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Hansen, Lars Peter

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Author ID: hansen.lars-peter Recent zbMATH articles by "Hansen, Lars Peter"
Published as: Hansen, Lars; Hansen, Lars Peter
Homepage: http://larspeterhansen.org/
External Links: MGP · Wikidata · GND
Awards: Nobel Memorial Prize in Economic Sciences (2013)
Documents Indexed: 55 Publications since 1974, including 12 Books
Biographic References: 1 Publication

Publications by Year

Citations contained in zbMATH Open

43 Publications have been cited 1,660 times in 1,290 Documents Cited by Year
Large sample properties of generalized method of moments estimators. Zbl 0502.62098
Hansen, Lars Peter
785
1982
Generalized instrumental variables estimation of nonlinear rational expectations models. Zbl 0497.62098
Hansen, Lars Peter; Singleton, Kenneth J.
110
1982
Back to the future: Generating moment implications for continuous-time Markov processes. Zbl 0834.60083
Hansen, Lars Peter; Scheinkman, José Alexandre
73
1995
Robust permanent income and pricing. Zbl 0943.91048
Hansen, Lars Peter; Sargent, Thomas J.; Tallarini, Thomas D. jun.
61
1999
Robustness. Zbl 1134.93001
Hansen, Lars Peter; Sargent, Thomas J.
54
2008
Robust control and model misspecification. Zbl 1152.93356
Hansen, Lars Peter; Sargent, Thomas J.; Turmuhambetova, Gauhar; Williams, Noah
52
2006
A time series analysis of representative agent models of consumption and leisure choice under uncertainty. Zbl 1254.91343
Eichenbaum, Martin S.; Hansen, Lars Peter; Singleton, Kenneth J.
45
1974
Spectral methods for identifying scalar diffusions. Zbl 0962.62094
Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, Nizar
42
1998
A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators. Zbl 0588.62166
Hansen, Lars Peter
37
1985
The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Zbl 0613.90004
Hansen, Lars Peter; Richard, Scott F.
35
1987
Long-term risk: an operator approach. Zbl 1160.91367
Hansen, Lars Peter; Scheinkman, José A.
31
2009
Nonlinearity and temporal dependence. Zbl 1431.62600
Chen, Xiaohong; Hansen, Lars Peter; Carrasco, Marine
27
2010
Discounted linear exponential quadratic Gaussian control. Zbl 0825.93969
Hansen, Lars Peter; Sargent, Thomas J.
25
1995
The dimensionality of the aliasing problem in models with rational spectral densities. Zbl 0516.93063
Hansen, Lars Peter; Sargent, Thomas J.
25
1983
Recursive models of dynamic linear economies. Zbl 1394.91004
Hansen, Lars Peter; Sargent, Thomas J.
23
2014
Fragile beliefs and the price of uncertainty. Zbl 1207.91037
Hansen, Lars Peter; Sargent, Thomas J.
18
2010
Robust estimation and control under commitment. Zbl 1116.91012
Hansen, Lars Peter; Sargent, Thomas J.
18
2005
Robust permanent income and pricing with filtering. Zbl 1001.91017
Hansen, Lars Peter; Sargent, Thomas J.; Wang, Neng E.
18
2002
Efficiency bounds implied by multiperiod conditional moment restrictions. Zbl 0685.62093
Hansen, Lars Peter; Heaton, John C.; Ogaki, Masao
18
1988
Mechanics of forming and estimating dynamic linear economies. Zbl 1126.91394
Anderson, Evan W.; Hansen, Lars Peter; McGrattan, Ellen R.; Sargent, Thomas J.
17
1996
Dynamic valuation decomposition within stochastic economies. Zbl 1274.91309
Hansen, Lars Peter
15
2012
Recursive robust estimation and control without commitment. Zbl 1256.90047
Hansen, Lars Peter; Sargent, Thomas J.
15
2007
Robustness. Reprint of the 2008 hardback edition. Zbl 1339.93001
Hansen, Lars Peter; Sargent, Thomas J.
12
2016
Pricing growth-rate risk. Zbl 1262.91069
Hansen, Lars Peter; Scheinkman, José A.
12
2012
Nonlinear principal components and long-run implications of multivariate diffusions. Zbl 1191.62107
Chen, Xiaohong; Hansen, Lars Peter; Scheinkman, José
12
2009
Seasonally and approximation errors in rational expectations models. Zbl 0755.62086
Hansen, Lars Peter; Sargent, Thomas J.
12
1993
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Zbl 0709.62103
Gallant, A. Ronald; Hansen, Lars Peter; Tauchen, George
11
1990
Doubts or variability? Zbl 1198.91074
Barillas, Francisco; Hansen, Lars Peter; Sargent, Thomas J.
10
2009
Small noise methods for risk-sensitive/robust economies. Zbl 1242.91128
Anderson, Evan W.; Hansen, Lars Peter; Sargent, Thomas J.
7
2012
Multiperiod probit models and orthogonality condition estimation. Zbl 0528.62094
Avery, Robert B.; Hansen, Lars Peter; Hotz, V. Joseph
7
1983
Bootstrapping the long run. Zbl 0917.90033
Conley, Timothy G.; Hansen, Lars Peter; Liu, Wen-Fang
6
1997
Robustness and ambiguity in continuous time. Zbl 1247.91043
Hansen, Lars Peter; Sargent, Thomas J.
5
2011
Ambiguity aversion and model misspecification: an economic perspective. Zbl 1442.62018
Hansen, Lars Peter; Marinacci, Massimo
4
2016
Shock elasticities and impulse responses. Zbl 1307.91124
Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A.
4
2014
Underidentification? Zbl 1443.62424
Arellano, Manuel; Hansen, Lars Peter; Sentana, Enrique
3
2012
Computing semiparametric efficiency bounds for linear time series models. Zbl 0850.62661
Hansen, Lars Peter; Singleton, Kenneth J.
3
1991
Proofs for large sample properties of generalized method of moments estimators. Zbl 1443.62457
Hansen, Lars Peter
2
2012
Twisted probabilities, uncertainty, and prices. Zbl 1456.91049
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; Sargent, Thomas J.
1
2020
Uncertainty within economic models. With a foreword by Eric S. Maskin. Zbl 1306.91002
Hansen, Lars Peter; Sargent, Thomas J.
1
2015
Examining macroeconomic models through the lens of asset pricing. Zbl 1312.91068
Borovička, Jaroslav; Hansen, Lars Peter
1
2014
Robust hidden Markov LQG problems. Zbl 1231.91037
Hansen, Lars Peter; Mayer, Ricardo; Sargent, Thomas
1
2010
Introduction to model uncertainty and robustness. Zbl 1151.91311
Hansen, Lars Peter; Maenhout, Pascal; Rustichini, Aldo; Sargent, Thomas J.; Siniscalchi, Marciano M.
1
2006
Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time. Zbl 0518.90006
Hansen, Lars Peter; Sargent, Thomas J.
1
1983
Twisted probabilities, uncertainty, and prices. Zbl 1456.91049
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; Sargent, Thomas J.
1
2020
Robustness. Reprint of the 2008 hardback edition. Zbl 1339.93001
Hansen, Lars Peter; Sargent, Thomas J.
12
2016
Ambiguity aversion and model misspecification: an economic perspective. Zbl 1442.62018
Hansen, Lars Peter; Marinacci, Massimo
4
2016
Uncertainty within economic models. With a foreword by Eric S. Maskin. Zbl 1306.91002
Hansen, Lars Peter; Sargent, Thomas J.
1
2015
Recursive models of dynamic linear economies. Zbl 1394.91004
Hansen, Lars Peter; Sargent, Thomas J.
23
2014
Shock elasticities and impulse responses. Zbl 1307.91124
Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A.
4
2014
Examining macroeconomic models through the lens of asset pricing. Zbl 1312.91068
Borovička, Jaroslav; Hansen, Lars Peter
1
2014
Dynamic valuation decomposition within stochastic economies. Zbl 1274.91309
Hansen, Lars Peter
15
2012
Pricing growth-rate risk. Zbl 1262.91069
Hansen, Lars Peter; Scheinkman, José A.
12
2012
Small noise methods for risk-sensitive/robust economies. Zbl 1242.91128
Anderson, Evan W.; Hansen, Lars Peter; Sargent, Thomas J.
7
2012
Underidentification? Zbl 1443.62424
Arellano, Manuel; Hansen, Lars Peter; Sentana, Enrique
3
2012
Proofs for large sample properties of generalized method of moments estimators. Zbl 1443.62457
Hansen, Lars Peter
2
2012
Robustness and ambiguity in continuous time. Zbl 1247.91043
Hansen, Lars Peter; Sargent, Thomas J.
5
2011
Nonlinearity and temporal dependence. Zbl 1431.62600
Chen, Xiaohong; Hansen, Lars Peter; Carrasco, Marine
