107. References#
Daron Acemoglu, Victor Chernozhukov, and Muhamet Yildiz. Fragility of asymptotic agreement under Bayesian learning. Theoretical Economics, 11(1):187–225, 2016. doi:10.3982/TE436.
Daron Acemoglu, Simon Johnson, and James A Robinson. The colonial origins of comparative development: an empirical investigation. The American Economic Review, 91(5):1369–1401, 2001.
S Rao Aiyagari. Uninsured Idiosyncratic Risk and Aggregate Saving. The Quarterly Journal of Economics, 109(3):659–684, 1994.
Armen A Alchian. Uncertainty, evolution, and economic theory. Journal of political economy, 58(3):211–221, 1950.
S. M. Ali and S. D. Silvey. A general class of coefficients of divergence of one distribution from another. Journal of the Royal Statistical Society, Series B, 28(1):131–142, 1966.
Shun-ichi Amari and Hiroshi Nagaoka. Methods of Information Geometry. Volume 191 of Translations of Mathematical Monographs. American Mathematical Society and Oxford University Press, Providence, RI, 2000.
D. B. O. Anderson and J. B. Moore. Optimal Filtering. Dover Publications, 2005.
E. W. Anderson, L. P. Hansen, E. R. McGrattan, and T. J. Sargent. Mechanics of Forming and Estimating Dynamic Linear Economies. In Handbook of Computational Economics. Elsevier, vol 1 edition, 1996.
Harald Anderson. Estimation of a proportion through randomized response. International Statistical Review/Revue Internationale de Statistique, pages 213–217, 1976.
Andrew Ang and Monika Piazzesi. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics, 50(4):745–787, 2003.
George Apostolakis. The concept of probability in safety assessments of technological systems. Science, 250(4986):1359–1364, 1990.
Alan J Auerbach and Laurence J Kotlikoff. Dynamic fiscal policy. Cambridge University Press, Cambridge, 1987.
Robert J. Aumann. Agreeing to disagree. Annals of Statistics, 4(6):1236–1239, 1976.
Robert L Axtell. Zipf distribution of us firm sizes. science, 293(5536):1818–1820, 2001.
Ravi Bansal and Amir Yaron. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. Journal of Finance, 59(4):1481–1509, 08 2004. URL: https://ideas.repec.org/a/bla/jfinan/v59y2004i4p1481-1509.html, doi:.
Francisco Barillas, Lars Peter Hansen, and Thomas J. Sargent. Doubts or variability? Journal of Economic Theory, 144(6):2388–2418, November 2009. URL: https://ideas.repec.org/a/eee/jetheo/v144y2009i6p2388-2418.html, doi:.
Robert J Barro. On the Determination of the Public Debt. Journal of Political Economy, 87(5):940–971, 1979.
Tamer Başar and Pierre Bernhard. H-infinity optimal control and related minimax design problems: a dynamic game approach. Springer Science & Business Media, 2008.
Gary S. Becker. Human Capital: A Theoretical and Empirical Analysis, with Special Reference to Education. National Bureau of Economic Research, New York, 2nd edition, 1975.
Jess Benhabib and Alberto Bisin. Skewed wealth distributions: theory and empirics. Journal of Economic Literature, 56(4):1261–91, 2018.
Jess Benhabib, Alberto Bisin, and Shenghao Zhu. The wealth distribution in bewley economies with capital income risk. Journal of Economic Theory, 159:489–515, 2015.
L M Benveniste and J A Scheinkman. On the Differentiability of the Value Function in Dynamic Models of Economics. Econometrica, 47(3):727–732, 1979.
Dmitri Bertsekas. Dynamic Programming and Stochastic Control. Academic Press, New York, 1975.
Truman Bewley. The permanent income hypothesis: a theoretical formulation. Journal of Economic Theory, 16(2):252–292, 1977.
Truman F Bewley. Stationary monetary equilibrium with a continuum of independently fluctuating consumers. In Werner Hildenbran and Andreu Mas-Colell, editors, Contributions to Mathematical Economics in Honor of Gerard Debreu, pages 27–102. North-Holland, Amsterdam, 1986.
C. M. Bishop. Pattern Recognition and Machine Learning. Springer, 2006.
David Blackwell. Comparison of experiments. In Jerzy Neyman, editor, Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability, 93–102. Berkeley, CA, 1951. University of California Press.
David Blackwell. Equivalent comparisons of experiments. Annals of Mathematical Statistics, 24(2):265–272, 1953. doi:10.1214/aoms/1177729032.
David Blackwell and Lester E. Dubins. Merging of opinions with increasing information. Annals of Mathematical Statistics, 33(3):882–886, 1962.
