Robustness
by Lars Peter Hansen and Thomas J. Sargent
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted?
Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics.
Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
--front flap
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Subjects
Decision making, Economics, Macroeconomics, Mathematical models, Econometric models. Robust optimization, Robust control, Kalman filtering. Macroeconomics Decision making, Econometric models, Robust optimization, Kalman filtering, Economics, mathematical modelsPeople
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Book Details
Edition Notes
Includes bibliographical references (p. 413-425) and index
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Miami University of Ohio MARC recordLibrary of Congress MARC record
Library of Congress MARC record
Work Description
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted?
Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics.
Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
--front flap
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- Created September 28, 2008
- 11 revisions
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| July 25, 2019 | Edited by Lisa | Edited without comment. |
| July 25, 2019 | Edited by Lisa | Added edition details. |
| July 25, 2019 | Edited by Lisa | Added edition details from linked copy. |
| July 25, 2019 | Edited by Lisa | Added new cover |
| September 28, 2008 | Created by ImportBot | Imported from Miami University of Ohio MARC record |