Robustness

Lars Peter Hansen is the Homer J. Livingston Distinguished Service Professor in the Department of Economics at the University of Chicago. Thomas J. Sargent is professor of economics at New York University and senior fellow at the Hoover Institution. He is the author of The Conquest of American Inflation and the coauthor of The Big Problem of Small Change (both Princeton).

Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics "The book is self-contained and rigorous and may be interesting not only for macroeconomists who seek to improve the robustness of decision making process but also for control engineers interested in different applications of their professional abilities."--A. Swierniak, Zentralblatt MATH

• Preface xv Acknowledgments xvii Part I: Motivation and main ideas Chapter 1: Introduction 3 Chapter 2: Basic ideas and methods 25 Chapter 3: A stochastic formulation 53 Part II: Standard control and filtering Chapter 4: Linear control theory 67 Chapter 5: The Kalman filter 103 Part III: Robust control Chapter 6: Static multiplier and constraint games 119 Chapter 7: Time domain games for attaining robustness 139 Chapter 8: Frequency domain games and criteria for robustness 173 Chapter 9: Calibrating misspecification fears with detection error probabilities 213 Chapter 10: A permanent income model 223 Part IV: Multi-agent problems Chapter 11: Competitive equilibria without robustness 253 Chapter 12: Competitive equilibria with robustness 271 Chapter 13: Asset pricing 295 Chapter 14: Risk sensitivity, model uncertainty, and asset pricing 307 Chapter 15: Markov perfect equilibria with robustness 327 Chapter 16: Robustness in forward-looking models 333 Part V: Robust estimation and filtering Chapter 17: Robust filtering with commitment 359 Chapter 18: Robust filtering without commitment 383 Part VI: Extensions Chapter 19: Alternative approaches 403 References 413 Index 427 Author Index 431 Matlab Index 435