Lars Peter Hansen Prize Lecture: Uncertainty Outside and Inside Economic Models
Yüklə 1,76 Mb. Pdf görüntüsü
|
438 The Nobel Prizes Davis, Mark and Alison Etheridge. 2006. Louis Bachelier’s Theory of Speculation: The Ori- gins of Modern Finance. Princeton University Press. Dempster, A.P. 1975. A Subjectivist Look at Robustness. Bulletin of the International Sta- tistical Institute 46:349–374. Dimson, Elroy and Massoud Mussavian. 2000. Market Efficiency. In The Current State of Business Disciplines, vol. 3, 959–970. Spellbound Publications. Epstein, Larry and Stanley E. Zin. 1989. Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework. Economet- rica 57 (4):937–969. Epstein, Larry G. and Martin Schneider. 2003. Recursive Multiple-Priors. Journal of Eco- nomic Theory 113 (1):1–31. Epstein, Larry G and Stanley E Zin. 1991. Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis. Journal of Po- litical Economy 99 (2):263–86. Fama, Eugene F. 1984. Forward and Spot Exchange Rates. Journal of Monetary Economics
Fama, Eugene F and Kenneth R. French. 1992. The Cross-Section of Expected Returns. Journal of Finance 47 (2):427–465. de Finetti, Bruno. 1937. La Prevision: Ses Lois Logiques, ses Sources Subjectives. Annales de l’Institute Henri Poincaré 7:1–68. Frisch, Ragnar. 1933. Propagation Problems and Impulse Problems in Dynamic Eco- nomics. In Economic Essays in Honour of Gustav Cassel, 171–205. Allen and Unwin. Frisch, Ragnar. 1933b. Editor’s note. Econometrica 1 (1): 1–4. Gallant, A. Ronald, Lars Peter Hansen, and George Tauchen. 1990. Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution. Journal of Econometrics 45:141–179. Ghysels, Eric and Alastair Hall. 2002. Interview with Lars Peter Hansen. Journal of Busi- ness and Economic Statistics Twentieth Anniversary Issue on the Generalized Method of Moments 20 (4):442–447. Gilboa, Itzhak and David Schmeidler. 1989. Maxmin Expected Utility with Non-Unique Prior. Journal of Mathematical Economics 18 (2):141–153. Gordin, Mikhail I. 1969. The Central Limit Theorem for Stationary Processes. Soviet Mathematics Doklady 10:1174–1176. Gosh, Anisha, Christian Julliard, and Alex Taylor. 2012. What is the Consumption- CAPM Missing? An Information-Theoretic Framework for the Analysis of As- set Pricing Models. Working paper, Tepper School of Business, Carnegie Mellon University. Grossman, Sanford J. and Robert J. Shiller. 1981. The Determinants of the Variability of Stock Market Prices. The American Economic Review 71 (2):222–227. Haavelmo, Trygve. 1944. The Probability Approach in Econometrics. Econometrica 12 supplement:1–115. Hansen, Lars Peter. 1982a. Consumption, Asset Markets, and Macroeconomic Fluc- tuations: A Comment. Carnegie-Rochester Conference Series on Public Policy 17:239–250. 6490_Book.indb 438 11/4/14 2:30 PM
Uncertainty Outside and Inside Economic Models 439 ———. 1982b. Large Sample Properties of Generalized Method of Moments Estimators. Econometrica 50 (4):1029–1054. ———. 1985. A Method for Calculating Bounds on the Asymptotic Covariance Matri- ces of Generalized Method of Moments Estimators. Journal of Econometrics 30 (1):203–238. ———. 2001. Generalized Method of Moments Estimation: A Time Series Perspective (published title Method of Moments). In International Encyclopedia of the Social and Behavior Sciences, edited by S.E. Fienberg and J.B. Kadane. Pergamon: Oxford. http://www.larspeterhansen.org/generalized-method-of-moments-estimation-32. html. ———. 2007a. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk. American Economic Review 97 (2):1–30. ———. 2007b. Generalized Method of Moments Estimation. In The New Palgrave Dic- tionary of Economics, edited by Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan. ———. 2008. Discussion of: Financial Markets and the Real Economy, by J. Cochrane, 326–329. Elsevier. ———. 2011. Dynamic Valuation Decomposition Within Stochastic Economies. Econo- metrica 80 (3):911–967. Fisher-Schultz Lecture at the European Meetings of the Econometric Society. ———. 2012. Proofs for Large Sample Properties of Generalized Method of Moments Estimators. Journal of Econometrics 170 (2):325–330. Hansen, Lars Peter and Robert J. Hodrick. 1980. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Econ- omy 88 (5):829–853. ———. 1983. Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models. In Exchange Rates and International Mac- roeconomics, NBER Chapters, 113–152. National Bureau of Economic Research, Inc.
