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User profiles for author:"Peter Hansen"

Peter Reinhard Hansen

Professor of Economics, EUI
Verified email at stanford.edu
Cited by 3191

Large sample properties of generalized method of moments estimators

[PDF] from uni-frankfurt.de
LP Hansen - Econometrica: Journal of the Econometric Society, 1982 - JSTOR
This paper studies estimators that make sample analogues of population orthogonality
conditions close to zero. Strong consistency and asymptotic normality of such estimators is
established under the assumption that the observable variables are stationary and ...
Cited by 7125 - Related articles - Get it from MIT Libraries - All 30 versions

Generalized instrumental variables estimation of nonlinear rational expectations models

[PDF] from nyu.edu
LP Hansen… - Econometrica: Journal of the Econometric …, 1982 - JSTOR
This paper describes a method for estimating and testing nonlinear rational expectations
models directly from stochastic Euler equations. The estimation procedure makes sample
counterparts to the population orthogonality conditions implied by the economic model ...
Cited by 1877 - Related articles - Get it from MIT Libraries - All 41 versions

Forward exchange rates as optimal predictors of future spot rates: An econometric analysis

[PDF] from columbia.edu
LP Hansen… - The Journal of Political Economy, 1980 - JSTOR
This paper examines the hypothesis that the expected rate of return to speculation in the
forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate
is the market's conditional expectation of the logarithm of the future spot rate. A new ...
Cited by 1510 - Related articles - Get it from MIT Libraries - All 14 versions

Stochastic consumption, risk aversion, and the temporal behavior of asset returns

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LP Hansen… - The Journal of Political Economy, 1983 - JSTOR
This paper studies the time-series behavior of asset returns and aggregate consumption.
Using a representative consumer model and imposing restrictions on preferences and the
joint distribution of consumption and returns, we deduce a restricted log-linear time-series ...
Cited by 1344 - Related articles - Get it from MIT Libraries - All 14 versions

Implications of security market data for models of dynamic economies

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LP Hansen… - 1990 - nber.org
We show how to use security market data to restrict the admissible region for means and
standard deviations of intertemporal marginal rates of substitution (IMRS's) of consumers.
Our approach is (i) nonparametric and applies to a rich class of models of dynamic ...
Cited by 1090 - Related articles - Library Search - All 30 versions

Formulating and estimating dynamic linear rational expectations models

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LP Hansen… - Journal of Economic Dynamics and Control, 1980 - Elsevier
Abstract This paper describes methods for conveniently formulating and estimating dynamic
linear econometric models under the hypothesis of rational expectations. An econometrically
convenient formula for the cross-equation rational expectations restrictions is derived. ...
Cited by 750 - Related articles - All 10 versions

Finite-sample properties of some alternative GMM estimators

[PDF] from uab.es
LP Hansen, J Heaton… - Journal of Business & Economic Statistics, 1996 - JSTOR
We investigate the small-sample properties of three alternative generalized method of
moments (GMM) estimators of asset-pricing models. The estimators that we consider include
ones in which the weighting matrix is iterated to convergence and ones in which the ...
Cited by 680 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 20 versions

[PDF] Realized variance and market microstructure noise

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PR Hansen… - Journal of Business and Economic Statistics, 2006 - ASA
... 11, 2005. Realized Variance and Market Microstructure Noise Peter R. HANSEN
Department of Economics, Stanford University, 579 Serra Mall, Stanford, CA
94305-6072 (peter.hansen@stanford.edu) Asger LUNDE Department ...
Cited by 527 - Related articles - View as HTML - BL Direct - All 24 versions

The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models

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LP Hansen… - Econometrica: Journal of the Econometric Society, 1987 - JSTOR
The purpose of this paper is to investigate testable implications of equilibrium asset pricing
models. We derive a general representation for asset prices that displays the role of
conditioning information. This representation is then used to examine restrictions implied ...
Cited by 580 - Related articles - Get it from MIT Libraries - All 11 versions

A forecast comparison of volatility models: does anything beat a GARCH (1, 1)?

