Uncertainty Within Economic Models

by Lars Peter Hansen , Thomas J Sargent

Book Details

Format Hardback or Cased Book

Book Series World Scientific Series In Economic Theory

ISBN-10 9814578118

ISBN-13 9789814578110

Publisher World Scientific Publishing Co Pte Ltd

Imprint World Scientific Publishing Co Pte Ltd

Country of Manufacture GB

Country of Publication GB

Publication Date Nov 5th, 2014

Print length 484 Pages

Weight 854 grams

Dimensions 23.60 x 15.70 x 3.00 cms

Product Classification: Econometrics

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Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.

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