27
2010
Fragile beliefs and the price of uncertainty. Zbl 1207.91037
Hansen, Lars Peter; Sargent, Thomas J.
18
2010
Robust hidden Markov LQG problems. Zbl 1231.91037
Hansen, Lars Peter; Mayer, Ricardo; Sargent, Thomas
1
2010
Long-term risk: an operator approach. Zbl 1160.91367
Hansen, Lars Peter; Scheinkman, José A.
31
2009
Nonlinear principal components and long-run implications of multivariate diffusions. Zbl 1191.62107
Chen, Xiaohong; Hansen, Lars Peter; Scheinkman, José
12
2009
Doubts or variability? Zbl 1198.91074
Barillas, Francisco; Hansen, Lars Peter; Sargent, Thomas J.
10
2009
Robustness. Zbl 1134.93001
Hansen, Lars Peter; Sargent, Thomas J.
54
2008
Recursive robust estimation and control without commitment. Zbl 1256.90047
Hansen, Lars Peter; Sargent, Thomas J.
15
2007
Robust control and model misspecification. Zbl 1152.93356
Hansen, Lars Peter; Sargent, Thomas J.; Turmuhambetova, Gauhar; Williams, Noah
52
2006
Introduction to model uncertainty and robustness. Zbl 1151.91311
Hansen, Lars Peter; Maenhout, Pascal; Rustichini, Aldo; Sargent, Thomas J.; Siniscalchi, Marciano M.
1
2006
Robust estimation and control under commitment. Zbl 1116.91012
Hansen, Lars Peter; Sargent, Thomas J.
18
2005
Robust permanent income and pricing with filtering. Zbl 1001.91017
Hansen, Lars Peter; Sargent, Thomas J.; Wang, Neng E.
18
2002
Robust permanent income and pricing. Zbl 0943.91048
Hansen, Lars Peter; Sargent, Thomas J.; Tallarini, Thomas D. jun.
61
1999
Spectral methods for identifying scalar diffusions. Zbl 0962.62094
Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, Nizar
42
1998
Bootstrapping the long run. Zbl 0917.90033
Conley, Timothy G.; Hansen, Lars Peter; Liu, Wen-Fang
6
1997
Mechanics of forming and estimating dynamic linear economies. Zbl 1126.91394
Anderson, Evan W.; Hansen, Lars Peter; McGrattan, Ellen R.; Sargent, Thomas J.
17
1996
Back to the future: Generating moment implications for continuous-time Markov processes. Zbl 0834.60083
Hansen, Lars Peter; Scheinkman, José Alexandre
73
1995
Discounted linear exponential quadratic Gaussian control. Zbl 0825.93969
Hansen, Lars Peter; Sargent, Thomas J.
25
1995
Seasonally and approximation errors in rational expectations models. Zbl 0755.62086
Hansen, Lars Peter; Sargent, Thomas J.
12
1993
Computing semiparametric efficiency bounds for linear time series models. Zbl 0850.62661
Hansen, Lars Peter; Singleton, Kenneth J.
3
1991
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Zbl 0709.62103
Gallant, A. Ronald; Hansen, Lars Peter; Tauchen, George
11
1990
Efficiency bounds implied by multiperiod conditional moment restrictions. Zbl 0685.62093
Hansen, Lars Peter; Heaton, John C.; Ogaki, Masao
18
1988
The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Zbl 0613.90004
Hansen, Lars Peter; Richard, Scott F.
35
1987
A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators. Zbl 0588.62166
Hansen, Lars Peter
37
1985
The dimensionality of the aliasing problem in models with rational spectral densities. Zbl 0516.93063
Hansen, Lars Peter; Sargent, Thomas J.
25
1983
Multiperiod probit models and orthogonality condition estimation. Zbl 0528.62094
Avery, Robert B.; Hansen, Lars Peter; Hotz, V. Joseph
7
1983
Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time. Zbl 0518.90006
Hansen, Lars Peter; Sargent, Thomas J.
1
1983
Large sample properties of generalized method of moments estimators. Zbl 0502.62098
Hansen, Lars Peter
785
1982
Generalized instrumental variables estimation of nonlinear rational expectations models. Zbl 0497.62098
Hansen, Lars Peter; Singleton, Kenneth J.
110
1982
A time series analysis of representative agent models of consumption and leisure choice under uncertainty. Zbl 1254.91343
Eichenbaum, Martin S.; Hansen, Lars Peter; Singleton, Kenneth J.
45
1974
all top 5