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PR Hansen… - Journal of applied econometrics, 2005 - Wiley Online Library
Skip to Main Content. ...
Cited by 486 - Related articles - BL Direct - All 42 versions

Assessing specification errors in stochastic discount factor models

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LP Hansen… - 1994 - nber.org
In this paper we develop alternative ways to compare asset pricing models when it is
understood that their implied stochastic discount factors do not price all portfolios correctly.
Unlike comparisons based on x2 statistics associated with null hypothesis that models are ...
Cited by 541 - Related articles - Library Search - BL Direct - All 29 versions

A time series analysis of representative agent models of consumption and leisure choice under uncertainty

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MS Eichenbaum, LP Hansen… - The Quarterly Journal …, 1988 - qje.oxfordjournals.org
Abstract This paper investigates empirically a model of aggregate consumption and leisure
decisions in which utility from goods and leisure is nontime-separable. The nonseparability
of preferences accommodates intertemporal substitution or complementarity of leisure and ...
Cited by 542 - Related articles - Library Search - All 15 versions

[PDF] A test for superior predictive ability

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PR Hansen - Journal of Business and Economic Statistics, 2005 - ASA
Page 1. A Test for Superior Predictive Ability Peter Reinhard HANSEN Stanford University,
Department of Economics, 579 Serra Mall, Stanford, CA 94305 ( peter.hansen@stanford.
edu) We propose a new test for superior predictive ability. ...
Cited by 409 - Related articles - View as HTML - BL Direct - All 18 versions

Robust control and model uncertainty

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LP Hansen… - The American Economic Review, 2001 - JSTOR
This paper describes links between the maxmin expected utility theory of Itzhak Gilboa and
David Schmeidler (1989) and the applications of robust-control theory proposed by Evan
Anderson et al.(2000) and Paul Dupuis et al.(1998). 1 The max-min expected-utility theory ...
Cited by 450 - Related articles - BL Direct - All 24 versions

Designing realized kernels to measure the ex post variation of equity prices in the presence of noise

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OE Barndorff‐Nielsen, PR Hansen, A Lunde… - …, 2008 - Wiley Online Library
Page 1. Econometrica, Vol. 76, No. 6 (November, 2008), 1481–1536 DESIGNING
REALIZED KERNELS TO MEASURE THE EX POST VARIATION OF EQUITY PRICES
IN THE PRESENCE OF NOISE BY OLE E. BARNDORFF ...
Cited by 389 - Related articles - Library Search - All 48 versions

[PDF] Asset pricing explorations for macroeconomics

[PDF] from nber.org
JH Cochrane… - 1992 - nber.org
Asset market data are often ignored in evaluating macroeconomic models, and aggregate
quantity data are often avoided in empirical investigations of asset market returns. While
there may be short-term benefits to proceeding along separate lines, we argue that ...
Cited by 378 - Related articles - View as HTML - All 15 versions

Micro data and general equilibrium models

[PDF] from cenet.org.cn
M Browning, LP Hansen… - Handbook of macroeconomics, 1999 - Elsevier
Abstract Dynamic general equilibrium models are required to evaluate policies applied at
the national level. To use these models to make quantitative forecasts requires knowledge of
an extensive array of parameter values for the economy at large. This essay describes the ...
Cited by 355 - Related articles - Library Search - BL Direct - All 15 versions

[PDF] Risk averse speculation in the forward foreign exchange market: An econometric analysis of linear models

[PDF] from nber.org
LP Hansen… - 1983 - nber.org
In this paper we study the determination of forward foreign exchange rates. An exchange
rate is the price of one currency in terms of another currency, and a forward rate is a
contractual exchange rate established at a point in time for a transaction that will take ...
Cited by 318 - Related articles - View as HTML - All 8 versions

Robust permanent income and pricing

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LP Hansen, TJ Sargent… - Review of Economic …, 1999 - Wiley Online Library
This paper studies consumption and savings profiles and security market prices in a
permanent income model when consumers are robust decision makers. Robust decision
makers and expected utility maximizers share a common probabilistic specification of the ...
Cited by 312 - Related articles - BL Direct - All 28 versions

The empirical foundations of calibration

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LP Hansen… - The Journal of Economic Perspectives, 1996 - JSTOR
G eneral equilibrium theory provides the intellectual underpinnings for modern
macroeconomics, finance, urban economics, public finance and numerous other fields.
However, as a paradigm for organizing and synthesizing economic data, it poses some ...
Cited by 291 - Related articles - BL Direct - All 11 versions

Short-term interest rates as subordinated diffusions

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TG Conley, LP Hansen… - Review of Financial …, 1997 - Soc Financial Studies
Abstract In this article we characterize and estimate the process for short-term interest rates
using federal funds interest rate data. We presume that we are observing a discrete-time
sample of a stationary scalar diffusion. We concentrate on a class of models in which the ...
Cited by 275 - Related articles - BL Direct - All 12 versions

Dynamic sensory sensitivity and children's word decoding skills

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JB Talcott, C Witton, MF McLean… - Proceedings of the …, 2000 - National Acad Sciences
Cited by 185 - Related articles - BL Direct - All 24 versions

Consumption Strikes Back? Measuring Long‐Run Risk

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LP Hansen, JC Heaton… - Journal of Political Economy, 2008 - JSTOR
We characterize and measure a long-term risk-return trade-off for the valuation of cash flows
exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash
flows that are realized far into the future but continue to be reflected in asset values. We ...
Cited by 216 - Related articles - BL Direct - All 27 versions

