CURRICULUM VITAE

Lars Peter Hansen

Department of Economics

The University of Chicago

Chicago, Illinois 60637

Phone: (312) 702-8170

Date of Birth: October 26, 1952

Marital Status: Married, one child

Citizenship: USA

EDUCATION

Utah State University, B.S. Mathematics, 1974

University of Minnesota, Ph.D. Economics, 1978

PRIZES AND FELLOWSHIPS

Sloan Foundation Fellow, 1982

Frisch Prize, 1984, Co-winner with Kenneth Singleton

Research Associate, Economics Research Center, N.O.R.C., 1984-

Econometric Society Fellow, 1985-

National Bureau of Economic Research Fellow, 1987-

Lionel W. McKenzie Annual Lecture, University of Rochester

April 16, 1992

American Academy of Arts and Sciences Fellow, 1993-

John Simon Guggenheim Fellow, 1996-1997

Faculty Award for Excellence in Graduate Teaching, 1998

National Academy of Sciences Member, 1999-

ACADEMIC POSITIONS

Graduate School of Industrial Administration, Carnegie-Mellon University

Assistant Professor, 1978-80

Associate Professor, 1980-81

Department of Economics, University of Chicago

Associate Professor, 1982-84

Professor, 1984-1990

Homer J. Livingston Professor, 1990-1997

Homer J. Livingston Distinguished Service Professor, 1998-

OTHER PROFESSIONAL APPOINTMENTS

Director of the Graduate Student Program, 1988-1994

Chairman, Department of Economics, 1998-

VISITING ACADEMIC POSITIONS

Department of Economics, University of Chicago

Visiting Associate Professor, 1981-82

Department of Economics, Massachusetts Institute of Technology

Visiting Associate Professor, 1983

Department of Economics, Harvard University

Visiting Professor, 1986

Graduate School of Business, Stanford University

Visiting Research Professor, 1989-90

PUBLICATIONS

“Formulating and Estimating Dynamic Linear Rational Expectation Models,” with Thomas J. Sargent, Journal of Economic Dynamics and Control 2, 1980, 7-46.

“Forward Exchange Rates as Optimal Predictors of Future Spot Rates,” with Robert J. Hodrick, Journal of Political Economy 88, 1980, 829-853.

“Linear Rational Expectations Models for Dynamically Interrelated Variables,” with Thomas J. Sargent, in R.E. Lucas, Jr. and T.J. Sargent, eds., Rational Expectations and Econometric Practice, 1981.

“Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica 50, 1982, 1029-1053.

“Generalized Instrumental Variables Estimation of Nonlinear Rational, Expectations Models,” with Kenneth J. Singleton, Econometrica 50, 1982, 1269-1286.

“Instrumental Variables Procedures for Estimating Linear Rational Expectations Models,” with Thomas J. Sargent, Journal of Monetary Economics 9, 1982, 263-296.

“Aggregation Over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time,” with Thomas J. Sargent, International Economic Review 24, February 1983, 1-20.

“Multiperiod Probit Models and Orthogonality Condition Estimation,” with Robert B. Avery and V. Joseph Hotz, International Economic Review 24, February 1983, 21-35.

“The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities,” with Thomas J. Sargent, Econometrica 51, 1983, 377-387.

“Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns,” with Kenneth J. Singleton, Journal of Political Economy 91, 1983, 249-265.

“Risk Aversion Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models,” with Robert J. Hodrick, in J. Frenkel, ed., Exchange Rates and International Macroeconomics, 1983.

“Linear-Quadratic Duopoly Models of Resource Depletion,” with Dennis Epple and William Roberds, in T.J. Sargent, ed., Resources for the Future, 1984.

“A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators,” Journal of Econometrics 30, 1985, 203-238.

“The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models,” with Scott F. Richard, Econometrica 55, May 1987, 587-613.

“Calculating Asset Prices in Three Example Economies,” in T.F. Bewley, Advances in Econometrics, Fifth World Congress, Cambridge University Press, 1, 1987, 207-243.

“A Time Series Analysis of Representative Consumer Models of Consumption and Leisure Choice Under Uncertainty,” with Martin S. Eichenbaum and Kenneth J. Singleton, Quarterly Journal of Economics, February 1988, 51-78.

