|
Showing 1 - 18 of
18 matches in All Departments
This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.
This is the second of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.
These three volumes contain edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and future directions in a wide range of topics in economics and econometrics. They cover theory and applications and provide a unique survey of progress in the discipline.
Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013)
and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty
within Economic Models includes articles adapting and applying
robust control theory to problems in economics and finance. This
book extends rational expectations models by including agents who
doubt their models and adopt precautionary decisions designed to
protect themselves from adverse consequences of model
misspecification. This behavior has consequences for what are
ordinarily interpreted as market prices of risk, but big parts of
which should actually be interpreted as market prices of model
uncertainty. The chapters discuss ways of calibrating agents' fears
of model misspecification in quantitative contexts.
At the core of the rational expectations revolution is the insight
that economic policy does not operate independently of economic
agents' knowledge of that policy and their expectations of the
effects of that policy. This means that there are very complicated
feedback relationships existing between policy and the behaviour of
economic agents, and these relationships pose very difficult
problems in econometrics when one tries to exploit the rational
expectations insight in formal economic modelling. This volume
consists of work by two rational expectations pioneers dealing with
the "nuts and bolts" problems of modelling the complications
introduced by rational expectations. Each paper deals with aspects
of the problem of making inferences about parameters of a dynamic
economic model on the basis of time series observations. Each
exploits restrictions on an econometric model imposed by the
hypothesis that agents within the model have rational expectations.
This is the second of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.
This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.
This collection of original articles 8 years in the making
shines a bright light on recent advances in financial econometrics.
From a survey of mathematical and statistical tools for
understanding nonlinear Markov processes to an exploration of the
time-series evolution of the risk-return tradeoff for stock market
investment, noted scholars Yacine Ait-Sahalia and Lars Peter Hansen
benchmark the current state of knowledge while contributors build a
framework for its growth. Whether in the presence of statistical
uncertainty or the proven advantages and limitations of value at
risk models, readers will discover that they can set few
constraints on the value of this long-awaited volume.
Presents a broad survey of current research-from local
characterizations of the Markov process dynamics to financial
market trading activityContributors include Nobel Laureate Robert
Engle and leading econometriciansOffers a clarity of method and
explanation unavailable in other financial econometrics
collections"
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(r) programs that apply
to the book's calculations.
|
Robustness (Paperback)
Lars Peter Hansen, Thomas J Sargent
|
R989
Discovery Miles 9 890
|
Ships in 12 - 17 working days
|
The standard theory of decision making under uncertainty advises
the decision maker to form a statistical model linking outcomes to
decisions and then to choose the optimal distribution of outcomes.
This assumes that the decision maker trusts the model completely.
But what should a decision maker do if the model cannot be trusted?
Lars Hansen and Thomas Sargent, two leading macroeconomists, push
the field forward as they set about answering this question. They
adapt robust control techniques and apply them to economics. By
using this theory to let decision makers acknowledge
misspecification in economic modeling, the authors develop
applications to a variety of problems in dynamic macroeconomics.
Technical, rigorous, and self-contained, this book will be useful
for macroeconomists who seek to improve the robustness of
decision-making processes.
A guide to the economic modeling of household preferences, from two
leaders in the field 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.
Handbook of Econometrics, Volume 7A, examines recent advances in
foundational issues and "hot" topics within econometrics, such as
inference for moment inequalities and estimation of high
dimensional models. With its world-class editors and contributors,
it succeeds in unifying leading studies of economic models,
mathematical statistics and economic data. Our flourishing ability
to address empirical problems in economics by using economic theory
and statistical methods has driven the field of econometrics to
unimaginable places. By designing methods of inference from data
based on models of human choice behavior and social interactions,
econometricians have created new subfields now sufficiently mature
to require sophisticated literature summaries.
Applied financial econometrics subjects are featured in this
second volume, with papers that survey important research even as
they make unique empirical contributions to the literature. These
subjects are familiar: portfolio choice, trading volume, the
risk-return tradeoff, option pricing, bond yields, and the
management, supervision, and measurement of extreme and infrequent
risks. Yet their treatments are exceptional, drawing on current
data and evidence to reflect recent events and scholarship. A
landmark in its coverage, this volume should propel financial
econometric research for years.
Presents a broad survey of current research
Contributors are leading econometricians
Offers a clarity of method and explanation unavailable in other
financial econometrics collections
These three volumes contain edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and future directions in a wide range of topics in economics and econometrics. They cover theory and applications and provide a unique survey of progress in the discipline.
|
You may like...
Loot
Nadine Gordimer
Paperback
(2)
R383
R318
Discovery Miles 3 180
Atmosfire
Jan Braai
Hardcover
R590
R425
Discovery Miles 4 250
|