High motion coherence thresholds in children with autism

[PDF] from ox.ac.uk
E Milne, J Swettenham, P Hansen… - Journal of Child …, 2002 - Wiley Online Library
Background: We assessed motion processing in a group of high functioning children with
autism and a group of typically developing children, using a coherent motion detection task.
Method: Twenty-five children with autism (mean age 11 years, 8 months) and 22 typically ...
Cited by 169 - Related articles - BL Direct - All 18 versions

A quartet of semigroups for model specification, robustness, prices of risk, and model detection

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EW Anderson, LP Hansen… - Journal of the European …, 2003 - Wiley Online Library
Abstract A representative agent fears that his model, a continuous time Markov process with
jump and diffusion components, is misspecified and therefore uses robust control theory to
make decisions. Under the decision maker's approximating model, cautious behavior puts ...
Cited by 171 - Related articles - BL Direct - All 22 versions

Linear rational expectations models for dynamically interrelated variables

LP Hansen… - Rational expectations and …, 1981 - books.google.com
This paper aims to develop procedures for the rapid numerical computation and convenient
mathematical representation of a class of multiple variable, linear stochastic rational
expectations models. A variety of examples from this class of models can be imagined. ...
Cited by 158 - Related articles - All 4 versions

Multiperiod probit models and orthogonality condition estimation

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RB Avery, LP Hansen… - International Economic Review, 1983 - JSTOR
The availability of panel data sets on individuals or firms has generated considerable
interest in techniques for estimating multiperiod econometric models with limited dependent
variables. For instance, such data sets have been used in estimating econometric models ...
Cited by 153 - Related articles - All 5 versions

Econometric evaluation of asset pricing models

[PDF] from biu.ac.il
LP Hansen, J Heaton… - 1993 - nber.org
In this paper we provide econometric tools for the evaluation of intertemporal asset pricing
models using specification-error and volatility bounds. We formulate analog estimators of
these bounds, give conditions for consistency and derive the limiting distribution of these ...
Cited by 150 - Related articles - Library Search - BL Direct - All 22 versions

Consistent ranking of volatility models

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PR Hansen… - Journal of Econometrics, 2006 - Elsevier
Cited by 134 - Related articles - All 8 versions

A realized variance for the whole day based on intermittent high-frequency data

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PR Hansen… - Journal of Financial Econometrics, 2005 - Oxford Univ Press
Skip Navigation. ...
Cited by 131 - Related articles - BL Direct - All 11 versions

A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

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LP Hansen - Journal of Econometrics, 1985 - Elsevier
Abstract For many time series estimation problems, there is an infinite-dimensional class of
generalized method of moments estimators that are consistent and asymptotically normal.
This paper suggests a procedure for calculating the greatest lower bound for the ...
Cited by 144 - Related articles - Library Search - All 7 versions

[PDF] Robustness, detection and the price of risk

[PDF] from nyu.edu
E Anderson, LP Hansen… - Manuscript, Stanford, 2000 - files.nyu.edu
A model is a probability distribution over a sequence. Rational expectations models assume
that agents know the model and are not concerned about specification error. Agents'
confidence in the model specification contrasts sharply with the attitudes of both ...
Cited by 142 - Related articles - View as HTML - All 4 versions

Mechanics of forming and estimating dynamic linear economies

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EW Anderson, ER McGrattan, LP Hansen… - Handbook of …, 1996 - Elsevier
Note: This is a one-page preview only. Click here to download preview. ... Enable JavaScript
for PDF Excerpt to view it inline. ... BDO Anderson and JB Moore, Optimal filtering,
Prentice-Hall, Englewood Cliffs, NJ (1979). ... CF Ansley and R. Kohn, Estimation, ...
Cited by 139 - Related articles - Library Search - All 27 versions

Robustness and pricing with uncertain growth

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M Cagetti, LP Hansen, T Sargent… - Review of Financial …, 2002 - Soc Financial Studies
Abstract We study how decision‐makers' concerns about robustness affect prices and
quantities in a stochastic growth model. In the model economy, growth rates in technology
are altered by infrequent large shocks and continuous small shocks. An investor observes ...
Cited by 135 - Related articles - BL Direct - All 27 versions

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

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AR Gallant, LP Hansen… - Journal of Econometrics, 1990 - Elsevier
Abstract Previously Hansen and Jagannathan (1990a) derived and computed mean-
standard deviation frontiers for intertemporal marginal rates of substitution (IMRS) implied by
asset market data. These frontiers give the lower bounds on the standard deviations as a ...
Cited by 129 - Related articles - All 10 versions

