RobustnessPrinceton 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. |
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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 |
427 | |
431 | |