Hansen, Lars Peter, C.A. Helt, and D. Peled. 1978. A note on first degree stochastic domi- nance Economics Letters 1 (4): 315–319. Hansen, Lars Peter and Ravi Jagannathan. 1991. Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy 99 (2):225–262. ———. 1997. Assessing Specification Errors in Stochastic Discount Factor Models. The Journal of Finance 52 (2):557–590. Hansen, Lars Peter and Scott F. Richard. 1987. The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models. Econo- metrica 50 (3):587–613. Hansen, Lars Peter and Thomas Sargent. 2010. Fragile Beliefs and the Price of Uncer- tainty. Quantitative Economics 1 (1):129–162. Hansen, Lars Peter and Thomas J. Sargent. 1980. Formulating and Estimating Dynamic Linear Rational Expectations Models. Journal of Economic Dynamics and Control
6490_Book.indb 439 11/4/14 2:30 PM
440 The Nobel Prizes ———. 1991. Exact Liner Rational Expectations Models: Specification and Estimation. In Rational Expectations Econometrics: Specification and Estimation, edited by Lars Peter Hansen and Thomas J. Sargent, 45–76. Westview Press. ———. 1995. Discounted Linear Exponential Quadratic Gaussian Control. IEEE Transac- tions on Automatic Control 40 (5):968–971. ———. 2001. Robust Control and Model Uncertainty. The American Economic Review 91 (2):60–66. ———. 2007. Recursive Robust Estimation and Control Without Commitment. Journal of Economic Theory 136 (1):1–27. Hansen, Lars Peter and Jose Scheinkman. 2009. Long-Term Risk: An Operator Ap- proach. Econometrica 77 (1):117–234. ———. 2012. Pricing Growth-Rate Risk. Finance and Stochastics 16 (1):1–15. Hansen, Lars Peter and Kenneth J. Singleton. 1982. Generalized Instrumental Vari- ables Estimation of Nonlinear Rational Expectations Models. Econometrica 50 (5):1269–1286. ———. 1983. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of As- set Returns. Journal of Political Economy 91 (2):249–265. ———. 1996. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. Journal of Business and Economic Statistics 14 (1):53–68. Hansen, Lars Peter, John Heaton, and Erzo G. J. Luttmer. 1995. Econometric Evaluation of Asset Pricing Models. The Review of Financial Studies 8 (2):237–274. Hansen, Lars Peter, John Heaton, and Amir Yaron. 1996. Finite-Sample Properties of Some Alternative GMM Estimators. Journal of Business and Economic Statistics 14 (3):262–280. Hansen, Lars Peter, Thomas J. Sargent, and Jr. Tallarini, Thomas D. 1999. Robust Perma- nent Income and Pricing. The Review of Economic Studies 66 (4):873–907. Hansen, Lars Peter, Thomas J. Sargent, Gauhar A. Turmuhambetova, and Noah Williams. 2006. Robust Control and Model Misspecification. Journal of Economic Theory 128 (1):45–90. Hansen, Lars Peter, John C. Heaton, and Nan Li. 2008. Consumption Strikes Back?: Mea- suring Long Run Risk. Journal of Political Economy 116 (2):260–302. Harrison, J. Michael and David M. Kreps. 1979. Martingales and Arbitrage in Multipe- riod Securities Markets. Journal of Economic Theory 20 (3):381–408. He, Hua and David M. Modest. 1995. Market Frictions and Consumption-Based Asset Pricing. Journal of Political Economy 103 (1):94–117. Heaton, John C. 1995. An Empirical Investigation of Asset Pricing with Temporally De- pendent Preference Specifications. Econometrica 63 (3):681–717. Hurwicz, Leonid. 1962. On the Structural Form of Interdependent Systems. Logic, Meth- odology and Philosophy of Science: Proceedings of the 1960 International Congress 232–239.
