NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Recursive Linear Models of Dynamic Economies

Lars Peter Hansen, Thomas J. Sargent

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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Document Object Identifier (DOI): 10.3386/w3479

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