Uncertainty Within Economic Models
Book Details
Format
Hardback
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:
EconometricsEconometrics and economic statistics
KSh 27,900.00
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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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