Robustness 1st Edition by Lars Peter Hansen,Thomas J Sargent ISBN 0691170975 978-0691170978

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Product details:

ISBN 10: 0691170975 

ISBN 13: 978-0691170978

Author: Lars Peter Hansen; Thomas J. Sargent

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.

Table of contents:

Part I: Background
Chapter 1 Introduction
Chapter 2 State-space models
Chapter 3 Decision theory and dynamic programming
Part II: Rational Expectations Econometrics
Chapter 4 Classical estimation and inference
Chapter 5 Minimum distance estimation
Chapter 6 Classical estimation of dynamic models
Part III: Bayesian Econometrics
Chapter 7 Bayesian estimation and inference
Chapter 8 Bayesian estimation of dynamic models
Part IV: Robustness
Chapter 9 Robust estimation and inference
Chapter 10 Robust control: a simple example
Chapter 11 The robust control problem
Chapter 12 Risk-sensitive preferences
Part V: Learning
Chapter 13 Learning models
Chapter 14 The Kalman filter
Chapter 15 Least-squares learning
Chapter 16 Learning and model uncertainty
Chapter 17 Adaptive learning in dynamic models
Chapter 18 Structural estimation with learning
Part VI: Extensions
Chapter 19 Alternative approaches

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Tags: Lars Peter Hansen, Thomas J Sargent, Robustness