02968cam a22003137 4500001000700000003000500007005001700012008004100029100002400070245010200094260006600196490004200262500001600304520124300320530006101563538007201624538003601696690007601732690019601808690009302004690008902097690008802186690007402274690011202348710004202460830007702502856003802579856003702617w12948NBER20170628135644.0170628s2007 mau||||fs|||| 000 0 eng d1 aHansen, Lars Peter.10aBeliefs, Doubts and Learningh[electronic resource]:bValuing Economic Risk /cLars Peter Hansen. aCambridge, Mass.bNational Bureau of Economic Researchc2007.1 aNBER working paper seriesvno. w12948 aMarch 2007.3 aThis paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the probability model that economic agents are presumed to use. Typically it is assumed that economic agents know more than the econometrician, and econometric ambiguity is often withheld from the economic agents. To understand better both of these perspectives and the relation between them, I appeal to statistical decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which historical data may be insufficient to yield precise probability statements. I use both tools to reassess the macroeconomic underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the risk-return tradeoff familiar from asset pricing; and I show that when real time learning is included risk premia are larger when macroeconomic growth is lower than average. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC11 - Bayesian Analysis: General2Journal of Economic Literature class. 7aC32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models2Journal of Economic Literature class. 7aC52 - Model Evaluation, Validation, and Selection2Journal of Economic Literature class. 7aE21 - Consumption • Saving • Wealth2Journal of Economic Literature class. 7aE44 - Financial Markets and the Macroeconomy2Journal of Economic Literature class. 7aG1 - General Financial Markets2Journal of Economic Literature class. 7aG12 - Asset Pricing • Trading Volume • Bond Interest Rates2Journal of Economic Literature class.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w12948.4 uhttp://www.nber.org/papers/w1294841uhttp://dx.doi.org/10.3386/w12948