47. References

Abr88

Dilip Abreu. On the theory of infinitely repeated games with discounting. Econometrica, 56:383–396, 1988.

APS90

Dilip Abreu, David Pearce, and Ennio Stacchetti. Toward a theory of discounted repeated games with imperfect monitoring. Econometrica, 58(5):1041–1063, September 1990.

AMSSeppala02

S Rao Aiyagari, Albert Marcet, Thomas J Sargent, and Juha Seppälä. Optimal taxation without state-contingent debt. Journal of Political Economy, 110(6):1220–1254, 2002.

AMS02

Franklin Allen, Stephen Morris, and Hyun Song Shin. Beauty contests, bubbles, and iterated expectations in asset markets. mimeo, 2002.

AHMS96

Evan Anderson, Lars Peter Hansen, Ellen R. McGrattan, and Thomas J. Sargent. Mechanics of forming and estimating dynamic linear economies. In Hans M. Amman, David A. Kendrick, and John Rust, editors, Handbook of computational economics, 171–252. Elsevier Science, North-Holland, 1996.

Are08

Cristina Arellano. Default risk and income fluctuations in emerging economies. The American Economic Review, pages 690–712, 2008.

AP91

Papoulis Athanasios and S Unnikrishna Pillai. Probability, random variables, and stochastic processes. Mc-Graw Hill, 1991.

AP11

Orazio P Attanasio and Nicola Pavoni. Risk sharing in private information models with asset accumulation: explaining the excess smoothness of consumption. Econometrica, 79(4):1027–1068, 2011.

Bar79

Robert J Barro. On the Determination of the Public Debt. Journal of Political Economy, 87(5):940–971, 1979.

Bar99

Robert J Barro. Determinants of democracy. Journal of Political economy, 107(S6):S158–S183, 1999.

BM03

Robert J Barro and Rachel McCleary. Religion and economic growth. Technical Report, National Bureau of Economic Research, 2003.

BEGS17

Anmol Bhandari, David Evans, Mikhail Golosov, and Thomas J. Sargent. Fiscal Policy and Debt Management with Incomplete Markets. The Quarterly Journal of Economics, 132(2):617–663, 2017.

BCG18

Alberto Bisin, Gian Luca Clementi, and Piero Gottardi. Capital and hedging demand with incomplete markets. Technical Report, NYU and EUI, 2018.

BL92

Fischer Black and Robert Litterman. Global portfolio optimization. Financial analysts journal, 48(5):28–43, 1992.

Cag56

Philip Cagan. The monetary dynamics of hyperinflation. In Milton Friedman, editor, Studies in the Quantity Theory of Money, pages 25–117. University of Chicago Press, Chicago, 1956.

Cal78

Guillermo A. Calvo. On the time consistency of optimal policy in a monetary economy. Econometrica, 46(6):1411–1428, 1978.

CR83

Gary Chamberlain and Michael Rothschild. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets. Econometrica, 51(5):1281–1304, September 1983. URL: https://ideas.repec.org/a/ecm/emetrp/v51y1983i5p1281-304.html, doi:.

Cha98

Roberto Chang. Credible monetary policy in an infinite horizon model: recursive approaches. Journal of Economic Theory, 81(2):431–461, 1998.

CK90

Varadarajan V Chari and Patrick J Kehoe. Sustainable plans. Journal of Political Economy, pages 783–802, 1990.

Coa37

Ronald Harry Coase. The nature of the firm. economica, 4(16):386–405, 1937.

Coc05

John H. Cochrane. Asset Pricing: revised edition. Princeton University Press, Princeton, New Jersey, 2005.

CC08

J. D. Cryer and K-S. Chan. Time Series Analysis. Springer, 2nd edition edition, 2008.

DJ92

Raymond J Deneckere and Kenneth L Judd. Cyclical and chaotic behavior in a dynamic equilibrium model, with implications for fiscal policy. Cycles and chaos in economic equilibrium, pages 308–329, 1992.

Dic75

J Dickey. Bayesian alternatives to the f-test and least-squares estimate in the normal linear model. In S.E. Fienberg and A. Zellner, editors, Studies in Bayesian econometrics and statistics, pages 515–554. North-Holland, Amsterdam, 1975.

DVGC99

JBR Do Val, JC Geromel, and OLV Costa. Solutions for the linear-quadratic control problem of markov jump linear systems. Journal of Optimization Theory and Applications, 103(2):283–311, 1999.

Fri56

M. Friedman. A Theory of the Consumption Function. Princeton University Press, 1956.

Gal89

David Gale. The theory of linear economic models. University of Chicago press, 1989.

Gal37

Albert Gallatin. Report on the finances**, november, 1807. In Reports of the Secretary of the Treasury of the United States, Vol 1. Government printing office, Washington, DC, 1837.

Hal78

Robert E Hall. Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy, 86(6):971–987, 1978.

HTW67

Michael J Hamburger, Gerald L Thompson, and Roman L Weil. Computation of expansion rates for the generalized von neumann model of an expanding economy. Econometrica, pages 542–547, 1967.