Ilut, Cosmin and Martin Schneider. 2014. Ambiguous Business Cycles. American Eco- nomic Review forthcoming. 6490_Book.indb 440 11/4/14 2:30 PM Uncertainty Outside and Inside Economic Models 441 Jacobson, David H. 1973. Optimal Stochastic Linear Systems with Exponential Perfor- mance Criteria and Their Relation to Deterministic Differential Games. IEEE Trans- actions for Automatic Control AC-18 (2):1124–131. James, Matthew R. 1992. Asymptotic Analysis of Nonlinear Stochastic Risk-Sensitive Control and Differential Games. Mathematics of Control, Signals and Systems 5 (4):401–417. Keynes, John Maynard. 1921. A Treatise on Probability. London: Macmillan. Kitamura, Yuichi and Michael Stutzer. 1997. An Information-Theoretic Alternative to Generalized Method of Moments Estimation. Econometrica 65 (4):861–874. Kitamura, Yuichi, Gautam Tripathi, and Hyungtaik Ahn. 2004. Empirical Likelihood- Based Inference in Conditional Moment Restriction Models. Econometrica 72 (6):1667–1714. Klibanoff, Peter, Massimo Marinacci, and Sujoy Mukerji. 2005. A Smooth Model of Deci- sion Making Under Uncertainty. Econometrica 73 (6):1849–1892. Knight, Frank H. 1921. Risk, Uncertainty, and Profit. Houghton Mifflin. Kogan, Leonid, Stephen A. Ross, Jiang Wang, and Mark M. Westerfield. 2011. Market Selection. Tech. rep., Massachusetts Institute of Technology. Kreps, David M. and Evan L. Porteus. 1978. Temporal Resolution of Uncertainty and Dynamic Choice. Econometrica 46 (1):185–200. Lucas, Robert E. 1972. Econometric Testing of the Natural Rate Hypothesis. In The Econometrics of Price Determination, edited by O. Eckstein, 50–59. Board of Gover- nors of the Federal Reserve Board. ———. 1976. Econometric Policy Evaluation: A Critique. Carnegie-Rochester Conference Series on Public Policy 1 (0):19–46. ———. 1978. Asset Prices in an Exchange Economy. Econometrica 46 (6):1429–1445. Luttmer, Erzo G. J. 1996. Asset Pricing in Economies with Frictions. Econometrica 64 (6):1439–1467. Maccheroni, Fabio, Massimo Marinacci, and Aldo Rustinchini. 2006. Ambiguity Aver- sion, Robustness, and the Variational Representation of Preferences. Econometrica 74 (6):1147–1498. Maenhout, Pascal J. 2004. Robust Portfolio Rules and Asset Pricing. Review of Financial Studies 17:951–983. Marschak, Jacob. 1953. Economic Measurements for Policy and Prediction. In Studies in Econometric Method, edited by Tjalling Charles Koopmans and William C. Hood, 1–26. John Wiley and Sons. Muth, John H. 1961. Rational Expectations and the Theory of Price Movements. Econo- metrica 29 (3):315–335. Newey, Whitney K. and Richard J. Smith. 2004. Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica 72 (1):219–255. Newey, W.K. 1990. Efficient Instrumental Variables Estimation of Nonlinear Models. Econometrica 58 (4):809–837. 6490_Book.indb 441 11/4/14 2:30 PM 442 The Nobel Prizes ———. 1993. Efficient Estimation of Models with Conditional Moment Restrictions. In Handbook of Statistics, vol. 11, edited by G.S. Maddala, C.R. Rao, and H.D. Vinod, 809–837. Amsterdam: North-Holland. Newman, C. M. and B. W. Stuck. 1979. Chernoff Bounds for Discriminating Between Two Markov Processes. Stochastics 2 (1–4):139–153. Owen, Art B. 2001. Empirical Likelihood, vol. 92 of CRC Monographs on Statistics and Applied Probability. Chapman and Hall. Peñaranda, Francisco and Enrique Sentana. 2011. Inferences about Portfolio and Sto- chastic Discount Factor Mean Variance Frontiers. Working Paper, UPF and CEMFI. Petersen, I.R., M.R. James, and P. Dupuis. 2000. Minimax Optimal Control of Stochas- tic Uncertain Systems with Relative Entropy Constraints. Automatic Control, IEEE Transactions on 45 (3):398–412. Piazzesi, Monika and Martin Schneider. 2013. Inflation and the Price of Real Assets. Unpublished, Stanford University. Qin, Jin and Jerry Lawless. 1994. Empirical Likelihood and General Estimating Equa- tions. The Annals of Statistics 22 (1):300–325. Restoy, Fernando and Philippe Weil. 2011. Approximate Equilibrium Asset Prices. Re- view of Finance 15 (1):1–28. Robinson, P. M. 1987. Asymptotically Efficient Estimation in the Presence of Heteroske- dasticity of Unknown Form. Econometrica 55 (4):875–891. Ross, Stephen A. 1978. A Simple Approach to the Valuation of Risky Streams. The Journal of Business 51 (3):453–75. Rubinstein, Mark. 1976. The Valuation of Uncertain Income Streams and the Pricing of Options. The Bell Journal of Economics 7:407–425. Sargan, J. D. 1958. The Estimation of Economic Relationships Using Instrumental Vari- ables. Econometrica 26 (3):393–415. ———. 