Olivier Jean Blanchard and Charles M Kahn. The Solution of Linear Difference Models under Rational Expectations. Econometrica, 48(5):1305–1311, July 1980.
Lawrence Blume and David Easley. Evolution and market behavior. Journal of Economic Theory, 58(1):9–40, 1992.
Lawrence Blume and David Easley. If you're so smart, why aren't you rich? Belief selection in complete and incomplete markets. Econometrica, 74(4):929–966, 2006.
Lawrence E Blume, Timothy Cogley, David A Easley, Thomas J Sargent, and Viktor Tsyrennikov. A case for incomplete markets. Journal of Economic Theory, 178:191–221, 2018.
H. F. Bohnenblust, Lloyd S. Shapley, and Seymour Sherman. Reconnaissance in game theory. Technical Report RM-208, The RAND Corporation, Santa Monica, CA, 1949. Cited for the economic criterion for comparing experiments.
Jaroslav Borovička. Survival and long-run dynamics with heterogeneous beliefs under recursive preferences. Journal of Political Economy, 128(1):206–251, 2020.
William A Brock. Asset prices in a production economy. The Economics of Information and Uncertainty, pages 1–43, 1982.
Steven L. Brunton and J. Nathan Kutz. Data-Driven Science and Engineering: Machine Learning, Dynamical Systems, and Control. Cambridge University Press, 2019.
Steven L. Brunton and J. Nathan Kutz. Data-Driven Science and Engineering, Second Edition. Cambridge University Press, New York, 2022.
Dariusz Buraczewski, Ewa Damek, Thomas Mikosch, and others. Stochastic models with power-law tails. Springer, 2016.
Jennifer Burns. Milton Friedman: The Last Conservative. Farrar, Straus, and Giroux, New York, 2023.
Philip Cagan. The monetary dynamics of hyperinflation. In Milton Friedman, editor, Studies in the Quantity Theory of Money, pages 25–117. University of Chicago Press, Chicago, 1956.
Andrew S Caplin. The variability of aggregate demand with (s, s) inventory policies. Econometrica, pages 1395–1409, 1985.
Christopher D Carroll. A Theory of the Consumption Function, with and without Liquidity Constraints. Journal of Economic Perspectives, 15(3):23–45, 2001.
Christopher D Carroll. The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters, 91(3):312–320, 2006.
David Cass. Optimum growth in an aggregative model of capital accumulation. Review of Economic Studies, 32(3):233–240, 1965.
A Chadhuri and R Mukerjee. Randomized Response: Theory and Technique. Marcel Dekker, New York, 1988.
Gregory C. Chow. The acceleration principle and the nature of business cycles. The Quarterly Journal of Economics, 82(3):403–418, aug 1968.
Gregory C. Chow and Richard E. Levitan. Nature of business cycles implicit in a linear economic model. The Quarterly Journal of Economics, 83(3):504–517, aug 1969.
E. Clarke. Multipart pricing of public goods. Public Choice, 8:19–33, 1971.
Ronald H. Coase. The nature of the firm. Economica, 4(16):386–405, 1937.
Wilbur John Coleman. Solving the Stochastic Growth Model by Policy-Function Iteration. Journal of Business & Economic Statistics, 8(1):27–29, 1990.
Imre Csiszár. Eine informationstheoretische Ungleichung und ihre Anwendung auf den Beweis der Ergodizität von Markoffschen Ketten. Magyar Tud. Akad. Mat. Kutató Int. Közl., 8:85–108, 1963.
Steven J Davis, R Jason Faberman, and John Haltiwanger. The flow approach to labor markets: new data sources, micro-macro links and the recent downturn. Journal of Economic Perspectives, 2006.
Bruno de Finetti. La prevision: ses lois logiques, ses sources subjectives. Annales de l'Institute Henri Poincare', 7:1 – 68, 1937. English translation in Kyburg and Smokler (eds.), \it Studies in Subjective Probability, Wiley, New York, 1964.
J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. The survival of noise traders in financial markets. Journal of Business, 64(1):1–19, 1991.
Angus Deaton. Saving and Liquidity Constraints. Econometrica, 59(5):1221–1248, 1991.
Angus Deaton and Christina Paxson. Intertemporal Choice and Inequality. Journal of Political Economy, 102(3):437–467, 1994.
Wouter J Den Haan. Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, 34(1):4–27, 2010.
Persi Diaconis and David Freedman. On the consistency of Bayes estimates. The Annals of Statistics, 14(1):1–26, 1986. doi:10.1214/aos/1176349830.
Peter A Diamond. National debt in a neoclassical growth model. The American Economic Review, 55(5):1126–1150, 1965.
Joseph L. Doob. Stochastic Processes. Wiley, New York, 1953.
