Lars Peter Hansen
Americký makroekonom Lars Peter Hansen pochází z Champaign, Illinois, kde se narodil dne 26. října 1952.
B.S. v oboru matematiky a politických věd získal v roce 1974 na Utah State University, Ph.D. v oboru ekonomie pak v roce 1978 na University of Minnesota. Nyní je Hansen profesorem ekonomie a statistiky na University of Chicago.
V roce 2007 byl presidentem Econometrics Society, je voleným členem National Academy of Arts and Sciences. Je spoludržitelem Frisch Medal (1984), získal Erwin Plein Nemmers Prize in Economics (2006), BBVA Frontiers of Knowledge Award (2010), aj.
L. P. Hansen je ženatý s dcerou známého čínsko-japonského ekonoma (Grace Tsiang), se kterou má syna Petra, studenta na University of Chicago.
Ve svém výzkumu se Hansen zabývá zejména statistickými metodami a významným dílem přispěl k pochopení toho, jak jsou akciové trhy a ceny nemovitostí ovlivněny peněžními ústavy v souvislosti s podmínkami možného poskytování úvěrů. Lars Hansen je tvůrcem ekonometrických metod (tzv. GMM – Generalized Method of Moments), sloužících k odhadu statistických souborů dat a využitelných prakticky dle autora např. k analýze chování finančních trhů, věnuje se analýze mezinárodních financí, makroekonomii a laboratorní ekonomii.
Hansen je také konstruktivním kritikem, upozorňujícím na nedostatky ve výzkumech svých dvou, v teoriích zcela názorově odlišných, kolegů.
Knihy
HANSEN, L. P., SARGENT, T. J. Recursive models of dynamic linear economies. Princeton: Princeton University Press, 2013.
Handbook of financial econometrics. Edited by Y. Ait-Sahalia, L. P. Hansen. Elsevier Press, 2009.
HANSEN. L. P., SARGENT, T. J. Robustness. Princeton: Princeton University Press, 2008.
Advances in economics and econometrics: Theory and applications. Edited by M. Dewatripont, L. P. Hansen, S. J. Turnovsky. Cambridge Books, Cambridge University Press, 2003.
Články
ANDERSON, E. W., HANSEN, L. P. Small noise methods for risk-sensitive/robust economies. Journal of Economic Dynamics and Control, 2012, vol. 36, no. 4, p. 468 – 500.
HANSEN, L. P. Dynamic valuation decomposition with stochastic economies. Econometrica, 2012, vol. 80, no. 3, p. 911 – 967.
HANSEN, L. P. Proofs for large sample properties of generalized method of moments estimators. Journal of Econometrics, 2012, vol. 170, no. 2, p. 325 – 330.
HANSEN, L. P., SCHEINKMAN, J. A. Pricing growth-rate risk. Finance and Stochastics, 2012, vol. 16, no. 1, p. 1 – 15.
HANSEN, L. P., SARGENT, T. J. Robustness and ambiguity in continuous time. Journal of Economic Theory, 2011, vol. 146, no. 3, p. 1195 – 1223.
HANSEN, L. P., SARGENT, T. J. Fragile beliefs and the price of uncertainty. Quantitative Economics, 2010, vol. 1, no. 1, p. 129 – 162.
HANSEN, L. P., MAYER, R., SARGENT, T. J. Robust hidden Markov LQG problems. Journal of Economic Dynamics and Control, 2010, vol. 34, no. 10, p. 1951 – 1966.
BARILLAS, F., HANSEN, L. P., SARGENT, T. Doubts or variability? Journal of Economic Theory, 2009, vol. 144, no. 6, p. 2388 – 2418.
COGLEY, T., COLACITO, R., HANSEN, L. P., SARGENT, T. J. Robustness and U.S. monetary policy experimentation. Journal of Money, Credit and Banking, 2008, vol. 40, no. 8, p. 1599 – 1623.
HANSEN, L. P. Beliefs, doubts and learning: Valuing macroeconomic risk. American Economic Review, 2007, vol. 97, no. 2, p. 1 – 30.
HANSEN, L. P., SARGENT, T. J., TURMUHAMBETOVA, G., NOAH, W. Robust control and model misspecification. Journal of Economic Theory, 2006, vol. 128, no. 1, p. 45 – 90.
HANSEN, L. P., MAENHOUT, P., RUSTICHINI, A., SARGENT, T. J., SINISCALCHI, M. M. Introduction to model uncertainty and robustness. Journal of Economic Theory, 2006, vol. 128, no. 1, p. 1 – 3.
