Uncertainty within Economic Models

Business & Finance, Economics, Econometrics, Macroeconomics
Cover of the book Uncertainty within Economic Models by Lars Peter Hansen, Thomas J Sargent, World Scientific Publishing Company
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Lars Peter Hansen, Thomas J Sargent ISBN: 9789814578134
Publisher: World Scientific Publishing Company Publication: September 9, 2014
Imprint: WSPC Language: English
Author: Lars Peter Hansen, Thomas J Sargent
ISBN: 9789814578134
Publisher: World Scientific Publishing Company
Publication: September 9, 2014
Imprint: WSPC
Language: English

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.

Contents:

  • Introduction
  • Discounted Linear Exponential Quadratic Gaussian Control
  • Robust Permanent Income and Pricing
  • A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
  • Robust Control and Model Uncertainty
  • Robust Control and Model Misspecification
  • Doubts or Variability?
  • Robust Estimation and Control without Commitment
  • Fragile Beliefs and the Price of Uncertainty
  • Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
  • Three Types of Ambiguity

Readership: Graduate students; researchers and economists interested in Econometrics; Macroeconomics and Dynamic Programming.
Key Features:

  • A collection of papers adapting and applying robust control theory to problems in economics and finance
  • Brings together works by two active researchers in the field and their coauthors
  • Includes an introduction to link the papers and tell how they fit within broader efforts to improve macroeconomic and finance theories
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

Contents:

Readership: Graduate students; researchers and economists interested in Econometrics; Macroeconomics and Dynamic Programming.
Key Features:

More books from World Scientific Publishing Company

Cover of the book Computer Vision in Medical Imaging by Lars Peter Hansen, Thomas J Sargent
Cover of the book Handbook of Coastal and Ocean Engineering by Lars Peter Hansen, Thomas J Sargent
Cover of the book The Little Red Dot by Lars Peter Hansen, Thomas J Sargent
Cover of the book Differential Equations as Models in Science and Engineering by Lars Peter Hansen, Thomas J Sargent
Cover of the book The Legal and Economic Analysis of the WTO/FTA System by Lars Peter Hansen, Thomas J Sargent
Cover of the book A Computable Universe by Lars Peter Hansen, Thomas J Sargent
Cover of the book Nuclear Structure Problems by Lars Peter Hansen, Thomas J Sargent
Cover of the book The Rise of the Regulatory State in the Chinese Health-care System by Lars Peter Hansen, Thomas J Sargent
Cover of the book Aristotle's Laptop by Lars Peter Hansen, Thomas J Sargent
Cover of the book A Walk Through Combinatorics by Lars Peter Hansen, Thomas J Sargent
Cover of the book Classical Dynamics by Lars Peter Hansen, Thomas J Sargent
Cover of the book Dynamical Systems, Number Theory and Applications by Lars Peter Hansen, Thomas J Sargent
Cover of the book Plasma Physics in Active Wave Ionosphere Interaction by Lars Peter Hansen, Thomas J Sargent
Cover of the book CPT and Lorentz Symmetry by Lars Peter Hansen, Thomas J Sargent
Cover of the book Arithmetic for Parents by Lars Peter Hansen, Thomas J Sargent
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy