The authors adapt modern control theoretic techniques based on robust control theory to economic modelling and decision making. The main motivation behind the proposed approach is that concern about model misspecification in economics leads to decision strategies that work over the set of nearby...

Acknowledgements -- Preface -- Overview -- Theory and econometrics -- Tools -- Linear stochastic difference equations -- Efficient computations -- Components of economies -- Economic environments -- Optimal resource allocations -- A commodity space -- Competitive economies -- Representations and...

A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present...

This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We display an application...

This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We apply these methods to...