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Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay

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  • Kenneth D. West

Abstract

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.

Suggested Citation

  • Kenneth D. West, 2017. "Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay," Journal of Economic Literature, American Economic Association, vol. 55(1), pages 173-181, March.
    • Handle: RePEc:aea:jeclit:v:55:y:2017:i:1:p:173-81
    Note: DOI: 10.1257/jel.20151411
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    References listed on IDEAS

    as
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    3. Carl E. Walsh, 2003. "Monetary Theory and Policy, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232316, December.
    4. William A. Brock & Leonard J. Mirman, 2001. "Optimal Economic Growth And Uncertainty: The Discounted Case," Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 1, pages 3-37, Edward Elgar Publishing.
    5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    6. James Morley & Aarti Singh, 2016. "Inventory Shocks and the Great Moderation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 699-728, June.
    7. Larry E. Jones & Rodolfo Manuelli, 1990. "A Convex Model of Equilibrium Growth," NBER Working Papers 3241, National Bureau of Economic Research, Inc.
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General

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