Eugene Fama and Lars Peter Hansen.
Lars Peter Hansen and Paul Cheney.
(A common set of mathematical tools underlies dynamic opti...)
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 examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. Hansen and Sargent unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book, based on the 2012 Gorman lectures, stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB programs that apply to the book's calculations.
Hansen graduated from Utah State University with a Bachelor of Science degree in mathematics and political science in 1974. Four years later he earned his Doctor of Philosophy degree in economics from the University of Minnesota.
Hansen began his career as an assistant and associate professor at Carnegie Mellon University in 1978. Three years later he joined the faculty of the University of Chicago’s Department of Economics and served as department chairman and director of graduate studies. Lars was the inaugural director of the Becker Friedman Institute until July of 2017.
Nowadays he is a David Rockefeller Distinguished Service Professor of Economics, Statistics at the University of Chicago Booth School of Business. He currently directs the Macro Financial Research Initiative housed under the Becker Friedman Institute. Hansen also works as co-principal investigator, along with professor Andrew Lo, on the Macro Financial Modeling Project.
He has delivered numerous lectures around the world. In 2015 he presented the LAUNCH Distinguished Lecture at the University of Illinois and the W. P. Carey Lecture at Colorado College. He was the 2014 lecturer at the IGIER Seminar Series at Bocconi University and lectured at the 1st Macro Finance Workshop of the Macro Finance Society at Ohio State University. Also Hansen gave the Princeton Lectures in Finance at the Bendheim Center for Finance in December 2010.
His early research in econometrics was aimed at developing time series statistical methods to investigate one part of an economic model without having to fully specify and estimate all of the model ingredients.
Hansen’s recent work focuses on uncertainty and its relationship to long run risks in the macroeconomy. He explores how models that incorporate ambiguities, beliefs and skepticism of consumers and investors can explain economic and financial data and reveal the long-term consequences of policy options.
(A common set of mathematical tools underlies dynamic opti...)2013
Hansen is a member of the National Academy of Sciences, the American Finance Association, the American Academy of Arts and Sciences and past president of the Econometric Society.
Lars Hansen is married and has a son.