Ulrich Doraszelski and Mark Satterthwaite. Computable markov-perfect industry dynamics. The RAND Journal of Economics, 41(2):215–243, 2010.
Robert Dorfman, Paul A. Samuelson, and Robert M. Solow. Linear Programming and Economic Analysis: Revised Edition. McGraw Hill, New York, 1958.
Y E Du, Ehud Lehrer, and A D Y Pauzner. Competitive economy as a ranking device over networks. submitted, 2013.
R M Dudley. Real Analysis and Probability. Cambridge Studies in Advanced Mathematics. Cambridge University Press, 2002.
Darrell Duffie and Larry G. Epstein. Stochastic differential utility. Econometrica, 60(2):353–394, 1992.
Bernard Dumas, Raman Uppal, and Tan Wang. Efficient intertemporal allocations with recursive utility. Journal of Economic Theory, 93(2):154–183, 2000.
Timothy Dunne, Mark J Roberts, and Larry Samuelson. The growth and failure of us manufacturing plants. The Quarterly Journal of Economics, 104(4):671–698, 1989.
Ashraf Ben El-Shanawany, Keith H Ardron, and Simon P Walker. Lognormal approximations of fault tree uncertainty distributions. Risk Analysis, 38(8):1576–1584, 2018.
Robert F Engle and Clive W J Granger. Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2):251–276, 1987.
Richard Ericson and Ariel Pakes. Markov-perfect industry dynamics: a framework for empirical work. The Review of Economic Studies, 62(1):53–82, 1995.
David S Evans. The relationship between firm growth, size, and age: estimates for 100 manufacturing industries. The Journal of Industrial Economics, pages 567–581, 1987.
G W Evans and S Honkapohja. Learning and Expectations in Macroeconomics. Frontiers of Economic Research. Princeton University Press, 2001.
George W Evans and Seppo Honkapohja. An interview with thomas j. sargent. Macroeconomic Dynamics, 9(4):561–583, 2005.
Joseph F Faber. Life tables for the United States: 1900–2050. Actuarial Study Actuarial Study No. 87, Social Security Administration, Office of the Actuary, 1982.
Pablo Fajgelbaum, Edouard Schaal, and Mathieu Taschereau-Dumouchel. Uncertainty traps. Technical Report, National Bureau of Economic Research, 2015.
Lasse Fischer and Aaditya Ramdas. Improving the (approximate) sequential probability ratio test by avoiding overshoot. arXiv preprint arXiv:2410.16076, 2024.
Michael A Fligner, George E Policello, and Jagbir Singh. A comparison of two randomized response survey methods with consideration for the level of respondent protection. Communications in Statistics-Theory and Methods, 6(15):1511–1524, 1977.
M. Friedman. A Theory of the Consumption Function. Princeton University Press, 1956.
Milton Friedman. Essays in positive economics. University of Chicago press, 1953.
Milton Friedman and Rose D Friedman. Two Lucky People. University of Chicago Press, 1998.
Ragar Frisch. Propagation problems and impulse problems in dynamic economics. In Economic Essays in Honour of Gustav Cassel, pages 171–205. Allen and Unwin, 1933.
Xavier Gabaix. Power laws in economics: an introduction. Journal of Economic Perspectives, 30(1):185–206, 2016.
David Gale. The theory of linear economic models. University of Chicago press, 1989.
Alfred Galichon. Optimal Transport Methods in Economics. Princeton University Press, Princeton, New Jersey, 2016.
Robert Gibrat. Les inégalités économiques: Applications d'une loi nouvelle, la loi de l'effet proportionnel. PhD thesis, Recueil Sirey, 1931.
Igor V. Girsanov. On transforming a certain class of stochastic processes by absolutely continuous substitution of measures. Theory of Probability and Its Applications, 5(3):285–301, 1960.
Geoffrey J Gordon. Stable function approximation in dynamic programming. In Machine Learning Proceedings 1995, pages 261–268. Elsevier, 1995.
Bernard G Greenberg, Abdel-Latif A Abul-Ela, Walt R Simmons, and Daniel G Horvitz. The unrelated question randomized response model: theoretical framework. Journal of the American Statistical Association, 64(326):520–539, 1969.
Bernard G Greenberg, Roy R Kuebler, James R Abernathy, and Daniel G Horvitz. Respondent hazards in the unrelated question randomized response model. Journal of Statistical Planning and Inference, 1(1):53–60, 1977.
Moses A Greenfield and Thomas J Sargent. A probabilistic analysis of a catastrophic transuranic waste hoise accident at the wipp. Environmental Evaluation Group, Albuquerque, New Mexico, June 1993. URL: http://www.tomsargent.com/research/EEG-53.pdf.
