Analytic Function Reading Group

This reading group is on the Analytic Function method, its use in rational expectations models, and in particular using it to solve dynamic models of dispersed information with learning through endogenous variables. Organized by Guido Lorenzoni, Lars Hansen, and myself.

Schedule:

November 9, 2011: First Meeting. Lecture by Lars Hansen. Analytic function solutions to full information models. [Lecture Notes]
November 16, 2011: Lecture by Lars. More Examples using analytic functions.
December 7, 2011: Guido presents Woodford (2001). State space methods with imperfect information, and why the state space method fails to work when you introduce endogenous learning.
December 14, 2011: Jen-Jen presents Taub (1989)
January 11, 2012: Jen-Jen sets up Futia (1981) and Rondina Walker (2011) in the time domain and shows why we can't solve for the equilibrium with endogenous information using state-space methods. [Lecture Notes]
January 18, 2012: Thorsten presents Futia (1981) and Rondina Walker (2011) in the frequency domain using analytic function methods. [Lecture Notes]
January 27, 2012: Thorsten continues presenting Rondina Walker (2011).
February 8, 2012: John presents analytic function theory in continuous time. [Lecture Notes] See also Hansen-Sargent continuous-time notes.
February 10, 2012: Guido takes the RW frequency-domain solution and shows that it works with the Kalman filter in the time domain. [Lecture Notes]
February 15, 2012: Thorsten clarifies some of our previous RW discussion and goes through a simple case. [Lecture Notes]

References:

1. Hansen & Sargent (1979), Formulating and Estimating Dynamic Linear Rational Expectations models.
2. Hansen, Heaton, Lee, Roussanov (2007), Intertemporal Substitution & Risk Aversion.
Lengthy, need only Section 4.1
3. Hansen & Sargent (1991). Rational Expectations Econometrics. Online text [here] and [here].
4. Hansen & Sargent (1991). Chapter 8 of Rational Expectations Econometrics. Prediction Formulas for Continuous-Time Linear Rational Expectations Models.
5. Hansen (2011). Comment on Adam, Kuang, Marcet (2011), Exotic Preferences for Macroeconomics.
6. Whiteman (1983). Linear Rational Expectations Models: A User's Guide.
7. Futia (1981), Rational Expectations in Stationary Linear Models, Econometrica.
8. Townsend (1983), Forecasting the Forecasts of Others, Journal of Political Economy.
9. Taub (1989), Aggregate Fluctuations as an Information Transmission Mechanism, Journal of Economic Dynamics and Control.
10. Kasa (2000), Forecasting the Forecasts of Others in the Frequency Domain, Review of Economic Dynamics.
11. Rondina Walker (2011), Information Equilibria in Dynamic Environments.
12. Woodford (2001), Imperfect Common Knowledge and the Effects of Monetary Policy.
13. Hansen & Sargent (1991). Chapter 5 of Rational Expectations Econometrics. Present Value Budget Balance.
14. Phillips, A.W. (1959). The Estimation of Parameters in Systems of Stochastic Differential Equations, Biometrika.

More Workshops and Reading Groups:

Macro/International Workshop, Chicago Booth
Money & Banking Workshop, Department of Economics
Finance Workshop, Chicago Booth
International Finance and Macro Reading Group