Robustness / / Thomas J. Sargent, Lars Peter Hansen.
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do...
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Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2011] ©2007 |
Year of Publication: | 2011 |
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Language: | English |
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Physical Description: | 1 online resource (464 p.) |
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Hansen, Lars Peter, author. aut http://id.loc.gov/vocabulary/relators/aut Robustness / Thomas J. Sargent, Lars Peter Hansen. Course Book Princeton, NJ : Princeton University Press, [2011] ©2007 1 online resource (464 p.) text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Frontmatter -- Contents -- Preface -- Acknowledgments -- Part I: Motivation and main ideas -- 1. Introduction -- 2. Basic ideas and methods -- 3. A stochastic formulation -- Part II: Standard control and filtering -- 4. Linear control theory -- 5. The Kalman filter -- Part III: Robust control -- 6. Static multiplier and constraint games -- 7. Time domain games for attaining robustness -- 8. Frequency domain games and criteria for robustness -- 9. Calibrating misspecification fears with detection error probabilities -- 10. A permanent income model -- Part IV: Multi-agent problems -- 11. Competitive equilibria without robustness -- 12. Competitive equilibria with robustness -- 13. Asset pricing -- 14. Risk sensitivity, model uncertainty, and asset pricing -- 15. Markov perfect equilibria with robustness -- 16. Robustness in forward-looking models -- Part V: Robust estimation and filtering -- 17. Robust filtering with commitment -- 18. Robust filtering without commitment -- Part VI: Extensions -- 19. Alternative approaches -- References -- Index restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) Economics Mathematical models. Macroeconomics Decision making. Macroeconomics. BUSINESS & ECONOMICS / Economics / Macroeconomics. bisacsh Sargent, Thomas J., author. aut http://id.loc.gov/vocabulary/relators/aut Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 print 9780691114422 https://doi.org/10.1515/9781400829385 https://www.degruyter.com/isbn/9781400829385 Cover https://www.degruyter.com/cover/covers/9781400829385.jpg |
language |
English |
format |
eBook |
author |
Hansen, Lars Peter, Hansen, Lars Peter, Sargent, Thomas J., |
spellingShingle |
Hansen, Lars Peter, Hansen, Lars Peter, Sargent, Thomas J., Robustness / Frontmatter -- Contents -- Preface -- Acknowledgments -- Part I: Motivation and main ideas -- 1. Introduction -- 2. Basic ideas and methods -- 3. A stochastic formulation -- Part II: Standard control and filtering -- 4. Linear control theory -- 5. The Kalman filter -- Part III: Robust control -- 6. Static multiplier and constraint games -- 7. Time domain games for attaining robustness -- 8. Frequency domain games and criteria for robustness -- 9. Calibrating misspecification fears with detection error probabilities -- 10. A permanent income model -- Part IV: Multi-agent problems -- 11. Competitive equilibria without robustness -- 12. Competitive equilibria with robustness -- 13. Asset pricing -- 14. Risk sensitivity, model uncertainty, and asset pricing -- 15. Markov perfect equilibria with robustness -- 16. Robustness in forward-looking models -- Part V: Robust estimation and filtering -- 17. Robust filtering with commitment -- 18. Robust filtering without commitment -- Part VI: Extensions -- 19. Alternative approaches -- References -- Index |
author_facet |
Hansen, Lars Peter, Hansen, Lars Peter, Sargent, Thomas J., Sargent, Thomas J., Sargent, Thomas J., |
author_variant |
l p h lp lph l p h lp lph t j s tj tjs |
author_role |
VerfasserIn VerfasserIn VerfasserIn |
author2 |
Sargent, Thomas J., Sargent, Thomas J., |
author2_variant |
t j s tj tjs |
author2_role |
VerfasserIn VerfasserIn |
author_sort |
Hansen, Lars Peter, |
title |
Robustness / |
title_full |
Robustness / Thomas J. Sargent, Lars Peter Hansen. |
title_fullStr |
Robustness / Thomas J. Sargent, Lars Peter Hansen. |
title_full_unstemmed |
Robustness / Thomas J. Sargent, Lars Peter Hansen. |
title_auth |
Robustness / |
title_alt |
Frontmatter -- Contents -- Preface -- Acknowledgments -- Part I: Motivation and main ideas -- 1. Introduction -- 2. Basic ideas and methods -- 3. A stochastic formulation -- Part II: Standard control and filtering -- 4. Linear control theory -- 5. The Kalman filter -- Part III: Robust control -- 6. Static multiplier and constraint games -- 7. Time domain games for attaining robustness -- 8. Frequency domain games and criteria for robustness -- 9. Calibrating misspecification fears with detection error probabilities -- 10. A permanent income model -- Part IV: Multi-agent problems -- 11. Competitive equilibria without robustness -- 12. Competitive equilibria with robustness -- 13. Asset pricing -- 14. Risk sensitivity, model uncertainty, and asset pricing -- 15. Markov perfect equilibria with robustness -- 16. Robustness in forward-looking models -- Part V: Robust estimation and filtering -- 17. Robust filtering with commitment -- 18. Robust filtering without commitment -- Part VI: Extensions -- 19. Alternative approaches -- References -- Index |
title_new |
Robustness / |
title_sort |
robustness / |
publisher |
Princeton University Press, |
publishDate |
2011 |
physical |
1 online resource (464 p.) Issued also in print. |
edition |
Course Book |
contents |
Frontmatter -- Contents -- Preface -- Acknowledgments -- Part I: Motivation and main ideas -- 1. Introduction -- 2. Basic ideas and methods -- 3. A stochastic formulation -- Part II: Standard control and filtering -- 4. Linear control theory -- 5. The Kalman filter -- Part III: Robust control -- 6. Static multiplier and constraint games -- 7. Time domain games for attaining robustness -- 8. Frequency domain games and criteria for robustness -- 9. Calibrating misspecification fears with detection error probabilities -- 10. A permanent income model -- Part IV: Multi-agent problems -- 11. Competitive equilibria without robustness -- 12. Competitive equilibria with robustness -- 13. Asset pricing -- 14. Risk sensitivity, model uncertainty, and asset pricing -- 15. Markov perfect equilibria with robustness -- 16. Robustness in forward-looking models -- Part V: Robust estimation and filtering -- 17. Robust filtering with commitment -- 18. Robust filtering without commitment -- Part VI: Extensions -- 19. Alternative approaches -- References -- Index |
isbn |
9781400829385 9783110442502 9780691114422 |
url |
https://doi.org/10.1515/9781400829385 https://www.degruyter.com/isbn/9781400829385 https://www.degruyter.com/cover/covers/9781400829385.jpg |
illustrated |
Not Illustrated |
doi_str_mv |
10.1515/9781400829385 |
oclc_num |
957505780 |
work_keys_str_mv |
AT hansenlarspeter robustness AT sargentthomasj robustness |
status_str |
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ids_txt_mv |
(DE-B1597)468046 (OCoLC)957505780 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Robustness / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
author2_original_writing_str_mv |
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