T. Groves. Incentives in teams. Econometrica, 41:617–631, 1973.
Bronwyn H Hall. The relationship between firm size and firm growth in the us manufacturing sector. The Journal of Industrial Economics, pages 583–606, 1987.
Robert E Hall. The dynamic effects of fiscal policy in an economy with foresight. The Review of Economic Studies, 38(2):229–244, 1971.
Robert E Hall. Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy, 86(6):971–987, 1978.
Robert E Hall and Frederic S Mishkin. The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households. National Bureau of Economic Research Working Paper Series, 1982.
Michael J Hamburger, Gerald L Thompson, and Roman L Weil. Computation of expansion rates for the generalized von neumann model of an expanding economy. Econometrica, Journal of the Econometric Society, pages 542–547, 1967.
James D Hamilton. What's real about the business cycle? Federal Reserve Bank of St. Louis Review, pages 435–452, 2005.
Gary D Hansen. The cyclical and secular behaviour of the labour input: comparing efficiency units and hours worked. Journal of Applied Econometrics, 8(1):71–80, 1993.
L P Hansen and T J Sargent. Robustness. Princeton University Press, 2008.
L P Hansen and T J Sargent. Recursive Models of Dynamic Linear Economies. The Gorman Lectures in Economics. Princeton University Press, 2013.
Lars Peter Hansen. Large sample properties of generalized method of moments estimators. Econometrica, 50(4):1029–1054, 1982.
Lars Peter Hansen. Nobel lecture: uncertainty outside and inside economic models. Journal of Political Economy, 122(5):945–987, 2014.
Lars Peter Hansen, John C Heaton, and Nan Li. Consumption strikes back? measuring long-run risk. Journal of Political economy, 116(2):260–302, 2008.
Lars Peter Hansen and Ravi Jagannathan. Implications of security market data for models of dynamic economies. Journal of Political Economy, 99(2):225–262, 1991. doi:10.1086/261750.
Lars Peter Hansen and Scott F Richard. The role of conditioning information in deducing testable restrictions implied by dynamc asset pricing models. Econometrica, 55(3):587–613, May 1987.
Lars Peter Hansen and Thomas J Sargent. Discounted linear exponential quadratic gaussian control. IEEE Transactions on Automatic control, 40(5):968–971, 1995.
Lars Peter Hansen and Thomas J Sargent. Certainty equivalence and model uncertainty. In Conference on Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley (http://www. federalreserve. gov/events/conferences/mmp2004/pdf/hansensargent. pdf). 2004.
Lars Peter Hansen and Thomas J. Sargent. Robust control and model uncertainty. American Economic Review, 91(2):60–66, 2001.
Lars Peter Hansen, Thomas J. Sargent, and Thomas D. Tallarini. Robust Permanent Income and Pricing. Review of Economic Studies, 66(4):873–907, 1999. URL: https://ideas.repec.org/a/oup/restud/v66y1999i4p873-907..html, doi:.
Lars Peter Hansen and Kenneth J Singleton. Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica: Journal of the Econometric Society, pages 1269–1286, 1982.
Lars Peter Hansen and Kenneth J Singleton. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of political economy, 91(2):249–265, 1983.
Lars Peter Hansen, Balázs Szőke, Lloyd S. Han, and Thomas J. Sargent. Twisted probabilities, uncertainty, and prices. Journal of Econometrics, 216(1):151–174, 2020.
J. Michael Harrison and David M. Kreps. Speculative investor behavior in a stock market with heterogeneous expectations. The Quarterly Journal of Economics, 92(2):323–336, 1978.
J. Michael Harrison and David M. Kreps. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3):381–408, June 1979.
John C. Harsanyi. Games with incomplete information played by “Bayesian” players, I–III part I. The basic model. Management Science, 14(3):159–182, 1967.
John C. Harsanyi. Games with incomplete information played by “Bayesian” players, I–III part III. The basic probability distribution of the game. Management Science, 14(7):486–502, 1968.
John C. Harsanyi. Games with incomplete information played by “Bayesian” players, I–III part II. Bayesian equilibrium points. Management Science, 14(5):320–334, 1968.
John Heaton and Deborah J Lucas. Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy, pages 443–487, 1996.
O Hernandez-Lerma and J B Lasserre. Discrete-Time Markov Control Processes: Basic Optimality Criteria. Number Vol 1 in Applications of Mathematics Stochastic Modelling and Applied Probability. Springer, 1996.
John R Hicks. Mr. keynes and the" classics"; a suggested interpretation. Econometrica, pages 147–159, 1937.
Charles Holt, Franco Modigliani, John F. Muth, and Herbert Simon. Planning Production, Inventories, and Work Force. Prentice-Hall International Series in Management, New Jersey, 1960.