Acknowledging misspecification in macroeconomic theory

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LP Hansen… - Review of Economic Dynamics, 2001 - Elsevier
We explore methods for confronting model misspecification in macroeconomics. We
construct dynamic equilibria in which private agents and policy makers recognize that
models are approximations. We explore two generalizations of rational expectations ...
Cited by 128 - Related articles - BL Direct - All 18 versions

The role of sensorimotor impairments in dyslexia: A multiple case study of dyslexic children

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S White, E Milne, S Rosen, P Hansen… - Developmental …, 2006 - Wiley Online Library
This study attempts to investigate the role of sensorimotor impairments in the reading
disability that characterizes dyslexia. Twenty-three children with dyslexia were compared to
22 control children, matched for age and non-verbal intelligence, on tasks assessing ...
Cited by 118 - Related articles - BL Direct - All 26 versions

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

[PDF] from ox.ac.uk
OE Barndorff-Nielsen, PR Hansen, A Lunde… - Journal of …, 2011 - Elsevier
... DK-8000 Aarhus C, Denmark & CREATES, University of Aarhus oebn@imf.au.dk PETER
REINHARD HANSEN Department of Economics, Stanford University, Landau Economics Building,
579 Serra Mall, Stanford, CA 94305-6072, USA peter.hansen@stanford.edu ASGER ...
Cited by 115 - Related articles - Get it from MIT Libraries - All 32 versions

Structural changes in the cointegrated vector autoregressive model

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PR Hansen - Journal of Econometrics, 2003 - Elsevier
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Robust control of forward-looking models

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LP Hansen… - Journal of Monetary Economics, 2003 - Elsevier
This paper shows how to formulate and compute robust Ramsey (aka Stackelberg) plans for
linear models with forward-looking private agents. The leader and the followers share a
common approximating model and both have preferences for robust decision rules ...
Cited by 127 - Related articles - All 23 versions

Consumption strikes back?: Measuring long-run risk

[PDF] from mecon.gov.ar
LP Hansen, J Heaton… - 2005 - nber.org
We characterize and measure a long-run risk return tradeoff for the valuation of financial
cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features
components of financial cash flows that are only realized far into the future but are still ...
Cited by 122 - Related articles - Library Search - All 39 versions

Spectral methods for identifying scalar diffusions

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LP Hansen, J Alexandre Scheinkman… - Journal of Econometrics, 1998 - Elsevier
This paper shows how to identify nonparametrically scalar stationary diffusions from discrete-
time data. The local evolution of the diffusion is characterized by a drift and diffusion
coefficient along with the specification of boundary behavior. We recover this local ...
Cited by 112 - Related articles - All 9 versions

Recursive linear models of dynamic economies

LP Hansen… - 1990 - nber.org
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 ...
Cited by 110 - Related articles - Library Search - All 12 versions

Efficient estimation of linear asset pricing models with moving-average errors

LP Hansen… - 1997 - nber.org
This paper explores in depth the nature of the conditional moment restrictions implied by log-
linear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized
instrumental variables (GMM) estimators of these models (as typically implemented in ...
Cited by 107 - Related articles - Library Search - BL Direct - All 10 versions

[CITATION] Two difficulties in interpreting vector autoregressions

LP Hansen… - Rational expectations …, 1991 - Westview Press: Boulder, CO
Cited by 106 - Related articles

Visual word recognition: the first half second

[PDF] from rug.nl
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K Pammer, PC Hansen, ML Kringelbach, I Holliday… - Neuroimage, 2004 - Elsevier
Cited by 95 - Related articles - All 24 versions

[BOOK] Exact linear rational expectations models: Specification and estimation

[PDF] from frb.fed.us
LP Hansen… - 1981 - research.mpls.frb.fed.us
Exact Linear Rational Expectations Models: Specification and Estimation Lars Peter Hansen
Carnegie-Mellon University- Thomas J. Sargent University of Minnesota and Federal Reserve
Bank of Minneapolis Research Department Staff Report 71 Federal Reserve Bank of ...
Cited by 103 - Related articles - Get it from MIT Libraries - Library Search - All 14 versions

On the relationship between dynamic visual and auditory processing and literacy skills; results from a large primary‐school study

[PDF] from dyslexia.com
JB Talcott, C Witton, GS Hebb, CJ Stoodley… - Dyslexia, 2002 - Wiley Online Library
Page 1. Copyright # 2002 John Wiley & Sons, Ltd. DYSLEXIA 8: 204–225 (2002) Published online
in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/dys.224 & On the Relationship
between Dynamic Visual and Auditory Processing and Literacy Skills; ...
Cited by 87 - Related articles - BL Direct - All 15 versions

Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.

