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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 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.
Economics --- Mathematical models. --- 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.
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