“A Central Limit Result for Instrumental Variables Estimators of Linear Time Series Models,” in W.A. Barnett, E. Berndt, and H. White, eds., Dynamic Econometric Modeling, Cambridge: Cambridge University Press, 1988, 139-155.

“Efficiency Bounds Implied by Multi-Period Conditional Moment Restrictions,” with John C. Heaton and Masao Ogaki, Journal of the American Statistical Society 83:403, September 1988,

863-871.

“Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data,” with Martin S. Eichenbaum, Journal of Business Statistics 8, January 1990, 53-69.

“Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution,” with A. Ronald Gallant and George Tauchen, Journal of Econometrics 45, 1990, 141-179.

“Computing Semi-Parametric Efficiency Bounds for Linear Time Series Models,” with Kenneth J. Singleton, in W.A. Barnett, J.L. Powell, and G. Tauchen, eds., Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, 1991, 387-412.

“Exact Linear Rational Expectations Models: Specification and Estimation,” with Thomas J. Sargent, Rational Expectations Econometrics, Westview Press, 1991, 45-75.

“Identification of Continuous Time Rational Expectations Models from Discrete Time Data,” with Thomas J. Sargent, Rational Expectations Econometrics, Westview Press, 1991, 219-345.

“Two Difficulties in Interpreting Vector Autoregrssions,” with Thomas J. Sargent, Rational Expectations Econometrics, Westview Press, 1991, 77-119.

“Time Series Implications of Present-Value Budget Balance and of Martingale Models of Consumption and Taxes,” with William Roberds and Thomas J. Sargent, Rational Expectations Econometrics, Westview Press, 1991, 121-161.

“Faster Methods for Solving Continuous Time Recursive Linear Models for Dynamic Economies,” with John C. Heaton and Thomas J. Sargent, Rational Expectations Econometrics, Westview Press, 1991, 177-208.

“Implications of Security Market Data for Models of Dynamic Economies,” with Ravi Jagannathan, Journal of Political Economy 99, 1991, 225-262.

“Asset Pricing Explorations for Macroeconomics,” with John H. Cochrane, in O.J. Blanchard and S. Fischer, eds., NBER Macroeconomics Annual 1992, 7, Cambridge: The MIT Press, 1992, 115-165.

“Semiparametric Efficiency Bounds for Linear Time-Series Models,” in P.C.B. Phillips, ed., Models, Methods, and Applications of Econometrics, Essays in Honor of A.R. Bergstrom, Basil Blackwell Publishers, 1993.

“Seasonality and Approximation Errors in Rational Expectations Models,” with Thomas J. Sargent, Journal of Econometrics 55, 1993, 21-55.

“Recursive Linear Models of Dynamic Economies,” with Thomas J. Sargent, in C.A. Sims, ed., Advances in Econometrics Sixth World Congress, Cambridge: Cambridge University Press, 1994, 97-139.

“Discounted Linear Exponential Quadratic Gaussian Control,” with Thomas J. Sargent, in IEEE Transactions on Automatic Control, 40:5, 1995, 968-971.

“Back to the Future: Generating Moment Implications for Continuous Time Markov Processes,” with Jose Alexandre Scheinkman, Econometrica 63:4, 1995, 767-804.

“Econometric Evaluation of Asset Pricing Models,” with John C. Heaton and Erzo Luttmer, The Review of Financial Studies 8:2, 1995, 237-274.

“Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors,” with Kenneth J. Singleton, Journal of Business and Economic Statistics 14:1, 1996, 53-68.

“The Empirical Foundations of Calibration,” with James J. Heckman, Journal of Economic Perspectives 10:1, 1996, 87-104.

“Finite Sample Properties of Some Alternative GMM Estimators,” with John Heaton and Amir Yaron, Journal of Business and Economic Statistics 14:3, 1996, 1-19.

“Mechanics of Forming and Estimating Dynamic Linear Economies,” with Evan W. Anderson, Ellen R. McGrattan, and Thomas J. Sargent. In Hans A. Amman, D.A. Kendrick, and John Rust, editors, Handbook of Computational Economics, Elsevier Science, Vol. 1, Ch. 4, 1996, 171-252.