Hugo A Hopenhayn. Entry, exit, and firm dynamics in long run equilibrium. Econometrica: Journal of the Econometric Society, pages 1127–1150, 1992.
He Huang, Selahattin Imrohoroglu, and Thomas J Sargent. Two computations to fund social security. Macroeconomic Dynamics, 1(1):7–44, 1997.
Mark Huggett. The risk-free rate in heterogeneous-agent incomplete-insurance economies. Journal of Economic Dynamics and Control, 17(5-6):953–969, 1993.
Leonid Hurwicz. Least squares bias in time series. Statistical inference in dynamic economic models, 10:365–383, 1950.
Leonid Hurwicz. On the structural form of interdependent systems. In Logic, Methodology and Philosophy of Science, pages 232–239. Stanford University Press, Stanford, CA, 1962.
Leonid Hurwicz. On the structural form of interdependent systems. Logic, Methodology and Philosophy of Science Proceeding of the 1960 International Congress, 44:232–239, 1966. URL: http://www.sciencedirect.com/science/article/pii/S0049237X09705907, doi:http://dx.doi.org/10.1016/S0049-237X(09)70590-7.
Stephen Hymer and Peter Pashigian. Firm size and rate of growth. Journal of Political Economy, 70(6):556–569, 1962.
Olle Häggström. Finite Markov chains and algorithmic applications. Volume 52. Cambridge University Press, 2002.
Michael D Intriligator. Mathematical optimization and economic theory. SIAM, 2002.
K Jänich. Linear Algebra. Springer Undergraduate Texts in Mathematics and Technology. Springer, 1994.
Matthew O. Jackson and Ehud Kalai. Reputation versus social learning. Journal of Economic Theory, 88(1):40–59, 1999. doi:10.1006/jeth.1999.2538.
Matthew O. Jackson, Ehud Kalai, and Rann Smorodinsky. Bayesian representation of stochastic processes under learning: de Finetti revisited. Econometrica, 67(4):875–893, 1999. doi:10.1111/1468-0262.00055.
D. H. Jacobson. Optimal stochastic linear systems with exponential performance criteria and their relation to differential games. IEEE Transactions on Automatic Control, 18(2):124–131, 1973.
David Jacobson. Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games. IEEE Transactions on Automatic control, 18(2):124–131, 1973.
Harold Jeffreys. An invariant form for the prior probability in estimation problems. Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences, 186(1007):453–461, 1946.
Robert J. Shiller John Y. Campbell. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1(3):195–228, 1988.
Boyan Jovanovic. Firm-specific capital and turnover. Journal of Political Economy, 87(6):1246–1260, 1979.
K L Judd. Cournot versus bertrand: a dynamic resolution. Technical Report, Hoover Institution, Stanford University, 1990.
Shizuo Kakutani. On equivalence of infinite product measures. Annals of Mathematics, 49(1):214–224, 1948.
Ehud Kalai and Ehud Lehrer. Rational learning leads to Nash equilibrium. Econometrica, 61(5):1019–1045, 1993. doi:10.2307/2951492.
Ehud Kalai and Ehud Lehrer. Subjective equilibrium in repeated games. Econometrica, 61(5):1231–1240, 1993. doi:10.2307/2951500.
Ehud Kalai and Ehud Lehrer. Weak and strong merging of opinions. Journal of Mathematical Economics, 23(1):73–86, 1994. doi:10.1016/0304-4068(94)90037-X.
Ehud Kalai, Ehud Lehrer, and Rann Smorodinsky. Calibrated forecasting and merging. Games and Economic Behavior, 29(1–2):151–169, 1999. doi:10.1006/game.1998.0608.
Samuel Karlin and Howard M. Taylor. A Second Course in Stochastic Processes. Academic Press, 1981.
John G Kemeny, Oskar Morgenstern, and Gerald L Thompson. A generalization of the von neumann model of an expanding economy. Econometrica, Journal of the Econometric Society, pages 115–135, 1956.
Richard E. Kihlstrom. A general theory of demand for information about product quality. Journal of Economic Theory, 8(4):413–439, 1974. doi:10.1016/0022-0531(74)90019-2.
Richard E. Kihlstrom. A Bayesian exposition of Blackwell's theorem on the comparison of experiments. In Marcel Boyer and Richard E. Kihlstrom, editors, Bayesian Models in Economic Theory, volume 5 of Studies in Bayesian Econometrics, pages 13–31. North-Holland, Amsterdam, 1984.
Tjalling C. Koopmans. On the concept of optimal economic growth. In Tjalling C. Koopmans, editor, The Economic Approach to Development Planning, pages 225–287. Chicago, 1965.
David M. Kreps. Notes on the Theory of Choice. Westview Press, Boulder, Colorado, 1988.
