69. References#
- Aiy94
S Rao Aiyagari. Uninsured Idiosyncratic Risk and Aggregate Saving. The Quarterly Journal of Economics, 109(3):659–684, 1994.
- AMSS02
S. Rao Aiyagari, Albert Marcet, Thomas J. Sargent, and Juha Seppala. Optimal Taxation without State-Contingent Debt. Journal of Political Economy, 110(6):1220–1254, December 2002.
- AM05
D. B. O. Anderson and J. B. Moore. Optimal Filtering. Dover Publications, 2005.
- AHMS96
E. W. Anderson, L. P. Hansen, E. R. McGrattan, and T. J. Sargent. Mechanics of Forming and Estimating Dynamic Linear Economies. In Handbook of Computational Economics. Elsevier, vol 1 edition, 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.
- BY04
Ravi Bansal and Amir Yaron. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. Journal of Finance, 59(4):1481–1509, 08 2004. URL: https://ideas.repec.org/a/bla/jfinan/v59y2004i4p1481-1509.html, doi:.
- Bar79
Robert J Barro. On the Determination of the Public Debt. Journal of Political Economy, 87(5):940–971, 1979.
- BB18
Jess Benhabib and Alberto Bisin. Skewed wealth distributions: theory and empirics. Journal of Economic Literature, 56(4):1261–91, 2018.
- BBZ15
Jess Benhabib, Alberto Bisin, and Shenghao Zhu. The wealth distribution in bewley economies with capital income risk. Journal of Economic Theory, 159:489–515, 2015.
- BS79
L M Benveniste and J A Scheinkman. On the Differentiability of the Value Function in Dynamic Models of Economics. Econometrica, 47(3):727–732, 1979.
- Ber75
Dmitri Bertsekas. Dynamic Programming and Stochastic Control. Academic Press, New York, 1975.
- Bew77
Truman Bewley. The permanent income hypothesis: a theoretical formulation. Journal of Economic Theory, 16(2):252–292, 1977.
- Bew86
Truman F Bewley. Stationary monetary equilibrium with a continuum of independently fluctuating consumers. In Werner Hildenbran and Andreu Mas-Colell, editors, Contributions to Mathematical Economics in Honor of Gerard Debreu, pages 27–102. North-Holland, Amsterdam, 1986.
- Bis06
C. M. Bishop. Pattern Recognition and Machine Learning. Springer, 2006.
- Car01
Christopher D Carroll. A Theory of the Consumption Function, with and without Liquidity Constraints. Journal of Economic Perspectives, 15(3):23–45, 2001.
- Car06
Christopher D Carroll. The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters, 91(3):312–320, 2006.
- Col90
Wilbur John Coleman. Solving the Stochastic Growth Model by Policy-Function Iteration. Journal of Business & Economic Statistics, 8(1):27–29, 1990.
- CC08
J. D. Cryer and K-S. Chan. Time Series Analysis. Springer, 2nd edition edition, 2008.
- DFH06
Steven J Davis, R Jason Faberman, and John Haltiwanger. The flow approach to labor markets: new data sources, micro-macro links and the recent downturn. Journal of Economic Perspectives, 2006.
- Dea91
Angus Deaton. Saving and Liquidity Constraints. Econometrica, 59(5):1221–1248, 1991.
- DP94
Angus Deaton and Christina Paxson. Intertemporal Choice and Inequality. Journal of Political Economy, 102(3):437–467, 1994.
- DH10
Wouter J Den Haan. Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, 34(1):4–27, 2010.
- 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.
- DS10
Ulrich Doraszelski and Mark Satterthwaite. Computable markov-perfect industry dynamics. The RAND Journal of Economics, 41(2):215–243, 2010.
- DLP13
Y E Du, Ehud Lehrer, and A D Y Pauzner. Competitive economy as a ranking device over networks. submitted, 2013.
- Dud02
R M Dudley. Real Analysis and Probability. Cambridge Studies in Advanced Mathematics. Cambridge University Press, 2002.
- EG87
Robert F Engle and Clive W J Granger. Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2):251–276, 1987.
- EP95
Richard Ericson and Ariel Pakes. Markov-perfect industry dynamics: a framework for empirical work. The Review of Economic Studies, 62(1):53–82, 1995.
- EH01
G W Evans and S Honkapohja. Learning and Expectations in Macroeconomics. Frontiers of Economic Research. Princeton University Press, 2001.
- FSTD15
Pablo Fajgelbaum, Edouard Schaal, and Mathieu Taschereau-Dumouchel. Uncertainty traps. Technical Report, National Bureau of Economic Research, 2015.
- FVJ20
Jesús Fernández-Villaverde and Charles I Jones. Estimating and simulating a sird model of covid-19 for many countries, states, and cities. Working Paper 27128, National Bureau of Economic Research, May 2020. URL: http://www.nber.org/papers/w27128, doi:10.3386/w27128.
