Recursive Linear Models of Dynamic Economies
NBER Working Paper No. 3479
Issued in October 1990
NBER Program(s): EFG
This paper describes a class of dynamic stochastic linear quadratic equilibrium models. A model is specified by naming lists of matrices that determine preferences, technology, and the information structure. Aggregate equilibrium allocations and prices are computed by solving a social planning problem in the form of an optimal linear regulator. Heterogeneity among agents is permitted. Several examples are computed.
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Machine-readable bibliographic record -
Document Object Identifier (DOI): 10.3386/w3479
- With Ravi Jagannathan, published as "Implications of Security Market Datafor Models of Dynamic Economies", Journal of Political Economy, Vol. 99, no. 2 (1991): p. 225-262.
- Lars Peter Hansen & Thomas J. Sargent, 1993. "Recursive linear models of dynamic economies," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. citation courtesy of
- Implications of Security Market Data for Models of Dynamic Economies, Lars Peter Hansen, Ravi Jagannathan.