculation of the bound uses martingale difference approximations as suggested by Gordon (1969) and a matrix version of Hilbert space methods.
Tag: GMM
@article{hansen1985method,
title={A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators},
author={Hansen, Lars Peter},
journal={Journal of Econometrics},
volume={30},
number={1-2},
pages={203--238},
year={1985},
publisher={Elsevier}
}
✕ Linear-Quadratic Duopoly Models of Resource Depletion
This chapter contains some methods for quantitatively analyzing multiple-agent models of dynamic games in which at least one agent takes into account its influence on the aggregate environment. We confine our attention to models in which the agents solve stochastic, quadratic optimization problems subject to linear constraints. A convenient feature of such models is that the equilibrium laws of motion are linear in the relevant state variables and can be deduced easily. Consequently, we can obtain tractable characterizations of the empirical implications of the models under alternative rules for how the agents interact.
@article{hansen:1985,
title={Linear-Quadratic Duopoly Models of Resource Depletion},
author={Hansen, Lars P and Epple, Dennis and Roberds, William},
journal={Energy, Foresight and Strategy},
year={1985}
}
✕ Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data.
@article{hansensingleton:1983,
title={Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns},
author={Hansen, Lars Peter and Singleton, Kenneth J},
journal={Journal of political economy},
volume={91},
number={2},
pages={249–265},
year={1983},
publisher={The University of Chicago Press}
}
The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
This paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data. It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models. It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of time series data.
@article{hansen1983b,
title={The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities},
author={Hansen, Lars Peter and Sargent, Thomas J},
journal={Econometrica: Journal of the Econometric Society},
pages={377–387},
year={1983},
publisher={JSTOR}
}
✕Multiperiod Probit Models and Orthogonality Condition Estimation
@article{ahh:1983multiperiod,
title={Multiperiod probit models and orthogonality condition estimation},
author={Avery, Robert B and Hansen, Lars Peter and Hotz, V Joseph},
journal={International Economic Review},
pages={21--35},
year={1983},
publisher={JSTOR}
}
✕ Aggregation Over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time
This paper describes the continuous time stochastic process for money and inflation under which Cagan’s adaptive expectations model is optimal. It then analyzes how data formed by sampling money and prices at discrete points in time would behave.
@article{hansen1983aggregation,
title={Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time},
author={Hansen, Lars Peter and Sargent, Thomas J},
journal={International Economic Review},
pages={1–20},
year={1983},
publisher={JSTOR}
}
✕Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
In this paper we study the determination of forward foreign exchange rates. An exchange rate is the price of one currency in terms of another currency, and a forward rate is a contractual exchange rate established at a point in time for a transaction that will take place at the maturity date on the contract in the future. Well-organized forward markets exist for all major currencies of the world for various maturities, with the most active contract lengths being one, three, six, and twelve months.
@incollection{hansen:1983,
title={Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models},
author={Hansen, Lars Peter and Hodrick, Robert J},
booktitle={Exchange Rates and International Macroeconomics},
pages={113--152},
year={1983},
publisher={University of Chicago Press}
}
✕ Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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.)
@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}
}