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  4. March 2017
  5. Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay

Journal of Economic Literature

ISSN 0022-0515 (Print) | ISSN 2328-8175 (Online)

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

  • Kenneth D. West
Journal of Economic Literature
vol. 55, no. 1, March 2017
(pp. 173–81)
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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.

Citation

West, Kenneth D. 2017. "Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay." Journal of Economic Literature, 55 (1): 173–81. DOI: 10.1257/jel.20151411

Additional Materials

JEL Classification

  • C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
  • C61 Optimization Techniques; Programming Models; Dynamic Analysis
  • D40 Market Structure, Pricing, and Design: General
  • D50 General Equilibrium and Disequilibrium: General
  • E10 General Aggregative Models: General