- Fri56
M. Friedman. A Theory of the Consumption Function. Princeton University Press, 1956.
- FF98
Milton Friedman and Rose D Friedman. Two Lucky People. University of Chicago Press, 1998.
- Gab09
Xavier Gabaix. Power laws in economics and finance. Annual Review of Economics, 1(1):255–294, 2009. doi:10.1146/annurev.economics.050708.142940.
- 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.
- HM82
Robert E Hall and Frederic S Mishkin. The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households. National Bureau of Economic Research Working Paper Series, 1982.
- Ham05
James D Hamilton. What's real about the business cycle? Federal Reserve Bank of St. Louis Review, pages 435–452, 2005.
- HS08
L P Hansen and T J Sargent. Robustness. Princeton University Press, 2008.
- HS13
L P Hansen and T J Sargent. Recursive Models of Dynamic Linear Economies. The Gorman Lectures in Economics. Princeton University Press, 2013.
- Han07
Lars Peter Hansen. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk. American Economic Review, 97(2):1–30, May 2007. URL: https://ideas.repec.org/a/aea/aecrev/v97y2007i2p1-30.html, doi:.
- HHL08
Lars Peter Hansen, John C. Heaton, and Nan Li. Consumption Strikes Back? Measuring Long-Run Risk. Journal of Political Economy, 116(2):260–302, 04 2008. URL: https://ideas.repec.org/a/ucp/jpolec/v116y2008i2p260-302.html, doi:.
- 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.
- HS17
Lars Peter Hansen and Thomas J. Sargent. Risk, Uncertainty, and Value. Princeton University Press, Princeton, New Jersey, 2017.
- HS09
Lars Peter Hansen and Jose A. Scheinkman. Long-term risk: an operator approach. Econometrica, 77(1):177–234, 01 2009.
- HK78
J. Michael Harrison and David M. Kreps. Speculative investor behavior in a stock market with heterogeneous expectations. The Quarterly Journal of Economics, 92(2):323–336, 1978.
- 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.
- HL96
John Heaton and Deborah J Lucas. Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy, pages 443–487, 1996.
- HSW05
Jane M Heffernan, Robert J Smith, and Lindi M Wahl. Perspectives on the basic reproductive ratio. Journal of the Royal Society Interface, 2(4):281–293, 2005.
- 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.
- HP92
Hugo A Hopenhayn and Edward C Prescott. Stochastic Monotonicity and Stationary Distributions for Dynamic Economies. Econometrica, 60(6):1387–1406, 1992.
- 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.
- Hug93
Mark Huggett. The risk-free rate in heterogeneous-agent incomplete-insurance economies. Journal of Economic Dynamics and Control, 17(5-6):953–969, 1993.
- Haggstrom02
Olle Häggström. Finite Markov chains and algorithmic applications. Volume 52. Cambridge University Press, 2002.
- Janich94
K Jänich. Linear Algebra. Springer Undergraduate Texts in Mathematics and Technology. Springer, 1994.
- JYC88
Robert J. Shiller John Y. Campbell. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1(3):195–228, 1988.
- Jud90
K L Judd. Cournot versus bertrand: a dynamic resolution. Technical Report, Hoover Institution, Stanford University, 1990.
- Jud85
Kenneth L Judd. On the performance of patents. Econometrica, pages 567–585, 1985.
- Kam12
Takashi Kamihigashi. Elementary results on solutions to the bellman equation of dynamic programming: existence, uniqueness, and convergence. Technical Report, Kobe University, 2012.
- Kre88
David M. Kreps. Notes on the Theory of Choice. Westview Press, Boulder, Colorado, 1988.
- Kuh13
Moritz Kuhn. Recursive Equilibria In An Aiyagari-Style Economy With Permanent Income Shocks. International Economic Review, 54:807–835, 2013.
- LM94
A Lasota and M C MacKey. Chaos, Fractals, and Noise: Stochastic Aspects of Dynamics. Applied Mathematical Sciences. Springer-Verlag, 1994.
- LL01
Martin Lettau and Sydney Ludvigson. Consumption, Aggregate Wealth, and Expected Stock Returns. Journal of Finance, 56(3):815–849, 06 2001.
- LL04
Martin Lettau and Sydney C. Ludvigson. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption. American Economic Review, 94(1):276–299, March 2004.
- LM80
David Levhari and Leonard J Mirman. The great fish war: an example using a dynamic cournot-nash solution. The Bell Journal of Economics, pages 322–334, 1980.
- 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.
- Luc03
Robert E Lucas, Jr. Macroeconomic Priorities. American Economic Review, 93(1):1–14, March 2003. URL: https://www.aeaweb.org/articles?id=10.1257/000282803321455133.
