By Lars Peter Hansen, Thomas J Sargent
Uncertainty inside fiscal versions is a suite of papers adapting and using strong keep an eye on conception to difficulties in economics and finance. This booklet extends rational expectancies versions through together with brokers who doubt their versions and undertake precautionary judgements designed to guard themselves from adversarial results of version misspecification. This habit has results for what are more often than not interpreted as marketplace costs of chance, yet massive elements of which should still really be interpreted as industry costs of version uncertainty. The chapters talk about methods of calibrating brokers' fears of version misspecification in quantitative contexts.
Read or Download Uncertainty within Economic Models PDF
Best econometrics books
This hugely winning textual content specializes in exploring substitute recommendations, mixed with a realistic emphasis, A advisor to substitute concepts with the emphasis at the instinct at the back of the techniques and their functional reference, this new version builds at the strengths of the second one version and brings the textual content thoroughly up–to–date.
Instruments to enhance selection making in a less than excellent international This e-book presents readers with an intensive figuring out of Bayesian research that's grounded within the idea of inference and optimum choice making. modern Bayesian Econometrics and information presents readers with cutting-edge simulation equipment and types which are used to unravel advanced real-world difficulties.
This choice of unique articles-8 years within the making-shines a vibrant gentle on contemporary advances in monetary econometrics. From a survey of mathematical and statistical instruments for realizing nonlinear Markov procedures to an exploration of the time-series evolution of the risk-return tradeoff for inventory industry funding, famous students Yacine AГЇt-Sahalia and Lars Peter Hansen benchmark the present nation of data whereas participants construct a framework for its development.
- Structural Macroeconometrics
- Handbook of Modeling High-Frequency Data in Finance (Wiley Handbooks in Financial Engineering and Econometrics)
- Evaluation and Decision Models with Multiple Criteria: Stepping stones for the analyst
- Modelling Financial Time Series with S-PLUS
Extra info for Uncertainty within Economic Models
All chapters in this book generate this set in the special way described above. First, we impute to the decision maker a single model that we refer to at diﬀerent times either as his approximating model or his benchmark model. 1. Questions about Model Uncertainty b1808-ch01 page 5 5 it with a continuum of probability models that lie within a ball determined by entropy relative to the approximating model. That procedure gives the decision maker a vast set of models whose proximities to the approximating model are judged by their relative entropies.
A semigroup is a collection of objects that satisﬁes conditions activating the law of iterated expectations, a workhorse familiar both to econometricians and to rational expectations theorists. These same conditions underly a law of iterated values widely used in pricing assets of diﬀerent maturities. The four semigroups featured in this chapter pertain to (1) a Markov process that we interpret as a decision maker’s benchmark probability model; (2) a perturbation to that benchmark model that we use to express an alternative speciﬁcation that a decision maker or representative consumer fears might actually govern the data; (3) a stochastic discount factor that assigns prices to risks that a benchmark Markov statistical model presents to a representative consumer; and (4) a stochastic process that generates bounds on errors in a good statistical test for discriminating between a benchmark model and a perturbation to it.
When some agents inside an equilibrium model themselves use multiple models to express their uncertainty, we need some device to replace that rational expectations communism. In Chapter 11, we assume that all agents share a common benchmark or approximating model, but allow them to have diﬀering degrees of doubt about the benchmark model. Chapter 11 discusses the consequences of three types of doubt that a Ramsey planner might have about a benchmark model. 13 13 Ramsey problems with a diﬀerent type of ambiguity are analyzed by Karantounias (2013) and Orlik and Presno (2012).