[PDF] from ox.ac.uk
OE Barndorff-Nielsen, PR Hansen… - Economics Group, …, 2004 - economics.ouls.ox.ac.uk
... Corresponding author: Peter Reinhard Hansen, Stanford University, Landau Economics Building,
579 Serra Mall, Stanford, CA 94305-6072, USA, Phone: 650-725-1869, Email: peter.hansen@
stanford.edu 1 Page 2. Kernel-Based Estimators of Integrated Variance ...
Cited by 87 - Related articles - Library Search - All 28 versions

Robust control and model misspecification

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LP Hansen, TJ Sargent, G Turmuhambetova… - Journal of Economic …, 2006 - Elsevier
A decision maker fears that data are generated by a statistical perturbation of an
approximating model that is either a controlled diffusion or a controlled measure over
continuous functions of time. A perturbation is constrained in terms of its relative entropy. ...
Cited by 92 - Related articles - All 8 versions

Beliefs, doubts and learning: Valuing economic risk

[PDF] from hec.fr
LP Hansen - 2007 - nber.org
This paper explores two perspectives on the rational expectations hypothesis. One
perspective is that of economic agents in such a model, who form inferences about the future
using probabilities implied by the model. The other is that of an econometrician who ...
Cited by 90 - Related articles - Library Search - BL Direct - All 34 versions

Instrumental variables procedures for estimating linear rational expectations models

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LP Hansen… - Journal of Monetary Economics, 1982 - Elsevier
Abstract This paper illustrates how to use instrumental variables procedures to estimate the
parameters of a linear rational expectations model. These procedures are appropriate when
disturbances are serially correlated and the instrumental variables are not exogenous. We ...
Cited by 88 - Related articles - Library Search - All 16 versions

Seasonality and approximation errors in rational expectations models

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LP Hansen… - Journal of Econometrics, 1993 - Elsevier
Abstract A frequency domain representation of the approximation criterion that is implicit in
Gaussian maximum likelihood estimation is applied to study the effects of using seasonally
adjusted versus seasonally unadjusted data to estimate rational expectations models. ...
Cited by 85 - Related articles - All 7 versions

[BOOK] Workbook on cointegration

PR Hansen… - 1998 - books.google.com
Page 1. . WORKBOOK ON COINTEGRATIO PETER HANSEN and S0REN JOHANSEN Page
2. Page 3. Page 4. This workbook is a companion to the textbook Likelihood-based Inference
in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. ...
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[CITATION] Time series implications of present value budget balance and of martingale models of consumption and taxes

LP Hansen, W Roberds… - Rational …, 1991 - Westview Publishers: Boulder, CO
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Robust permanent income and pricing with filtering

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LP Hansen, TJ Sargent… - Macroeconomic …, 2002 - Cambridge Univ Press
A planner and agent in a permanent-income economy cannot observe part of the state,
regard their model as an approximation, and value decision rules that are robust across a
set of models. They use robust decision theory to choose allocations. Equilibrium prices ...
Cited by 79 - Related articles - BL Direct - All 20 versions

[PDF] Recursive models of dynamic linear economies

[PDF] from psu.edu
LP Hansen… - Department of Economics, Univesity of Chicago …, 2004 - Citeseer
Contents ix sequences. 11. A. 4. Useful properties. 11. A. 5. One sided transforms. 11. A. 6.
Discounting. 11. A. 7. Fourier transforms. 11. A. 8. Verifying Equivalent Valuations. 11. A. 9.
Equivalent representations of preferences. 11. A. 10. First term: factorization identity. 11. A. ...
Cited by 77 - Related articles - View as HTML - All 9 versions

Efficiency bounds implied by multiperiod conditional moment restrictions

[PDF] from wisc.edu
LP Hansen, JC Heaton… - Journal of the American Statistical …, 1988 - JSTOR
In this article we study a class of econometric models that imply a set of multiperiod
conditional moment restrictions. These restrictions depend on an unknown parameter
vector. We construct an extensive class of consistent, asymptotically normal estimators of ...
Cited by 73 - Related articles - Get it from MIT Libraries - All 3 versions

An unbiased measure of realized variance

[PDF] from nd.edu
P Hansen… - 2004 - papers.ssrn.com
Abstract: The realized variance (RV) is known to be biased because intraday returns are
contaminated with market microstructure noise, in particular if intraday returns are sampled
at high frequencies. In this paper, we characterize the bias under a general specification ...
Cited by 66 - Related articles - All 9 versions

Albert Smith, the Alpine Club, and the invention of mountaineering in mid-Victorian Britain