HS08a

L P Hansen and T J Sargent. Robustness. Princeton University Press, 2008.

HJ91

Lars Peter Hansen and Ravi Jagannathan. Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy, 99(2):225–262, April 1991. URL: https://ideas.repec.org/a/ucp/jpolec/v99y1991i2p225-62.html, doi:10.1086/261749.

HR87

Lars Peter Hansen and Scott F Richard. The Role of Conditioning Information in Deducing Testable. Econometrica, 55(3):587–613, May 1987.

HS80

Lars Peter Hansen and Thomas J Sargent. Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and control, 2:7–46, 1980.

HS00

Lars Peter Hansen and Thomas J Sargent. Wanting robustness in macroeconomics. Manuscript, Department of Economics, Stanford University., 2000.

HS08b

Lars Peter Hansen and Thomas J Sargent. Robustness. Princeton university press, 2008.

HS01

Lars Peter Hansen and Thomas J. Sargent. Robust control and model uncertainty. American Economic Review, 91(2):60–66, 2001.

HS13

Lars Peter Hansen and Thomas J. Sargent. Recursive Linear Models of Dynamic Economics. Princeton University Press, Princeton, New Jersey, 2013.

HS09

Lars Peter Hansen and José A Scheinkman. Long-term risk: an operator approach. Econometrica, 77(1):177–234, 2009.

HK79

J. Michael Harrison and David M. Kreps. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3):381–408, June 1979. URL: https://ideas.repec.org/a/eee/jetheo/v20y1979i3p381-408.html, doi:.

HK85

Elhanan Helpman and Paul Krugman. Market structure and international trade. MIT Press Cambridge, 1985.

HLL96

O Hernandez-Lerma and J B Lasserre. Discrete-Time Markov Control Processes: Basic Optimality Criteria. Number Vol 1 in Applications of Mathematics Stochastic Modelling and Applied Probability. Springer, 1996.

HR93

Hugo A Hopenhayn and Richard Rogerson. Job Turnover and Policy Evaluation: A General Equilibrium Analysis. Journal of Political Economy, 101(5):915–938, 1993.

Jud85

Kenneth L Judd. On the performance of patents. Econometrica, pages 567–585, 1985.

JYC03

Kenneth L. Judd, Sevin Yeltekin, and James Conklin. Computing Supergame Equilibria. Econometrica, 71(4):1239–1254, 07 2003. URL: https://ideas.repec.org/a/ecm/emetrp/v71y2003i4p1239-1254.html, doi:.

Kas00

Kenneth Kasa. Forecasting the forecasts of others in the frequency domain. Review of Economic Dynamics, 3:726–756, 2000.

KMT56

John G Kemeny, Oskar Morgenstern, and Gerald L Thompson. A generalization of the von neumann model of an expanding economy. Econometrica, pages 115–135, 1956.

KNS18

Tomoo Kikuchi, Kazuo Nishimura, and John Stachurski. Span of control, transaction costs, and the structure of production chains. Theoretical Economics, 13(2):729–760, 2018.

Kre81

David M. Kreps. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics, 8(1):15–35, March 1981. URL: https://ideas.repec.org/a/eee/mateco/v8y1981i1p15-35.html, doi:.

KP80

Finn E Kydland and Edward C Prescott. Dynamic optimal taxation, rational expectations and optimal control. Journal of Economic Dynamics and Control, 2:79–91, 1980.

LM94

A Lasota and M C MacKey. Chaos, Fractals, and Noise: Stochastic Aspects of Dynamics. Applied Mathematical Sciences. Springer-Verlag, 1994.

Lea78

Edward E Leamer. Specification searches: Ad hoc inference with nonexperimental data. Volume 53. John Wiley & Sons Incorporated, 1978.

LWY13

Eric M. Leeper, Todd B. Walker, and Shu‐Chun Susan Yang. Fiscal foresight and information flows. Econometrica, 81(3):1115–1145, May 2013.

LS18

L Ljungqvist and T J Sargent. Recursive Macroeconomic Theory. MIT Press, 4 edition, 2018.

Luc78

Robert E Lucas, Jr. Asset prices in an exchange economy. Econometrica: Journal of the Econometric Society, 46(6):1429–1445, 1978.

LS83

Robert E Lucas, Jr. and Nancy L Stokey. Optimal Fiscal and Monetary Policy in an Economy without Capital. Journal of monetary Economics, 12(3):55–93, 1983.

MT09

S P Meyn and R L Tweedie. Markov Chains and Stochastic Stability. Cambridge University Press, 2009.

MF02

Mario J Miranda and P L Fackler. Applied Computational Economics and Finance. Cambridge: MIT Press, 2002.

MM58

Franco Modigliani and Merton H. Miller. Corporation finance and the theory of investment. American Economic Review, XLVIII(3):261–297, 1958.

Mut60

John F Muth. Optimal properties of exponentially weighted forecasts. Journal of the american statistical association, 55(290):299–306, 1960.

