Lars Peter Hansen Prize Lecture: Uncertainty Outside and Inside Economic Models

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The Nobel Prizes

Almeida, Caio and Rene Garcia. 2013. Robust Economic Implications of Nonlinear Pric-

ing Kernels. Tech. rep., Social Science Research Network. http://ssrn.com/abstract= 

1107997.

Alvarez, Fernando and Urban J. Jermann. 2005. Using Asset Prices to Measure the Persis-

tence of the Marginal Utility of Wealth. Econometrica 73 (6):1977–2016.

Anderson, Evan W., Lars Peter Hansen, and Thomas J. Sargent. 2003. A Quartet of Semi-

groups for Model Specification, Robustness, Prices of Risk, and Model Detection. 

Journal of the European Economic Association 1 (1):68–123.

Antoine, Bertille, Helene Bonnal, and Eric Renault. 2007. On the Efficient Use of In-

formational Content of Estimating Equations: Implied Probabilities and Euclidean 

Empirical Likelihood. Journal of Econometrics 138:461–487.

Arellano, Manuel. 2002. Sargan’s Instrumental Variables Estimation and the Generalized 

Method of Moments. Journal of Business and Economic Statistics 20 (4):450–459.

———. 2003. Panel Data Econometrics. Advanced Texts in Econometrics. Oxford Uni-

versity Press.

Bachelier, Louis. 1900. Theorie de la Speculation. Annales Scientifiques de l’ Ecole Nor-

male Superieure 17:21–86.

Backus, David, Mikhail Chernov, and Ian Martin. 2011. Disasters Implied by Equity In-

dex Options. The Journal of Finance 66 (6):1969–2012.

Backus, David K., Mikhail Chernov, and Stanley E. Zin. 2014. Sources of Entropy in 

Representative Agent Models. Journal of Finance 69 (1):51–99.

Bakshi, Gurdip and Fousseni Chabi-Yo. 2012. Variance Bounds on the Permanent and 

Transitory Components of Stochastic Discount Factors. Journal of Financial Eco-

nomics 105 (1): 191–208.

Bansal, Ravi and Bruce N. Lehmann. 1997. Growth-Optimal Portfolio Restrictions on 

Asset Pricing Models. Macroeconomic Dynamics 1 (02):333–354.

Bansal, Ravi and Amir Yaron. 2004. Risks for the Long Run: A Potential Resolution of 

Asset Pricing Puzzles. Journal of Finance 59 (4):1481–1509.

Basar, Tamer and Pierre Bernhard. 1995. H

∞

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sign Problems: A Dynamic Game Approach. Birkhauser.

Berger, James O. 1984. The Robust Bayesian Viewpoint. In Robustness of Bayesian Analy-

sis, edited by Joseph B. Kadane, 63–144. North-Holland.

———. 1994. An Overview of Robust Bayesian Analysis (with discussion). Test  3 

(1):5–124.

Bilson, John F. O. 1981. The “Speculative Efficiency” Hypothesis. The Journal of Business 

54 (3):435–451.

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Selection in Complete and Incomplete Markets. Econometrica 74 (4):929–966.

Borovička, Jaroslav. 2013. Survival and Long-Run Dynamics with Heterogeneous Beliefs 

Under Recursive Preferences. Tech. rep., New York University.

Borovička, Jaroslav and Lars Peter Hansen. 2014. Examining Macroeconomic Models 

Through the Lens of Asset Pricing. Journal of Econometrics forthcoming.

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Uncertainty Outside and Inside Economic Models 437

Borovička, Jaroslav, Lars Peter Hansen, Mark Hendricks, and José A. Scheinkman. 2011. 

Risk Price Dynamics. Journal of Financial Econometrics 9:3–65.

Borovička, Jaroslav, Lars Peter Hansen, and José A. Scheinkman. 2014a. Misspecified 

Recovery. SSRN Working Paper.

———, 2014b. Shock Elasticities and Impulse Response Functions. Mathematics and Fi-

nancial Economics Forthcoming.

Burnside, Craig. 1994. Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing 

Models. Journal of Business and Economic Statistics 12 (1):57–79.

Campbell, John Y. 1993. Intertemporal Asset Pricing Without Consumption Data. The 

American Economic Review 83 (3):487–512.

Campbell, John Y. and John Cochrane. 1999. Force of Habit: A Consumption-Based 

Explanation of Aggregate Stock Market Behavior. Journal of Political Economy 107 

(2):205–251.

Campbell, John Y and Thomo Vuolteenaho. 2004. Bad Beta, Good Beta. American Eco-

nomic Review 94 (5):1249–1275.

Chabi-Yo, Fousseni, Rene Garcia, and Eric Renault. 2008. State Dependence Can Explain 

the Risk Aversion Puzzle. Review of Financial Studies 21 (2):973–1011.

Chamberlain, Gary. 1987. Asymptotic Efficiency in Estimation with Conditional Mo-

ment Restrictions. Journal of Econometrics 34 (3):305–334.

———. 1992. Efficiency Bounds for Semiparametric Regression. Econometrica  60 

(3):567–96.

———. 2000. Econometric Applications of Maxmin Expected Utility. Journal of Applied 

Econometrics 15 (6):625–644.

Chen, Zengjing and Larry Epstein. 2002. Ambiguity, Risk, and Asset Returns in Continu-

ous Time. Econometrica 70 (4):1403–1443.

Chernoff, Herman. 1952. A Measure of Asymptotic Efficiency for Tests of a Hypoth-

esis Based on the Sum of Observations. The Annals of Mathematical Statistics 23 

(4):493–507.

Chernozhukov, Victor, Emre Kocatulum, and Konrad Menzel. 2013. Inference on Sets in 

Finance. Unpublished, MIT, DRW Trading Group and NYU.

Cochrane, John. 2008. Financial Markets and the Real Economy, 237–322. Elsevier.

Cochrane, John H. and Lars Peter Hansen. 1992. Asset Pricing Explorations for Macro-

economics. NBER Macroeconomics Annual 7:115–165.

Collin-Dufresne, Pierre, Michael Johannes, and Lars A. Lochstoer. 2013. Parameter 

Learning in General Equilibrium: The Asset Pricing Implications. Tech. rep., Co-

lumbia University, 3022 Broadway, New York, NY 10027.

Constantinides, George M. 1990. Habit Formation: A Resolution of the Equity Premium 

Puzzle. Journal of Political Economy 98 (3):519–543.

Cressie, Noel and Timothy R. C. Read. 1984. Multinomial Goodness-of-Fit Tests. Journal 

of the Royal Statistical Society. Series B (Methodological) 46 (3):440–464.

Davis, Donald B. and M.-Elisabeth Pate-Cornell. 1994. A Challenge to the Compound 

Lottery Axiom: A Two-Stage Normative Structure and Comparison to Other Theo-

ries. Theory and Decision 37 (3):267–309.

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