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PH Hansen - The Journal of British Studies, 1995 - JSTOR
Page 1. Albert Smith, the Alpine Club, and the Invention of Mountaineering in Mid-Victorian Britain
Peter H. Hansen On August 12, 1851, Albert Smith, a middle-aged journalist and en- tertainer,
reached the summit of Mont Blanc with three Oxford students and sixteen guides. ...
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Long‐Term Risk: An Operator Approach

[TXT] from dauphine.fr
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LP Hansen… - Econometrica, 2009 - Wiley Online Library
We create an analytical structure that reveals the long-run risk-return relationship for
nonlinear continuous-time Markov environments. We do so by studying an eigenvalue
problem associated with a positive eigenfunction for a conveniently chosen family of ...
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[CITATION] An introduction to twentieth century music

PS Hansen - 1961 - getcited.org
An academic directory and search engine.
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Choosing the Best Volatility Models: The Model Confidence Set Approach*

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PR Hansen, A Lunde… - Oxford Bulletin of …, 2003 - Wiley Online Library
Skip to Main Content. ...
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Robust estimation and control under commitment

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LP Hansen… - Journal of Economic Theory, 2005 - Elsevier
In a Markov decision problem with hidden state variables, a decision maker expresses fear
that his model is misspecified by surrounding it with a set of alternatives that are nearby as
measured by their expected log likelihood ratios (entropies). Sets of martingales represent ...
Cited by 64 - Related articles - All 14 versions

The dimensionality of the aliasing problem in models with rational spectral densities

LP Hansen… - Econometrica: Journal of the Econometric Society, 1983 - JSTOR
This paper reconsiders the aliasing problem of identifying the parameters of a continuous
time stochastic process from discrete time data. It analyzes the extent to which restricting
attention to processes with rational spectral density matrices reduces the number of ...
Cited by 65 - Related articles - Get it from MIT Libraries - All 4 versions

[BOOK] Rational expectations econometrics

LP Hansen, TJ Sargent, J Heaton, A Marcet… - 1991 - files.nyu.edu
This Westview softcoveredition is printed on acid-free paper and bound in library- quality, coated
covers that carry the highest rating of the National Associationof State Textbook
Administrators, in consultation with the Associationof American Publishers and the Book ...
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[PDF] Robustness and uncertainty aversion

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LP Hansen, TJ Sargent… - Manuscript, …, 2001 - pages.stern.nyu.edu
Abstract Max-min expected utility theory uses multiple prior distributions to represent a
decision maker's uncertainty aversion. Robust control theory models a decision maker who
fears that the data are generated by an unknown perturbation of his approximating model. ...
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Effect of time and frequency manipulation on syllable perception in developmental dyslexics

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KI McAnally, PC Hansen… - Journal of Speech, …, 1997 - jslhr.highwire.org
Page 1. 912 JSLHR, Volume 40, 912–924, August 1997 Journal of Speech, Language,
and Hearing Research Ken I. McAnally* Peter C. Hansen Piers L. Cornelissen** John F.
Stein University Laboratory of Physiology Oxford University, England ...
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Recursive robust estimation and control without commitment

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LP Hansen… - Journal of Economic Theory, 2007 - Elsevier
In a Markov decision problem with hidden state variables, a posterior distribution serves as a
state variable and Bayes' law under an approximating model gives its law of motion. A
decision maker expresses fear that his model is misspecified by surrounding it with a set ...
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Moving average-based estimators of integrated variance

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PR Hansen, J Large… - Econometric Reviews, 2008 - Taylor & Francis
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[HTML] A balanced scorecard for health services in Afghanistan

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DH Peters, AA Noor, LP Singh… - Bulletin of the World …, 2007 - SciELO Public Health
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[PDF] Fragile beliefs and the price of model uncertainty

[PDF] from yale.edu
LP Hansen, TJ Sargent - … of Chicago and …, 2006 - madrid-cls-holder.wss.yale.edu
Abstract Concerns about misspecification and an enduring model selection problem in
which one of the models has long run risks give rise to countercyclical risk premia. We use
two risk-sensitivity operators to construct the stochastic discount factor for a representative ...
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Subsampling realised kernels

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OE Barndorff-Nielsen, PR Hansen, A Lunde… - Journal of …, 2011 - Elsevier
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Doubts or variability?