“Assessing Specification Errors in Stochastic Discount Factor Models,” with Ravi Jagannathan, Journal of Finance 52:2, 1997, 557-590.

“Short-Term Interest Rates as Subordinated Diffusions,” with Timothy G. Conley, Erzo G.J. Luttmer and Jose A. Scheinkman, Review of Financial Studies 10:3, Fall 1997, 525-577.

“Bootstrapping the Long Run,” with Timothy G. Conley and Wen-Fang Liu, Macroeconomic Dynamics 1, 1997, 279-311.

“Spectral Methods for Identifying Scalar Diffusions,” with Jose Scheinkman and Nizar Touzi, Journal of Econometrics 86, 1998, 1-32.

“Robust Permanent Income and Pricing Model,” with Thomas J. Sargent and Thomas D. Tallarini, Jr., Review of Economic Studies 66, 1999, 873-907.

“Micro Data and General Equilibrium Models,” with Martin Browning and James J. Heckman, in J.B. Taylor and M. Woodford, eds., Handbook of Macroeconomics, Vol. 1, Ch. 8, 1999, 543-633.

“General Methods of Moments: A Time Series Perspective,” 2000, forthcoming in the International Encyclopedia of the Social & Behavioral Sciences, UK:Elsevier Publishing.

“Robust Permanent Income and Pricing with Filtering,” with Thomas J. Sargent and Neng Wang, August 2000, forthcoming in Macroeconomic Dynamics.

“Robust Control and Model Uncertainty,” with Thomas J. Sargent, forthcoming in The American Economic Review: Papers and Proceedings, May 2001.

“Acknowledging Misspecification in Macroeconomic Theory,” with Thomas J. Sargent, forthcoming in Monetary and Economic Studies (Special Edition), Bank of Japan, February 2001.

NOTES AND COMMENTS

“A Note of First Degree Stochastic Dominance,” with C.A. Holt and D. Peled, Economic Letters, 1979.

“A Note of Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models,” with Thomas J. Sargent, Economic Letters 8, 1981, 255-260.

“Consumption, Asset Markets and Macroeconomic Fluctuation: A Comment,” in K. Brunner and A.H. Meltzer, eds., Carnegie-Rochester Conference Series and Public Policy: Economic Policy in a World of Change 17, Autumn 1982, 239-250.

“Comment on 'Statistical Properties of Generalized Method of Moments Estimation of Structural Parameters Using Financial Market Data',” Journal of Business Statistics, 1986.

“An Appreciation of A.W. Phillips,” with Thomas J. Sargent, in R. Leeson, ed., A.W.H. Phillips: Collected Works in Contemporary Perspective, UK: Cambridge University Press, 2000, 365-369.

RESEARCH PAPERS

“Nonlinearity and Temporal Dependence,” with Xiaohong Chen and Marine Carrasco, 1999.

“Underidentification?” with Manuel Arellano and Enrique Sentana, 1999.

“Robustness, Detection, and the Price of Risk,” with Evan Anderson and Thomas J. Sargent, March 2000.

“Wanting Robustness in Macroeconomics,” with Thomas J. Sargent, June 2000.

“Robustness and Pricing with Uncertain Growth,” with Marco Cagetti, Thomas J. Sargent and Noah Williams, 2000.

“Robust Control and Filtering of Forward-Looking Models,” with Thomas J. Sargent, October 2000.

“Principal Components and the Long Run,” with Xiaohong Chen and Jose A. Scheinkman, 2000.

BOOK (In Progress)

Elements of Robust Control and Filtering, with T.J. Sargent.

BOOK REVIEWS

New Approaches to Macroeconomic Modeling: Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects by Masanao Aoki, Journal of Economic Literature, 36, March 1998.

PROFESSIONAL ACTIVITIES

Associate Editor, Econometrica, 1984-1986

Associate Editor, Econometric Theory, 1984-1986

Editorial Board, Journal of Monetary Economics, 1984-

Co-Editor, Econometrica, 1986-1991

Editor, Journal of Political Economy, 1995-2000

National Research Council, Committee on Strengthening the Linkages

Between the Sciences and Mathematical Sciences