- LP71
Robert E Lucas, Jr. and Edward C Prescott. Investment under uncertainty. Econometrica: Journal of the Econometric Society, pages 659–681, 1971.
- 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.
- MS89
Albert Marcet and Thomas J Sargent. Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information. Journal of Political Economy, 97(6):1306–1322, 1989.
- MdRV10
V Filipe Martins-da-Rocha and Yiannis Vailakis. Existence and Uniqueness of a Fixed Point for Local Contractions. Econometrica, 78(3):1127–1141, 2010.
- MCWG95
A Mas-Colell, M D Whinston, and J R Green. Microeconomic Theory. Volume 1. Oxford University Press, 1995.
- McC70
J J McCall. Economics of Information and Job Search. The Quarterly Journal of Economics, 84(1):113–126, 1970.
- 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.
- MB54
F. Modigliani and R. Brumberg. Utility analysis and the consumption function: An interpretation of cross-section data. In K.K Kurihara, editor, Post-Keynesian Economics. 1954.
- Mut60
John F Muth. Optimal properties of exponentially weighted forecasts. Journal of the american statistical association, 55(290):299–306, 1960.
- Nea99
Derek Neal. The Complexity of Job Mobility among Young Men. Journal of Labor Economics, 17(2):237–261, 1999.
- Orf88
Sophocles J Orfanidis. Optimum Signal Processing: An Introduction. McGraw Hill Publishing, New York, New York, 1988.
- Par99
Jonathan A Parker. The Reaction of Household Consumption to Predictable Changes in Social Security Taxes. American Economic Review, 89(4):959–973, 1999.
- Per19
Jesse Perla. A model of product awareness and industry life cycles. Working Paper, University of British Columbia, 2019.
- Put05
Martin L Puterman. Markov decision processes: discrete stochastic dynamic programming. John Wiley & Sons, 2005.
- PalS13
Jenő Pál and John Stachurski. Fitted value function iteration with probability one contractions. Journal of Economic Dynamics and Control, 37(1):251–264, 2013.
- Rab02
Guillaume Rabault. When do borrowing constraints bind? Some new results on the income fluctuation problem. Journal of Economic Dynamics and Control, 26(2):217–245, 2002.
- Ram27
F. P. Ramsey. A Contribution to the theory of taxation. Economic Journal, 37(145):47–61, 1927.
- Rei09
Michael Reiter. Solving heterogeneous-agent models by projection and perturbation. Journal of Economic Dynamics and Control, 33(3):649–665, 2009.
- Rom05
Steven Roman. Advanced linear algebra. Volume 3. Springer, 2005.
- 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.
- Rya12
Stephen P Ryan. The costs of environmental regulation in a concentrated industry. Econometrica, 80(3):1019–1061, 2012.
- Sar87
Thomas J Sargent. Macroeconomic Theory. Academic Press, New York, 2nd edition, 1987.
- SE77
Jack Schechtman and Vera L S Escudero. Some results on an income fluctuation problem. Journal of Economic Theory, 16(2):151–166, 1977.
- Sch14
Jose A. Scheinkman. Speculation, Trading, and Bubbles. Columbia University Press, New York, 2014.
- Sch69
Thomas C Schelling. Models of Segregation. American Economic Review, 59(2):488–493, 1969.
- Shi95
A N Shiryaev. Probability. Graduate Texts in Mathematics. Springer, 2nd edition, 1995.
- SR14
Alexander A. Stepanov and Daniel E. Rose. From mathematics to generic programming. Addison-Wesley, 2014. ISBN 978-0-321-94204-3.
- SLP89
N L Stokey, R E Lucas, and E C Prescott. Recursive Methods in Economic Dynamics. Harvard University Press, 1989.
- STY04
Kjetil Storesletten, Christopher I Telmer, and Amir Yaron. Consumption and risk sharing over the life cycle. Journal of Monetary Economics, 51(3):609–633, 2004.
- Sun96
R K Sundaram. A First Course in Optimization Theory. Cambridge University Press, 1996.
- Tal00
Thomas D Tallarini. Risk-sensitive real business cycles. Journal of Monetary Economics, 45(3):507–532, June 2000.
- Tau86
George Tauchen. Finite state markov-chain approximations to univariate and vector autoregressions. Economics Letters, 20(2):177–181, 1986.
- VL11
Ngo Van Long. Dynamic games in the economics of natural resources: a survey. Dynamic Games and Applications, 1(1):115–148, 2011.
- Wal47
Abraham Wald. Sequential Analysis. John Wiley and Sons, New York, 1947.
- 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.
- YS05
G Alastair Young and Richard L Smith. Essentials of statistical inference. Cambridge University Press, 2005.