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F Barillas, LP Hansen… - Journal of Economic Theory, 2009 - Elsevier
Reinterpreting most of the market price of risk as a price of model uncertainty eradicates a
link between asset prices and measures of the welfare costs of aggregate fluctuations that
was proposed by Hansen et al., Tallarini, and Alvarez and Jermann [Lars Peter Hansen, ...
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[PDF] Misspecification in recursive macroeconomic theory

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LP Hansen… - Book Manuscript, New York University, 2004 - down.cenet.org.cn
2.1. Introduction. 2.2. Approximating models. 2.2. 1. Dynamic programming without model
misspecification. 2.3. Measuring model misspecification: entropy. 2.4. Two robust control
problems. 2.4. 1. Modified certainty equivalence principle. 2.5. Robust linear regulator. 2.6 ...
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A note on Wiener-Kolmogorov prediction formulas for rational expectations models

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LP Hansen… - Economics Letters, 1981 - Elsevier
Abstract A prediction formula for geometrically declining sums of future forcing variables is
derived for models in which the forcing variables are generated by a vector autoregressive-
moving average process. This formula is useful in deducing and characterizing cross- ...
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Symbol-string sensitivity and children's reading

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K Pammer, R Lavis, P Hansen… - Brain and Language, 2004 - Elsevier
In this study of primary school children, a novel 'symbol-string'task is used to assess
sensitivity to the position of briefly presented non-alphabetic but letter-like symbols. The
results demonstrate that sensitivity in the symbol-string task explains a unique proportion ...
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Intertemporal substitution and risk aversion

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LP Hansen, J Heaton, J Lee… - Handbook of Econometrics, 2007 - Elsevier
Households save and invest both for intertemporal reasons and to control exposure to risk. The
resulting patterns of consumption, savings and investment, at both the household and the aggregate
level, reveal information about the parameters of preferences that govern intertemporal ...
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[CITATION] Recursive linear models of dynamic economies

LP Hansen… - Proceedings, 1993 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
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Fragile beliefs and the price of uncertainty

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LP Hansen… - Quantitative Economics, 2010 - Wiley Online Library
A representative consumer uses Bayes' law to learn about parameters of several models
and to construct probabilities with which to perform ongoing model averaging. The arrival of
signals induces the consumer to alter his posterior distribution over models and ...
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Strategies for engaging the private sector in sexual and reproductive health: how effective are they?

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DH Peters, GG Mirchandani… - Health Policy and …, 2004 - Oxford Univ Press
Page 1. Background Private providers play a significant role in the provision of health
services in developing countries, particularly for ambulatory health care (Berman and
Rose 1996; Hanson and Berman 1998; Waters et al. 2003). ...
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The model confidence set

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PR Hansen, A Lunde… - Econometrica, 2011 - Wiley Online Library
Page 1. Econometrica, Vol. 79, No. 2 (March, 2011), 453–497 THE MODEL CONFIDENCE SET
BY PETER R. HANSEN, ASGER LUNDE, AND JAMES M. NASON1 This paper introduces the
model confidence set (MCS) and applies it to the selection of models. ...
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[PDF] Principal components and the long run

[PDF] from 128.36.236.74
X Chen, LP Hansen… - Manuscript, New York …, 2000 - 128.36.236.74
Abstract We investigate a method for extracting nonlinear principal components. These
principal components maximize variation subject to smoothness and orthogonality
constraints; but we allow for a general class of constraints and densities, including ...
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[PDF] Intangible risk

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LP Hansen, JC Heaton… - 2005 - nber.org
Accounting for the asset values by measured physical capital and other inputs arguably
omits intangible sources of capital. This intangible or unmeasured component of the capital
stock may result because some investments from accounting flow measures are not ...
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[PDF] Robust control and model misspecification

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LP Hansen, TJ Sargent… - Journal of Economic …, 2004 - uchicago.edu
Abstract A decision maker fears that data are generated by a statistical perturbation of an
approximating model that is either a controlled diffusion or a controlled measure over
continuous functions of time. A perturbation is constrained in terms of its relative entropy. ...
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Measuring and managing progress in the establishment of basic health services: the Afghanistan health sector balanced scorecard

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PM Hansen, DH Peters, H Niayesh… - … journal of health …, 2008 - Wiley Online Library
Page 1. Measuring and managing progress in the establishment of basic health
services: the Afghanistan Health Sector Balanced Scorecard Peter M. Hansen1*,
David H. Peters1, Haseebullah Niayesh2, Lakhwinder P. Singh3 ...
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[PDF] Peer-to-peer psychoeducation in schizophrenia: a new approach

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CB Rummel, WP Hansen… - Journal of Clinical …, 2005 - altcancerweb.spresen.info
Objective: To evaluate the feasibility of the first peer-to-peer psychoeducation program in
schizophrenia. Method: We developed a 5-step curriculum for structured training of peer
moderators. In step 1, peer moderators participate in regular psycho- education, and in ...
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Granger's representation theorem: A closed‐form expression for I (1) processes