Moritz Kuhn. Recursive Equilibria In An Aiyagari-Style Economy With Permanent Income Shocks. International Economic Review, 54:807–835, 2013.
Solomon Kullback and Richard A Leibler. On information and sufficiency. The Annals of Mathematical Statistics, 22(1):79–86, 1951.
J. N. Kutz, S. L. Brunton, Brunton B. W, and J. L. Proctor. Dynamic mode decomposition: data-driven modeling of complex systems. SIAM, 2016.
Jan Lanke. On the choice of the unrelated question in simmons' version of randomized response. Journal of the American Statistical Association, 70(349):80–83, 1975.
Jan Lanke. On the degree of protection in randomized interviews. International Statistical Review/Revue Internationale de Statistique, pages 197–203, 1976.
Ehud Lehrer and Rann Smorodinsky. Compatible measures and merging. Mathematics of Operations Research, 21(3):697–706, 1996. doi:10.1287/moor.21.3.697.
Ehud Lehrer and Rann Smorodinsky. Merging and learning. In Thomas S. Ferguson, Lloyd S. Shapley, and James B. MacQueen, editors, Statistics, Probability and Game Theory: Papers in Honor of David Blackwell, volume 30 of IMS Lecture Notes – Monograph Series, pages 147–168. Institute of Mathematical Statistics, Hayward, CA, 1996. doi:10.1214/lnms/1215453571.
Martin Lettau and Sydney Ludvigson. Consumption, Aggregate Wealth, and Expected Stock Returns. Journal of Finance, 56(3):815–849, 06 2001.
Martin Lettau and Sydney C. Ludvigson. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption. American Economic Review, 94(1):276–299, March 2004.
David Levhari and Leonard J Mirman. The great fish war: an example using a dynamic cournot-nash solution. The Bell Journal of Economics, pages 322–334, 1980.
Frederick W Leysieffer and Stanley L Warner. Respondent jeopardy and optimal designs in randomized response models. Journal of the American Statistical Association, 71(355):649–656, 1976.
Friedrich Liese. phi-divergences, sufficiency, Bayes sufficiency, and deficiency. Kybernetika, 48(4):690–713, 2012.
L Ljungqvist and T J Sargent. Recursive Macroeconomic Theory. MIT Press, 4 edition, 2018.
Lars Ljungqvist. A unified approach to measures of privacy in randomized response models: a utilitarian perspective. Journal of the American Statistical Association, 88(421):97–103, 1993.
Jr. Lucas, Robert E. and Edward C. Prescott. Investment under uncertainty. Econometrica, 39(5):659–681, 1971.
Robert E Lucas and Thomas J Sargent. Rational expectations and econometric practice. U of Minnesota Press, Minneapolis, Minnesota, 1981.
Robert E Lucas, Jr. Asset prices in an exchange economy. Econometrica, 46(6):1429–1445, 1978.
Robert E Lucas, Jr. Macroeconomic Priorities. American Economic Review, 93(1):1–14, March 2003. URL: https://www.aeaweb.org/articles?id=10.1257/000282803321455133.
Robert E Jr Lucas. Econometric policy evaluation: a critique. In Carnegie-Rochester conference series on public policy, volume 1, 19–46. North-Holland, 1976.
Robert E Lucas Jr. Adjustment costs and the theory of supply. Journal of political economy, 75(4, Part 1):321–334, 1967.
Qingyin Ma, John Stachurski, and Alexis Akira Toda. The income fluctuation problem and the evolution of wealth. Journal of Economic Theory, 187:105003, 2020.
Thomas E. MaCurdy. The use of time series processes to model the error structure of earnings in a longitudinal data analysis. Journal of Econometrics, 18(1):83–114, 1982.
Edwin Mansfield. Entry, Gibrat's law, innovation, and the growth of firms. American Economic Review, 52(5):1023–1051, 1962.
Albert Marcet and Thomas J Sargent. Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information. Journal of Political Economy, 97(6):1306–1322, 1989.
A Mas-Colell, M D Whinston, and J R Green. Microeconomic Theory. Volume 1. Oxford University Press, 1995.
J J McCall. Economics of Information and Job Search. The Quarterly Journal of Economics, 84(1):113–126, 1970.
Costas Meghir and Luigi Pistaferri. Income variance dynamics and heterogeneity. Econometrica, 72(1):1–32, 2004.
Rajnish Mehra and Edward C Prescott. The equity premium: A puzzle. Journal of Monetary Economics, 15(2):145–161, 1985.
Enrique G Mendoza and Linda L Tesar. The international ramifications of tax reforms: supply-side economics in a global economy. American Economic Review, pages 226–245, 1998.
Edward M Miller. Risk, uncertainty, and divergence of opinion. The Journal of finance, 32(4):1151–1168, 1977.
