### Abstract

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. Based on the 2012 Gorman lectures, the authors 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 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.

Original language | English (US) |
---|---|

Publisher | Princeton University Press |

Number of pages | 399 |

ISBN (Electronic) | 9781400848188 |

ISBN (Print) | 9780691042770 |

State | Published - Dec 29 2013 |

### ASJC Scopus subject areas

- Economics, Econometrics and Finance(all)
- Business, Management and Accounting(all)

## Fingerprint Dive into the research topics of 'Recursive models of dynamic linear economies'. Together they form a unique fingerprint.

## Cite this

*Recursive models of dynamic linear economies*. Princeton University Press.