Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay
Journal of Economic Literature
no. 1, March 2017
Lars Peter Hansen and Thomas J. Sargent's book, Recursive Models of Dynamic Linear Economies, exposits, extends, and applies methods for solution and analysis of dynamic stochastic linear quadratic models. The book, which can be used as a monograph or in a graduate course, integrates theory, econometrics, and computation. This essay provides a summary and offers some mild complaints about material not included in what is already a remarkably comprehensive book.
West, Kenneth D.
"Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay."
Journal of Economic Literature,
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Optimization Techniques; Programming Models; Dynamic Analysis
Market Structure, Pricing, and Design: General
General Equilibrium and Disequilibrium: General
General Aggregative Models: General