Ronald I. Miller and Chris William Sanchirico. The role of absolute continuity in “Merging of Opinions” and “Rational Learning”. Games and Economic Behavior, 29(1–2):170–190, 1999. doi:10.1006/game.1999.0752.
F. Modigliani and R. Brumberg. Utility analysis and the consumption function: An interpretation of cross-section data. In K.K Kurihara, editor, Post-Keynesian Economics. 1954.
Tetsuzo Morimoto. Markov Processes and the H-Theorem. Journal of the Physical Society of Japan, 18(3):328–331, 1963. doi:10.1143/JPSJ.18.328.
Stephen Morris. Speculative investor behavior and learning. The Quarterly Journal of Economics, 111(4):1111–1133, 1996.
John F Muth. Optimal properties of exponentially weighted forecasts. Journal of the american statistical association, 55(290):299–306, 1960.
Derek Neal. The Complexity of Job Mobility among Young Men. Journal of Labor Economics, 17(2):237–261, 1999.
J. Neyman and E. S Pearson. On the problem of the most efficient tests of statistical hypotheses. Phil. Trans. R. Soc. Lond. A. 231 (694–706), pages 289–337, 1933.
Alexander A. Novikov. On an identity for stochastic integrals. Theory of Probability and Its Applications, 17(4):717–720, 1972.
Yaw Nyarko. Bayesian learning leads to correlated equilibria in normal form games. Economic Theory, 4(6):821–841, 1994. doi:10.1007/BF01213814.
Guy H. Orcutt and Herbert S. Winokur. First order autoregression: inference, estimation, and prediction. Econometrica, 37(1):1–14, 1969.
Jonathan A Parker. The Reaction of Household Consumption to Predictable Changes in Social Security Taxes. American Economic Review, 89(4):959–973, 1999.
Monika Piazzesi, Juliana Salomao, and Martin Schneider. Trend and Cycle in Bond Premia. Working Paper, Stanford University, 2015.
Luciano Pomatto, Nabil I. Al-Najjar, and Alvaro Sandroni. Merging and testing opinions. The Annals of Statistics, 42(3):1003–1028, 2014. doi:10.1214/14-AOS1212.
Edward C Prescott and Rajnish Mehra. Recursive competitive equilibrium: the case of homogeneous households. Econometrica, 48(6):1365–1379, 1980.
Edward C. Prescott and Michael Visscher. Organization capital. Journal of Political Economy, 88(3):446–461, 1980.
Jenő Pál and John Stachurski. Fitted value function iteration with probability one contractions. Journal of Economic Dynamics and Control, 37(1):251–264, 2013.
Guillaume Rabault. When do borrowing constraints bind? Some new results on the income fluctuation problem. Journal of Economic Dynamics and Control, 26(2):217–245, 2002.
Kevin L Reffett. Production-based asset pricing in monetary economies with transactions costs. Economica, pages 427–443, 1996.
Michael Reiter. Solving heterogeneous-agent models by projection and perturbation. Journal of Economic Dynamics and Control, 33(3):649–665, 2009.
Stephen P Ryan. The costs of environmental regulation in a concentrated industry. Econometrica, 80(3):1019–1061, 2012.
Paul A. Samuelson. Interactions between the multiplier analysis and the principle of acceleration. Review of Economic Studies, 21(2):75–78, 1939.
Alvaro Sandroni. Necessary and sufficient conditions for convergence to Nash equilibrium: the almost absolute continuity hypothesis. Games and Economic Behavior, 22(1):121–147, 1998. doi:10.1006/game.1997.0572.
Alvaro Sandroni. Do markets favor agents able to make accurate predictions? Econometrica, 68(6):1303–1341, 2000.
Thomas J Sargent. The Demand for Money During Hyperinflations under Rational Expectations: I. International Economic Review, 18(1):59–82, February 1977.
Thomas J Sargent. Interpreting economic time series. Journal of political Economy, 89(2):213–248, 1981.
Thomas J Sargent. Macroeconomic Theory. Academic Press, New York, 2nd edition, 1987.
Thomas J Sargent. Two models of measurements and the investment accelerator. Journal of Political Economy, 97(2):251–287, 1989.
Thomas J Sargent and John Stachurski. Dynamic Programming: Finite States. Cambridge University Press, 2025.
Jack Schechtman and Vera L S Escudero. Some results on an income fluctuation problem. Journal of Economic Theory, 16(2):151–166, 1977.
Jose A. Scheinkman. Speculation, Trading, and Bubbles. Columbia University Press, New York, 2014.
Peter J Schmid. Dynamic mode decomposition of numerical and experimental data. Journal of fluid mechanics, 656:5–28, 2010.
Claude E Shannon. A mathematical theory of communication. The Bell system technical journal, 27(3):379–423, 1948.
