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 New Chemistry and New Opportunities from the Expanding Protein Universe by Lars Peter Hansen, Thomas J Sargent
Cover of the book Politics and Governance in Indian States by Lars Peter Hansen, Thomas J Sargent
Cover of the book A Reformulation of Keynesian Economics by Lars Peter Hansen, Thomas J Sargent
Cover of the book Time, Space, Stars and Man by Lars Peter Hansen, Thomas J Sargent
Cover of the book Slicing the Truth by Lars Peter Hansen, Thomas J Sargent
Cover of the book How to Create a Successful Business Plan by Lars Peter Hansen, Thomas J Sargent
Cover of the book Electron Dynamics in Molecular Interactions by Lars Peter Hansen, Thomas J Sargent
Cover of the book Physics and Our World by Lars Peter Hansen, Thomas J Sargent
Cover of the book Singapore 2065 by Lars Peter Hansen, Thomas J Sargent
Cover of the book The Encyclopedia of Medical Robotics by Lars Peter Hansen, Thomas J Sargent
Cover of the book Financial Linkages, Remittances, and Resource Dependence in East Asia by Lars Peter Hansen, Thomas J Sargent
Cover of the book The Young Scientists Series by Lars Peter Hansen, Thomas J Sargent
Cover of the book 50 Years of ASEAN and Singapore by Lars Peter Hansen, Thomas J Sargent
Cover of the book Liquid Crystals with Nano and Microparticles by Lars Peter Hansen, Thomas J Sargent
Cover of the book Medicine and Biopharmaceutical 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