Cited by 1,847 Authors

21 Hansen, Lars Peter
13 Chen, Xiaohong
13 Sargent, Thomas John
12 Smith, Richard J.
11 Ghysels, Eric
11 Gourieroux, Christian
11 Marinacci, Massimo
11 Otsu, Taisuke
11 Renault, Eric
9 Qu, Annie
8 Aït-Sahalia, Yacine
8 Guggenberger, Patrik
8 Hall, Alastair R.
8 Inoue, Atsushi
8 Newey, Whitney Kent
8 Siu, Tak Kuen
8 Sutradhar, Brajendra Chandra
8 Tauchen, George E.
8 West, Kenneth D.
8 Windmeijer, Frank A. G.
7 Elliott, Robert James
7 Guay, Alain
7 Lee, Lung-Fei
7 Maccheroni, Fabio
7 Sentana, Enrique
6 Bollerslev, Tim
6 Bravo, Francesco
6 Carrasco, Marine
6 Chen, Song Xi
6 Francq, Christian
6 Gallant, A. Ronald
6 Liao, Zhipeng
6 Singer, Hermann
6 Small, Dylan S.
6 Song, Peter Xue-Kun
6 Sun, Yixiao
5 Cerreia-Vioglio, Simone
5 Chernov, Mikhail
5 Darolles, Serge
5 Jaśkiewicz, Anna
5 Jowaheer, Vandna
5 Kristensen, Dennis
5 Linetsky, Vadim
5 Linton, Oliver Bruce
5 Phillips, Peter Charles Bonest
5 Tang, Chengyong
5 Trojani, Fabio
4 Anatolyev, Stanislav
4 Andersen, Torben G.
4 Antoine, Bertille
4 Bacry, Emmanuel
4 Blundell, Richard W.
4 Bo, Lijun
4 Brannas, Kurt
4 Cai, Zongwu
4 Chambers, Marcus J.
4 Fan, Jianqing
4 Florens, Jean-Pierre
4 Gregory, Allan W.
4 Guidolin, Massimo
4 Hahn, Jinyong
4 Hill, Jonathan B.
4 Hong, Han
4 Imbens, Guido W.
4 Kasa, Kenneth
4 Kleibergen, Frank
4 Meddahi, Nour
4 Mittelhammer, Ron C.
4 Muzy, Jean-François
4 Mykland, Per Aslak
4 Parente, Paulo M. D. C.
4 Prokhorov, Artem A.
4 Ramalho, Joaquim J. S.
4 Ren, Yu
4 Scheinkman, José Alexandre
4 Schmidt, Peter
4 Smith, Gregor W.
4 Sorensen, Michael
4 Yu, Jun
4 Zakoïan, Jean-Michel
4 Zhou, Yong
4 Zou, Zhentao
3 Ahn, Seung Chan
3 Ai, Chunrong
3 Amengual, Dante
3 Andrews, Donald Wilfrid Kao
3 Araujo, Aloisio P.
3 Atkinson, Scott E.
3 Bai, Yang
3 Balbus, Łukasz
3 Bond, Stephen D.
3 Borovička, Jaroslav
3 Caner, Mehmet
3 Chang, Jinyuan
3 Chernozhukov, Victor
3 Cohen, Asaf
3 Dennis, Richard
3 Dovonon, Prosper
3 Embrechts, Paul
3 Fan, Yanqin
...and 1,747 more Authors
all top 5

