Recursive Models of Dynamic Linear Economies /

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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 exa...

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Detalles Bibliográficos
Autores principales: Hansen, Lars Peter (Autor), Sargent, Thomas J. (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton, NJ : Princeton University Press, [2013]
Edición:Course Book
Colección:The Gorman Lectures in Economics ; 6
Temas:
Economics > Mathematical models.
Economics; Mathematical models.
BUSINESS & ECONOMICS / Economics / Theory.
Engel curves.
Gorman aggregation.
Lagrange multipliers.
Lagrangian.
MATLAB programs.
aggregate consumption.
aggregation.
allocation.
approximation.
asset pricing.
autoregressive representations.
canonical representation.
cattle.
commodity space.
competitive equilibia.
competitive equilibria.
competitive equilibrium allocation.
competitive equilibrium.
complete markets.
consumer preferences.
consumption.
decentralized economy.
demand function.
doubling algorithm.
dynamic estimation.
dynamic optimization.
dynamic programming.
econometric estimation.
econometrics.
economic environment.
economic equilibrium.
economic theory.
economy.
endowments.
fast algorithms.
filtering.
heterogeneous households.
household preferences.
household technologies.
housing.
invariant subspace methods.
law of motion.
laws of motion.
linear regulator problem.
linear stochastic difference equation.
linear-quadratic optimal control.
linear-quadratic-Gaussian-dynamic economies.
macroeconomics.
martingale difference sequence.
matrices.
microeconomics.
multiple goods.
occupational choice.
optimal decision rule.
partial equilibrium models.
periodic economies.
periodicity.
permanent income model.
preference ordering.
preferences model.
price system.
random disturbance.
rational addiction model.
representative firm.
resource allocation.
seasonality model.
social planning.
spectral density.
state variables.
stochastic Lagrange multipliers.
storage technology.
taste.
technology shock.
time series.
valuation.
value function.
vector first-order.
welfare economics.
Acceso en línea:Texto completo
Texto completo
Descripción
Sumario: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.
Descripción Física:1 online resource (424 p.) : 20 line illus.
ISBN:9781400848188
9783110665925
Acceso:restricted access

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