Robustness

Přední strana obálky
Princeton University Press, 28. 6. 2016 - Počet stran: 464

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.

 

Vybrané stránky

Obsah

Introduction
3
Generations of control theory Control theory and rational expec
9
when b 0 Constraint and multiplier preferences Concluding
23
Basic ideas and methods
25
A stochastic formulation
53
Linear control theory
67
The Kalman filter
103
Muths problem The dual to Muths filtering problem The filtering
116
Introduction A robust permanent income theory Solution when σ
237
Competitive equilibria without robustness
253
Introduction Pricing risky claims Types of competitive equilibria
269
Introduction A pure endowment economy The planning problem
292
Asset pricing
295
Markov perfect equilibria with robustness
327
Introduction Related literature The robust Stackelberg problem
340
vii
353

Introduction Phillips curve example The governments problem
133
Time domain games for attaining robustness
139
Alternative time domain formulations The setting Two Stackelberg
147
Frequency domain games and criteria for robustness
173
Robustness in the frequency domain Stackelberg game in time
212
Introduction Entropy and detection error probabilities The context
221
A permanent income model
223
Robust filtering with commitment
359
Robust filtering without commitment
383
Alternative approaches
403
Index
427
Author Index
431
Autorská práva

Další vydání - Zobrazit všechny

Robustness
Lars Peter Hansen,Thomas J. Sargent
Omezený náhled - 2008
Robustness
Lars Peter Hansen,Thomas J. Sargent
Omezený náhled - 2011

Běžně se vyskytující výrazy a sousloví

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O autorovi (2016)

Lars Peter Hansen is the Homer J. Livingston Distinguished Service Professor in the Department of Economics at the University of Chicago. Thomas J. Sargent is professor of economics at New York University and senior fellow at the Hoover Institution. He is the author of The Conquest of American Inflation and the coauthor of The Big Problem of Small Change (both Princeton).

Bibliografické údaje

NázevRobustness
AutořiLars Peter Hansen, Thomas J. Sargent
Vydáníilustrované vydání, dotisk
VydavatelPrinceton University Press, 2016
ISBN0691170975, 9780691170978
DélkaPočet stran: 464
  
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