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Uncertainty within economic models

Author: Lars Peter Hansen; Thomas J Sargent; Eric S Maskin
Publisher: Singapore : World Scientific Publishing Company, 2015. ©2015
Series: World Scientific series in economic theory, Volume 6.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Hansen, Lars Peter.
Uncertainty within economic models.
Singapore : World Scientific Publishing Company, ©2015
xxvii, 454 pages
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Lars Peter Hansen; Thomas J Sargent; Eric S Maskin
ISBN: 9789814578127 9814578126
OCLC Number: 893673162
Description: 1 online resource (483 pages) : illustrations.
Contents: Foreword; Preface; Acknowledgements; About the Authors; Contents; List of Figures; List of Tables; 1. Introduction; 1.1 Questions about Model Uncertainty; What is model uncertainty?; Why do we care about it?; How do we represent it?; How do we manage it?; Who confronts model uncertainty?; How do we measure it?; How do we form a set of models?; How big is the set of models?; Why not learn your way out of model uncertainty?; How does model uncertainty affect equilibrium concepts?; What does model uncertainty do to equilibrium quantities?; What does it do to equilibrium prices? Does aversion to model uncertainty resemble risk aversion?Can small amounts of uncertainty aversion substitute for large amounts of risk aversion?; How does model uncertainty affect government policy?; 1.2 Ten Papers about Model Uncertainty; An LQG robust control problem with discounting; An application to a real business cycle model; Four semigroups; Two chapters on robust control; A reinterpretation of the Lucas-Tallarini debate; Two chapters on Hidden Markov Models; Hansen's Ely lecture; Three uncertain Ramsey planners; 2. Discounted Linear Exponential Quadratic Gaussian Control. Appendix 3.C Computing the Conditional Variance of the Stochastic Discount Factor4. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection; 4.1 Introduction; Rational expectations and model misspecification; Iterated laws and semigroups; Model detection errors and market prices of risk; Related literature; Robustness versus learning; Reader's guide; 4.2 Overview; 4.3 Mathematical Preliminaries; Semigroups and their generators; Representation of a generator; Extending the domain to bounded functions; Extending the generator to unbounded functions.
Series Title: World Scientific series in economic theory, Volume 6.
Responsibility: Lars Peter Hansen, Thomas J. Sargent ; foreword by Eric S. Maskin.

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