Cited in 175 Serials

329 Journal of Econometrics
116 Journal of Economic Dynamics & Control
79 Economics Letters
53 Econometric Theory
47 Journal of Economic Theory
37 Econometric Reviews
24 Computational Statistics and Data Analysis
22 The Annals of Statistics
22 Journal of Statistical Planning and Inference
19 Journal of Multivariate Analysis
16 Quantitative Finance
14 Statistics & Probability Letters
13 European Journal of Operational Research
13 The Econometrics Journal
12 Mathematical Finance
11 Journal of the American Statistical Association
11 International Journal of Theoretical and Applied Finance
10 Statistical Science
9 Journal of Mathematical Economics
9 Communications in Statistics. Theory and Methods
9 Journal of Statistical Computation and Simulation
9 Computational Economics
9 Economic Theory
8 The Canadian Journal of Statistics
8 Computational Statistics
8 Communications in Statistics. Simulation and Computation
8 Open Economies Review
8 Annals of Finance
7 Biometrics
7 Operations Research
7 Insurance Mathematics & Economics
7 Journal of Time Series Analysis
7 Finance and Stochastics
7 Mathematics and Financial Economics
6 Psychometrika
6 Scandinavian Journal of Statistics
6 Statistics
6 Annals of Operations Research
6 Stochastic Processes and their Applications
6 Statistical Papers
6 Journal of Nonparametric Statistics
6 Electronic Journal of Statistics
5 International Economic Review
5 Bernoulli
5 Journal of Applied Statistics
5 Statistical Inference for Stochastic Processes
4 Journal of Mathematical Analysis and Applications
4 Applied Mathematics and Computation
4 Journal of Computational and Applied Mathematics
4 The Journal of Mathematical Sociology
4 Mathematics and Computers in Simulation
4 Mathematics of Operations Research
4 SIAM Journal on Control and Optimization
4 Statistica Neerlandica
4 Applied Mathematical Finance
4 Mathematical Problems in Engineering
4 Macroeconomic Dynamics
4 Methodology and Computing in Applied Probability
4 Scandinavian Actuarial Journal
4 Journal of Machine Learning Research (JMLR)
4 Review of Derivatives Research
4 Journal of the Korean Statistical Society
4 The Annals of Applied Statistics
3 Annals of the Institute of Statistical Mathematics
3 Automatica
3 Theory and Decision
3 Computers & Operations Research
3 The Annals of Applied Probability
3 Games and Economic Behavior
3 Applied Mathematics. Series B (English Edition)
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Brazilian Journal of Probability and Statistics
3 Statistical Methods in Medical Research
3 Journal of Statistical Theory and Practice
3 AStA. Advances in Statistical Analysis
3 Statistics and Computing
3 Journal of Econometric Methods
2 International Journal of Control
2 International Journal of Systems Science
2 Journal of Computational Physics
2 Journal of Statistical Physics
2 Metrika
2 Applied Mathematics and Optimization
2 Journal of Optimization Theory and Applications
2 Metron
2 Operations Research Letters
2 Stochastic Analysis and Applications
2 Physica D
2 Acta Mathematicae Applicatae Sinica. English Series
2 Journal of Economics
2 Test
2 Abstract and Applied Analysis
2 Mathematical Methods of Operations Research
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Applied Stochastic Models in Business and Industry
2 Discrete and Continuous Dynamical Systems. Series B
2 Journal of Systems Science and Complexity
2 Decisions in Economics and Finance
2 ASTIN Bulletin
2 North American Actuarial Journal
...and 75 more Serials

Citations by Year

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