Ravid Shwartz-Ziv and Naftali Tishby. Opening the Black Box of Deep Neural Networks via Information. arXiv preprint arXiv:1703.00810, 2017.
Herbert A Simon. Dynamic programming under uncertainty with a quadratic criterion function. Econometrica, Journal of the Econometric Society, pages 74–81, 1956.
Eugen Slutsky. The summation of random causes as the source of cyclic processes. In Problems of Economic Conditions, volume 3. The Conjuncture Institute, Moscow, 1927.
John Stachurski. Continuous state dynamic programming via nonexpansive approximation. Computational Economics, 31(2):141–160, 2008.
John Stachurski and Alexis Akira Toda. An impossibility theorem for wealth in heterogeneous-agent models with limited heterogeneity. Journal of Economic Theory, 182:1–24, 2019.
George J. Stigler. The economies of scale. Journal of Law and Economics, 1:54–71, 1958.
Kjetil Storesletten, Christopher I Telmer, and Amir Yaron. Consumption and risk sharing over the life cycle. Journal of Monetary Economics, 51(3):609–633, 2004.
R K Sundaram. A First Course in Optimization Theory. Cambridge University Press, 1996.
Richard S Sutton and Andrew G Barto. Reinforcement learning: An introduction. MIT press, 2018.
Balázs Szőke. Estimating robustness. Journal of Economic Theory, 199:105225, 2022.
Thomas D Tallarini. Risk-sensitive real business cycles. Journal of Monetary Economics, 45(3):507–532, June 2000.
George Tauchen. Finite state markov-chain approximations to univariate and vector autoregressions. Economics Letters, 20(2):177–181, 1986.
Henri Theil. A note on certainty equivalence in dynamic planning. Econometrica: Journal of the Econometric Society, pages 346–349, 1957.
Naftali Tishby, Fernando C. Pereira, and William Bialek. The Information Bottleneck Method. In Proceedings of the 37th Annual Allerton Conference on Communication, Control, and Computing, 368–377. 1999.
James Tobin. An old keynesian counterattacks. Eastern Economic Journal, 18(4):387–400, 1992.
Daniel Treisman. Russia's billionaires. The American Economic Review, 106(5):236–241, 2016.
J. H. Tu, C. W. Rowley, D. M. Luchtenburg, S. L. Brunton, and J. N. Kutz. On dynamic mode decomposition: theory and applications. Journal of Computational Dynamics, 1(2):391–421, 2014.
Ngo Van Long. Dynamic games in the economics of natural resources: a survey. Dynamic Games and Applications, 1(1):115–148, 2011.
W. Vickrey. Counterspeculation, auctions, and competitive sealed tenders. Journal of Finance, 16:8–37, 1961.
John von Neumann. Zur theorie der gesellschaftsspiele. Mathematische annalen, 100(1):295–320, 1928.
John von Neumann. Uber ein okonomsiches gleichungssystem und eine verallgemeinering des browerschen fixpunktsatzes. In Erge. Math. Kolloq., volume 8, 73–83. 1937.
Abraham Wald. Sequential Analysis. John Wiley and Sons, New York, 1947.
W Allen Wallis. The statistical research group, 1942–1945. Journal of the American Statistical Association, 75(370):320–330, 1980.
Stanley L Warner. Randomized response: a survey technique for eliminating evasive answer bias. Journal of the American Statistical Association, 60(309):63–69, 1965.
William E Wecker. Predicting the turning points of a time series. Journal of business, pages 35–50, 1979.
Philippe Weil. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics, 24(3):401–421, 1989. doi:10.1016/0304-3932(89)90028-7.
Charles Whiteman. Linear Rational Expectations Models: A User's Guide. University of Minnesota Press, Minneapolis, Minnesota, 1983.
Peter Whittle. Risk-sensitive linear/quadratic/gaussian control. Advances in Applied Probability, 13(4):764–777, 1981.
Peter Whittle. Risk-Sensitive Optimal Control. Wiley, New York, 1990.
Oliver E. Williamson. Markets and Hierarchies: Analysis and Antitrust Implications. Free Press, New York, 1975.
Jeffrey M Wooldridge. Introductory econometrics: A modern approach. Nelson Education, 2015.
G Alastair Young and Richard L Smith. Essentials of statistical inference. Cambridge University Press, 2005.
Nikolai N. Čencov. Statistical Decision Rules and Optimal Inference. Volume 53 of Translations of Mathematical Monographs. American Mathematical Society, Providence, RI, 1981.
Morris H. DeGroot. Uncertainty, information, and sequential experiments. Annals of Mathematical Statistics, 33(2):404–419, 1962. doi:10.1214/aoms/1177704567.