Characterizing and Testing the Implications of Dynamic Models in Economics and Finance

9409501 Hansen这个项目开发并实施计量经济学方法来评估动态经济模型。这项研究涵盖了四个不同的领域。首先，对连续时间随机过程模型进行了规范和估计。这种模型在经济学中经常出现，但关于如何使用离散时间数据来估计和测试它们，仍然存在许多悬而未决的问题。该项目考察了可以回答这些问题中最重要的替代计量经济学方法。其次，该项目开发了估计线性和对数理性期望模型的方法。这些方法将适用的模型既包括分配是最优资源分配问题的解决方案的模型，也包括存在市场或税收扭曲的模型。所研究的估算方法包括半参数过程，即外源强迫过程以一种灵活的方式建模。沿着类似的脉络，该项目重新研究了使用滤波方法消除数据低频成分的问题。这种方法的动机是所研究的动态随机模型是从时间序列中的低频运动中抽象出来的。所提出的研究的目的是设计一种估计方法，一方面，对这种错误规范具有鲁棒性，但另一方面，具有良好的统计特性，并且在计算上易于处理。第三，项目继续发展风险敏感控制理论，使之适应动态经济体的模型。这种控制理论允许以简单的方式将风险调整纳入模型，以便线性决策规则对经济中不确定性的数量敏感。因此，他们抓住了预防性储蓄的动机。除了对这些模型进行实证检验外，该项目还调查了在消费者风险偏好中引入异质性的后果。最后，该项目研究了英国股票价格和股息的长期历史数据集，并调查了英国股票市场与宏观经济事件之间的联系。

9409501 Hansen This project develops and implements econometric methods for assessing dynamic economic models. The research covers four different areas. First, the project works on specification and estimation of continuous time stochastic process models. Such models occur frequently in economics, but there remains many open questions about how to estimate and test them using discrete time data. The project examines alternative econometric methods that could answer the most important of these questions. Second, the project develops methods for estimating linear and loglinear rational expectations models. The models for which these methods will be applicable include both ones for which the allocations are solutions to optimal resource allocation problems as well as other ones for which there are market or tax distortions. The estimation methods studied include semiparametric procedures whereby the exogenous forcing processes are modeled in a flexible way. Along a similar vein, the project reinvestigates the issue of using filtering methods to eliminate low frequency components of the data. The motivation for such methods is that the dynamic stochastic model under investigation abstracts from the low frequency movements in the time series. The aim of the proposed research is to devise estimation methods that are on the one hand, robust to this misspecification, but on the other hand, have nice statistical properties and are computationally tractable. Third, the project continues work developing and adapting risk-sensitive control theory to models of dynamic economies. This control theory permits risk-adjustments to be incorporated into models in simple ways so that linear decision rules are sensitive to the amount of uncertainty in the economy. Hence they capture a precautionary savings motive. In addition to testing such models empirically, the project investigates the ramifications of introducing heterogeneity among consumers in their risk prefere nces. Finally, the project studies a long historical data set on British stock prices and dividends and investigates the link between the British stock market and macroeconomic events.