HANSEN, L. P., SARGENT, T. J. Robust estimation and control under commitment. Journal of Economic Theory, 2005, vol. 124, no. 2, p. 258 – 301.
HANSEN, L. P. An interview with Christopher A. Sims. Macroeconomic Dynamics, 2004, vol. 8, no. 02, p. 273 – 294.
HANSEN, L. P., SARGENT, T. J. Robust control of forward-looking models. Journal of Monetary Economics, 2003, vol. 50, no. 3, p. 581 – 604.
ANDERSON, E. W., HANSEN, L. P., SARGENT, T. J. A quartet of semigroups for model specification, robustness, prices of risk, and model detection. Journal of the European Economic Association, 2003, vol. 1, no. 1, p. 68 – 123.
HANSEN, L. P., SARGENT, T. J., WANG, N. E. Robust permanent income and pricing with filtering. Macroeconomic Dynamics, 2002, vol. 6, no. 01, p. 40 – 84.
CAGETTI, M., HANSEN, L. P., SARGENT, T. J., WILLIAMS, N. Robustness and pricing with uncertain growth. Review of Financial Studies, 2002, vol. 15, no. 2, p. 363 – 404.
SARGENT, T. J., HANSEN, L. P. Robust control and model uncertainty. American Economic Review, 2001, vol. 91, no. 2, p. 60 – 66.
HANSEN, L. P., SARGENT, T. J. Acknowledging misspecification in macroeconomic theory. Review of Economic Dynamics, 2001, vol. 4, no. 3, p. 519 – 535.
HANSEN, L. P., SARGENT, T. J. Acknowledgement misspecification in macroeconomic theory. Monetary and Economic Studies, 2001, vol. 19, no. 51, p. 213 – 227.
HANSEN, L. P., SCHEINKMAN, J. A., TOUZI, N. Spectral methods for identifying scalar diffusions. Journal of Econometrics, 1998, vol. 86, no. 1, p. 1 – 32.
CONLEY, T., HANSEN, L. P., LIU, W.-F. Bootstrapping the long run. Macroeconomic Dynamics, 1997, vol. 1, no. 02, p. 279 – 311.
HANSEN, L. P., SINGLETON, K. J. Efficient estimation of linear asset-pricing models with moving average errors. Journal of Business & Economic Statistics, 1996, vol. 14, no. 1, p. 53 – 68.
HANSEN, L. P., HEATON, J., YARON, A. Finite-sample properties of some alternative GMM estimators. Journal of Business & Economic Statistics, 1996, vol. 14, no. 3, p. 262 – 280.
HANSEN, L. P., HECKMAN, J. J. The empirical foundations of calibration. Journal of Economic Perspectives, 1996, vol. 10, no. 1, p. 87 – 104.
HANSEN, L. P., SARGENT, T. J. Seasonality and approximation errors in rational expectations models. Journal of Econometrics, 1993, vol. 55, no. 1-2, p. 21 – 55.
EICHENBAUM, M. S., HANSEN, L. P. Estimating models with intertemporal substitution using aggregate time series data. Journal of Business & Economic Statistics, 1990, vol. 8, no. 1, p. 53 – 69.
GALLANT, A. R., HANSEN, L. P., TAUCHEN, G. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Journal of Econometrics, 1990, vol. 45, no. 1 – 2, p. 141 – 179.
HANSEN, L. P., RICHARD, S. F. The role of conditioning information in deducing testable. Econometrica, 1987, vol. 55, no. 3, p. 587 – 613.
HANSEN, L. P. Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data: Comment. Journal of Business & Economic Statistics, 1986, vol. 4, no. 4, p. 418 – 421.
HANSEN, L. P. A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators. Journal of Econometrics, 1985, vol. 30, no. 1 – 2, p. 203 – 238.
HANSEN, L. P., SINGLETON, K. J. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy, 1983, vol. 91, no. 2, p. 249 – 265.
AVERY, R. B., HANSEN, L. P., HOTZ, V. J. Multiperiod probit models and orthogonality condition estimation. International Economic Review, 1983, vol. 24, no. 1, p. 21 – 35.
HANSEN, L. P. Large sample properties of generalized method of moments estimators. Econometrica, 1982, vol. 50, no. 4, p. 1029 – 1054.
