| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22000 |
| 来源ID | Working Paper 22000 |
| Sets of Models and Prices of Uncertainty | |
| Lars P. Hansen; Thomas J. Sargent | |
| 发表日期 | 2016-02-22 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | A decision maker constructs a convex set of nonnegative martingales to use as likelihood ratios that represent parametric alternatives to a baseline model and also non-parametric models statistically close to both the baseline model and the parametric alternatives. Max-min expected utility over that set gives rise to equilibrium prices of model uncertainty expressed as worst-case distortions to drifts in a representative investor's baseline model. We offer quantitative illustrations for baseline models of consumption dynamics that display long-run risk. We describe a set of parametric alternatives that generates countercyclical prices of uncertainty. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w22000 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579674 |
| 推荐引用方式 GB/T 7714 | Lars P. Hansen,Thomas J. Sargent. Sets of Models and Prices of Uncertainty. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22000.pdf（778KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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