Orf88

Sophocles J Orfanidis. Optimum Signal Processing: An Introduction. McGraw Hill Publishing, New York, New York, 1988.

PCL86

Joseph Pearlman, David Currie, and Paul Levine. Rational Expectations Models with Private Information. Economic Modelling, 3(2):90–105, 1986.

PS05

Joseph G. Pearlman and Thomas J. Sargent. Knowing the Forecasts of Others. Review of Economic Dynamics, 8(2):480–497, April 2005. URL: https://ideas.repec.org/a/red/issued/v8y2005i2p480-497.html, doi:10.1016/j.red.2004.10.011.

Put05

Martin L Puterman. Markov decision processes: discrete stochastic dynamic programming. John Wiley & Sons, 2005.

Ram27

F. P. Ramsey. A Contribution to the theory of taxation. Economic Journal, 37(145):47–61, 1927.

REL75

Jr. Robert E. Lucas. An equilibrium model of the business cycle. Journal of Political Economy, 83:1113–1144, 1975.

Rom05

Steven Roman. Advanced linear algebra. Volume 3. Springer, 2005.

RMS94

Sherwin Rosen, Kevin M Murphy, and Jose A Scheinkman. Cattle cycles. Journal of Political Economy, 102(3):468–492, 1994.

Ros78

Stephen A Ross. A Simple Approach to the Valuation of Risky Streams. The Journal of Business, 51(3):453–475, July 1978. URL: https://ideas.repec.org/a/ucp/jnlbus/v51y1978i3p453-75.html, doi:10.1086/296008.

Ros76

Stephen A. Ross. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3):341–360, December 1976. URL: https://ideas.repec.org/a/eee/jetheo/v13y1976i3p341-360.html, doi:.

Roz67

Y. A. Rozanov. Stationary Random Processes. Holden-Day, San Francisco, 1967.

Rus96

John Rust. Numerical dynamic programming in economics. Handbook of computational economics, 1:619–729, 1996.

RR04

Jaewoo Ryoo and Sherwin Rosen. The engineering labor market. Journal of political economy, 112(S1):S110–S140, 2004.

SHR91

Thomas Sargent, Lars Peter Hansen, and Will Roberts. Observable implications of present value budget balance. In Rational Expectations Econometrics. Westview Press, 1991.

Sar77

Thomas J Sargent. The Demand for Money During Hyperinflations under Rational Expectations: I. International Economic Review, 18(1):59–82, February 1977.

Sar87

Thomas J Sargent. Macroeconomic Theory. Academic Press, New York, 2nd edition, 1987.

Sar91

Thomas J. Sargent. Equilibrium with signal extraction from endogenous variables. Journal of Economic Dynamics and Control, 15:245–273, 1991.

Shi95

A N Shiriaev. Probability. Graduate texts in mathematics. Springer. Springer, 2nd edition, 1995.

Sin87

Kenneth J. Singleton. Asset prices in a time-series model with disparately informed competitive traders. In William A. Barnett and Kenneth J. Singleton, editors, New Apprroaches to Monetary Economics. Cambridge University Press, 1987.

SLP89

N L Stokey, R E Lucas, and E C Prescott. Recursive Methods in Economic Dynamics. Harvard University Press, 1989.

Sto89

Nancy L Stokey. Reputation and time consistency. The American Economic Review, pages 134–139, 1989.

Sto91

Nancy L. Stokey. Credible public policy. Journal of Economic Dynamics and Control, 15(4):627–656, October 1991.

SW09

Lars E.O. Svensson and Noah Williams. Optimal Monetary Policy under Uncertainty in DSGE Models: A Markov Jump-Linear-Quadratic Approach. In Klaus Schmidt-Hebbel, Carl E. Walsh, Norman Loayza (Series Editor), and Klaus Schmidt-Hebbel (Series, editors, Monetary Policy under Uncertainty and Learning, volume 13 of Central Banking, Analysis, and Economic Policies Book Series, chapter 3, pages 077–114. Central Bank of Chile, edition, March 2009.

SW+08

Lars EO Svensson, Noah Williams, and others. Optimal monetary policy under uncertainty: a markov jump-linear-quadratic approach. Federal Reserve Bank of St. Louis Review, 90(4):275–293, 2008.

Tow83

Robert M. Townsend. Forecasting the forecasts of others. Journal of Political Economy, 91:546–588, 1983.

vN28

John von Neumann. Zur theorie der gesellschaftsspiele. Mathematische annalen, 100(1):295–320, 1928.

vN37

John von Neumann. Uber ein okonomsiches gleichungssystem und eine verallgemeinering des browerschen fixpunktsatzes. In Erge. Math. Kolloq., volume 8, 73–83. 1937.

Whi63

Peter Whittle. Prediction and regulation by linear least-square methods. English Univ. Press, 1963.

Whi83

Peter Whittle. Prediction and Regulation by Linear Least Squares Methods. University of Minnesota Press, Minneapolis, Minnesota, 2nd edition, 1983.