HANSEN, L. P., SINGLETON, K. J. Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica, 1982, vol. 50, no. 5, p. 1269 – 1286.
HANSEN, L. P. Consumption, asset markets, and macroeconomic fluctuations: A comment. Carnegie-Rochester Conference Series on Public Policy, 1982, vol. 17, no. 1, p. 239 – 250.
HANSEN, L. P., HODRICK, R. J. Forward Exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 1980, vol. 88, no. 5, p. 829 – 853.
HANSEN, L. P., HOLT, C. A., PELED, D. A note on first degree stochastic dominance. Economic Letters, 1978, vol. 1, no. 4, p. 315 – 319.
Working papers, proceedings, přednášky, aj.
HANSEN, L. P., SCHEINKMAN, J. A. Recursive utility in a Markov environment with stochastic growth. Working Papers 2012-002, Becker Friedman Institute for Research in Economics, 2012.
HANSEN, L. P. Challenges in identifying and measuring systemic risk. NBER Working Papers 18505, National Bureau of Economic Research, Inc., 2012.
HANSEN, L. P. Risk pricing over alternative investment horizons. Working Papers 2012-008, Becker Friedman Institute for Research in Economics, 2012.
BOROVIČKA, J., HANSEN, L. P. Examining macroeconomic models through the lens of asset pricing. Working Papers 2011-012, Becker Friedman Institute for Research in Economics, 2011.
CHEN, X., HANSEN. L. P., SCHEINKMAN, J. A. Principal components and long run implications of multivariate diffusions. Cowles Foundation Discussion Papers 1694, Cowles Foundation for Research in Economics, Yale University, 2009.
KARANTOUNIAS, A. G., HANSEN, L. P., SARGENT, T. J. Managing expectations and fiscal policy. Working Paper 2009-29, Federal Reserve Bank of Atlanta, 2009.
BOROVIČKA, J., HANSEN, L. P., HENDRICKS, M., SCHEINKMAN, J. A. Risk price dynamics. NBER Working Papers 15506, National Bureau of Economic Research, Inc., 2009.
CHEN, X., HANSEN, L. P., CARRASCO, M. Nonlinearity and temporal dependence. Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University, 2008.
HANSEN, L. P. Modeling the long run: Valuation in dynamic stochastic economies. NBER Working Papers 14243, National Bureau of Economic Research, Inc., 2008.
SARGENT, T. J., COLACITO, R., HANSEN, L. P., COGLEY, T. Robustness and US monetary. 2008 Meeting Papers 228, Society for Economic Dynamics, 2008.
HANSEN, L. P. Beliefs, doubts and learning: Valuing economic risk. NBER Working Papers 12948, National Bureau of Economic Research, Inc., 2007.
HANSEN, L. P., SCHEINKMAN, J. A. Long term risk: An operator approach. NBER Working Papers 12650, National Bureau of Economic Research, Inc., 2006.
HANSEN, L. P., SARGENT, T. J. Certainty equivalence and model uncertainty. Proceedings, Board of Governors of the Federal Reserve System (U.S.), p. 17 – 38, 2005.
HANSEN, L. P., HEATON, J., LI, N. Consumption strikes back?: Measuring long-run risk. NBER Working Papers 11476, National Bureau of Economic Research, Inc., 2005.
HANSEN, L. P. Model uncertainty and policy evaluation: some theory and empirics – comments. Proceedings, Federal Reserve Bank of San Francisco, 2005.
CHEN, X., HANSEN, L. P., SCHEINKMAN, J. A. Principal components and the long run. Levine’s Bibliography 122247000000000997, UCLA Department of Economics, 2005.
HANSEN, L. P., SARGENT, T. J. Recursive robust estimation and control without commitment. Discussion Paper Series 1: Economic Studies 2005, 28. Deutsche Bundesbank, Research Centre, 2005.
DEWATRIPONT, M., HANSEN, L. P., TURNOVSKY, S. Advances in economics and econometrics: the eight world congress. ULB Institutional Repository 2013/9557, ULB – Universite Libre de Bruxelles, 2003.
ARELLANO, M., HANSEN, L. P., SENTANA, E. Underidentification? Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society, 2000.
BROWNING, M., HANSEN, L. P., HECKMAN, J. J. Micro data and general equilibrium models. Discussion Papers 99-10, University of Copenhagen, Department of Economics, 1999.
HANSEN, L. P., SARGENT, T. J., TALLARINI, T. D. Jr., Robust permanent income and pricing. Levine’s Working Paper Archive 596, David K. Levine, 1997.