1959. The Estimation of Relationships with Autocorrelated Residuals by the Use of Instrumental Variables. Journal of the Royal Statistical Society. Series B (Method- ological) 21 (1):91–105. Sargent, Thomas J. 1973. Rational Expectations, the Real Rate of Interest, and the Natural Rate of Unemployment. Brookings Papers in Economic Activity 4 (2):429–480. ———. 1999. The Conquest of American Inflation. Princeton, New Jersey: Princeton Uni- versity Press. Sargent, Thomas J. and Neil Wallace. 1975. ”Rational” Expectations, the Optimal Mon- etary Instrument, and the Optimal Money Supply Rule. Journal of Political Economy
Savage, Leonard J. 1954. The Foundations of Statistics. Wiley Publications in Statistics. ———. 1961. The Foundations of Statistics Reconsidered. In Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, edited by Jerzy Ney- man, 575–586. Segal, Uzi. 1990. Two-Stage Lotteries Without the Reduction Axiom. Econometrica 58 (2):349–377. Shiller, Robert. 1972. Rational Expectations and the Structure of Interest Rates. Ph.D. the- sis, M.I.T. 6490_Book.indb 442 11/4/14 2:30 PM
Uncertainty Outside and Inside Economic Models 443 ———. 1982. Consumption, Asset Markets and Macroeconomic Fluctuations. Carnegie Rochester Conference Series on Public Policy 17:203–238. Sims, Christopher A. 1980. Macroeconomics and Reality. Econometrica 48 (1):1–48. ———. 2012. Statistical Modeling of Monetary Policy and Its Effects. The American Eco- nomic Review 102 (4):1187–1205. Slutsky, Eugen. 1927. The Summation of Random Causes as the Source of Cyclic Pro- cesses. In Problems of Economic Conditions, vol. 3. Moscow: The Conjuncture Institute. ———. 1937. The Summation of Random Causes as the Source of Cyclic Processes. Econometrica 5 (2):105–146. Snow, Karl N. 1991. Diagnosing Asset Pricing Models Using the Distribution of Asset Returns. The Journal of Finance 46 (3):955–983. Stigler, Stephen. 2014. Soft Questions, Hard Answers: Jacob Bernoulli’s Probability in Historical Context. International Statistical Review forthcoming. Strzalecki, Tomasz. 2011. Axiomatic Foundations of Multiplier Preferences. Economet- rica 79:47–73. Stutzer, Michael. 1995. A Bayesian Approach to Diagnosis of Asset Pricing Models. Jour- nal of Econometrics 68 (2):367–397. Sundaresan, Suresh M. 1989. Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth. The Review of Financial Studies 2 (1):73–89. Tallarini, Thomas D. 2000. Risk-Sensitive Real Business Cycles. Journal of Monetary Eco- nomics 45 (3):507–532. Wald, Abraham. 1939. Contributions to the Theory of Statistical Estimation and Testing Hypotheses. The Annals of Mathematical Statistics 10 (4):299–326. Walley, Peter. 1991. Statistical Reasoning with Imprecise Probabilities. CRC Monographs on Statistics and Applied Probability. Chapman and Hall. Wallis, Kenneth F. 1980. Econometric Implications of the Rational Expectations Hypoth- esis. Econometrica 48 (1):49–73. Weil, Philippe. 1990. Nonexpected Utility in Macroeconomics. The Quarterly Journal of Economics 105 (1):29–42. West, Kenneth, Ka fu Wong, and Stanislav Anatolyev. 2009. Instrumental Variables Esti- mation of Heteroskedastic Linear Models Using All Lags of Instruments. Economet- ric Reviews 28 (5):441–467. Whittle, Peter. 1981. Risk Sensitive Linear Quadratic Gaussian Control. Advances in Ap- plied Probability 13 (4):764–777. Yule, G. Udny. 1927. On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer’s Sunspot Numbers. Philosophical Transactions of the Royal Society of London. Series A, Containing Papers of a Mathematical or Physical Character 226:267–298. Zhang, Jian and Irene Gijbels. 2003. Sieve Empirical Likelihood and Extensions of the Generalized Least Squares. Scandinavian Journal of Statistics 30 (1):1–24. Portrait photo of Lars Peter Hansen by photographer Alexander Mahmoud. 6490_Book.indb 443 11/4/14 2:30 PM Document Outline
Yüklə 1,76 Mb. Dostları ilə paylaş:
|