bokomslag Recursive Models of Dynamic Linear Economies
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Recursive Models of Dynamic Linear Economies

Lars Peter Hansen Thomas J Sargent

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  • 424 sidor
  • 2013
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.
  • Författare: Lars Peter Hansen, Thomas J Sargent
  • Illustratör: 20 line illus
  • Format: Inbunden
  • ISBN: 9780691042770
  • Språk: Engelska
  • Antal sidor: 424
  • Utgivningsdatum: 2013-12-26
  • Förlag: Princeton University Press