ANDERSON, E. W., HANSEN, L. P., McGRATTAN, E. R., SARGENT, T. J. On the mechanics of forming and estimating dynamic linear economies. Staff Report 198, Federal Reserve Bank of Minneapolis, 1995.
HANSEN, L. P., JAGANNATHAN, R. Assessing specification errors in stochastic discount factor models. NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc., 1994.
HANSEN, L. P., McGRATTAN, E. R., SARGENT, T. J. Mechanics of forming and estimating dynamic linear economies. Staff Report 182, Federal Reserve Bank of Minneapolis, 1984.
HANSEN, L. P., HEATON, J., LUTTMER, E. Econometric evaluation of asset pricing models. NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc., 1993.
HANSEN, L. P., SARGENT, T. J. Flat rate taxes with adjustment costs and several capital stocks and household types. Working Papers in Applied Economic Theory 93-03, Federal Reserve Bank of San Francisco, 1993.
COCHRANE, J. H., HANSEN, L. P. Asset pricing explorations for macroeconomics. NBER Working Papers 4088, National Bureau of Economic Research, Inc., 1993.
HANSEN, L. P., SCHEINKMAN, A. Back to the future: Generating moment implications for continuous-time Markov proces. NBER Technical Working Papers 0141, National Bureau Of Economic Research, Inc., 1993.
HANSEN, L. P., JAGANNATHAN, R. Implications of security market data for models of dynamic economies. Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis, 1990.
HANSEN, L. P., SARGENT, T. J. Recursive linear models of dynamic economies. NBER Working Papers 3479, National Bureau of Economic Research, Inc., 1990.
EICHENBAUM, M. S., HANSEN, L. P., SINGLETON, K. J. A time series analysis of representative agent models of consumption and leisure choice under uncertainty. NBER Working Papers 1981, National Bureau of Economic Research, Inc., 1986.
HANSEN, L. P., SARGENT, T. J. Identification of continuous time rational expectations models from discrete time data. Staff Report 73, Federal Reserve Bank of Minneapolis, 1983.
HANSEN, L. P., SARGENT, T. J. Formulating and estimating continuous time rational expectations models. Staff Report 75, Federal Reserve Bank of Minneapolis, 1982.
HANSEN, L. P., SARGENT, T. J. Exact linear rational expectations models: specification and estimation. Staff Report 71, Federal Reserve Bank of Minneapolis, 1981.
HANSEN, L. P., SARGENT, T. J. Instrumental variables procedures for estimating linear rational expectations models. Staff Report 70, Federal Reserve Bank of Minneapolis, 1981.
HANSEN, L. P., SARGENT, T. J. Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time. Staff Report 74, Federal Reserve Bank of Minneapolis, 1981.
HANSEN, L. P., SARGENT, T. J. A note on Wiener-Kolmogorov prediction formulas for rational expectations models. Staff Report 69, Federal Reserve Bank of Minneapolis, 1981.
HANSEN, L. P., SARGENT, T. J. The dimensionality of the aliasing problem in models with rational spectral densities. Staff Report 72, Federal Reserve Bank of Minneapolis, 1981.
HANSEN, L. P., SARGENT, T. J. Linear rational expectations models for dynamically interrelated variables. Working Papers 135, Federal Reserve Bank of Minneapolis, 1980.
HANSEN, L. P., SARGENT, T. J. Methods for estimating continuous time rational expectations models from discrete time data. Staff Report 59, Federal Reserve Bank of Minneapolis, 1980.
HANSEN, L. P., SARGENT, T. J. Rational expectations models and the aliasing phenomenon. Staff Report 60, Federal Reserve Bank of Minneapolis, 1980.
HANSEN, L. P., SARGENT, T. J. Formulating and estimating dynamic linear rational expectations models. Working Papers 127, Federal Reserve Bank of Minneapolis, 1979.
HANSEN, L. P., HEATON, J., YARON, A. Small sample properties of alternative GMM estimators. GSIA Working Papers 25, Carnegie Mellon University, Tepper School of Business.
HANSEN, L. P., SARGENT, T. J. Three types of ambiquity. Working Papers 2012-006, Becker Friedman Institute for Research in Economics.
ANDERSON, E. W., HANSEN, L. P. Perturbation methods for risk-sensitive economies. Computing in Economics and Finance 1966-062, Society for Computational Economics, 1966.