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PR Hansen - The Econometrics Journal, 2005 - Wiley Online Library
... How to Cite. Hansen, PR (2005), Granger's representation theorem: A closed-form expression
for I(1) processes. The Econometrics Journal, 8: 23–38. doi: 10.1111/j.1368-423X.2005.00149.
x. Author Information. Stanford University E-mail: peter.hansen@stanford.edu. ...
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The dancing lamas of Everest: cinema, orientalism, and Anglo-Tibetan Relations in the 1920s

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PH Hansen - The American Historical Review, 1996 - JSTOR
Page 1. The Dancing Lamas of Everest: Cinema, Orientalism, and Anglo-Tibetan
Relations in the 1920s PETER H. HANSEN IN MARCH 1925, THE CAREER CIVIL
SERVANTS of the India Office in London became film critics. ...
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Robustness and us monetary policy experimentation

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T Cogley, R Colacito, LP Hansen… - Journal of Money, …, 2008 - Wiley Online Library
... Robustness and US Monetary Policy Experimentation. TIMOTHY COGLEY 1 ,; RICCARDO
COLACITO 2 ,; LARS PETER HANSEN 3 ,; THOMAS J. SARGENT 4. ... 3 Lars Peter Hansen
is from the University of Chicago (E-mail: l-hansen@uchicago.edu). 4 ...
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[PDF] An optimal and unbiased measure of realized variance based on intermittent high-frequency data

[PDF] from psu.edu
PR Hansen… - Unpublished paper, Department of Economics, …, 2003 - Citeseer
... Peter Reinhard Hansen∗ Brown University Department of Economics, Box B Providence, RI
02912 Phone: (401) 863-9864 Email: Peter Hansen@brown.edu Asger Lunde The Aarhus School
of Business Department of Information Science Fuglesangs Allé 4 DK-8210 Aarhus V ...
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Risk and robustness in general equilibrium

EW Anderson, LP Hansen… - 1998 - Citeseer
Abstract This paper extends the analysis of HST to economies with equilibrium allocations
that solve continuous time optimal resource allocation problems. Most of our results exploit
the analytical convenience of continuous-time diusions. Working in continuous time lets us ...
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[PDF] Migrant Transfers as a Development Tool

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P Hansen - The Case of, 2004 - diis.dk
Abstract This paper examines the relationship between migration and development in the
contest of Somaliland, where an estimated 25-40 per cent of the population receive regular
remittances from abroad. The importance of remittances to the local economy and the ...
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Cognitive profiles of adult developmental dyslexics: Theoretical implications

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AA Reid, M Szczerbinski, E Iskierka‐Kasperek… - Dyslexia, 2007 - Wiley Online Library
Abstract The aim of this study was to establish cognitive profiles of dyslexic adults on tests
developed within the three main theories of developmental dyslexia: phonological, visual
magnocellular and cerebellar and to investigate which theory can account for these ...
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Modeling the long run: Valuation in dynamic stochastic economies

[PDF] from yale.edu
LP Hansen - 2008 - nber.org
I explore the equilibrium value implications of economic models that incorporate reactions to
a stochastic environment. I propose a dynamic value decomposition (DVD) designed to
distinguish components of an underlying economic model that influence values over long ...
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Confetti of Empire: The Conquest of Everest in Nepal, India, Britain, and New Zealand

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PH Hansen - Comparative Studies in Society and History, 2000 - Cambridge Univ Press
Page 1. Confetti of Empire: The Conquest of Everest in Nepal, India, Britain, and New
Zealand PETER H. HANSEN Worcester Polytechnic Institute The Conquest of Everest,
the official film of the first ascent of Mount Everest, opens ...
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Bootstrapping the long run

Full text - MIT Libraries
TG Conley, LP Hansen… - Macroeconomic Dynamics, 1997 - Cambridge Univ Press
We develop and apply bootstrap methods for diffusion models when fitted to the long run as
characterized by the stationary distribution of the data. To obtain bootstrap refinements to
statistical inference, we simulate candidate diffusion processes. We use these bootstrap ...
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[CITATION] Adaptive Behavior of Small States: The Case of Denmark and the European Community'

P Hansen - Sage international yearbook of foreign policy studies, 1974
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Magnocellular mediated visual-spatial attention and reading ability

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K Kinsey, M Rose, P Hansen, A Richardson… - Neuroreport, 2004 - journals.lww.com
Abstract This study explores the relationship between attentional processing mediated by
visual magnocellular (MC) processing and reading ability. Reading ability in a group of
primary school children was compared to performance on a visual cued coherent motion ...
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[CITATION] Flint axe manufacture in the Neolithic. An experimental investigation of a flint axe manufacture site at Hastrup Vænget, East Zealand

PV Hansen… - Journal of Danish Archaeology, 1983
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