quant-econ.bib

###
QuantEcon Bibliography File used in conjuction with sphinxcontrib-bibtex package
Note: Extended Information (like abstracts, doi, url's etc.) can be found in quant-econ-extendedinfo.bib file in _static/
###

@article{evans2005interview,
  title={An interview with Thomas J. Sargent},
  author={Evans, George W and Honkapohja, Seppo},
  journal={Macroeconomic Dynamics},
  volume={9},
  number={4},
  pages={561--583},
  year={2005},
  publisher={Cambridge University Press}
}

@article{hansen2014nobel,
  title={Nobel lecture: Uncertainty outside and inside economic models},
  author={Hansen, Lars Peter},
  journal={Journal of Political Economy},
  volume={122},
  number={5},
  pages={945--987},
  year={2014},
  publisher={University of Chicago Press Chicago, IL}
}

@book{Sargent_Stachurski_2025, 
  place={Cambridge}, 
  title={Dynamic Programming: Finite States}, 
  publisher={Cambridge University Press}, 
  author={Sargent, Thomas J and Stachurski, John}, 
  year={2025}
}

@incollection{slutsky:1927,
 address = {Moscow},
 author = {Slutsky, Eugen},
 booktitle = {Problems of Economic Conditions},
 date-added = {2021-02-16 14:44:03 -0600},
 date-modified = {2021-02-16 14:44:03 -0600},
 publisher = {The Conjuncture Institute},
 title = {The Summation of Random Causes as the Source of Cyclic Processes},
 volume = {3},
 year = {1927}
}

@incollection{frisch33,
 author = {Ragar Frisch},
 booktitle = {Economic Essays in Honour of Gustav Cassel},
 date-added = {2015-01-09 21:08:15 +0000},
 date-modified = {2015-01-09 21:08:15 +0000},
 pages = {171-205},
 publisher = {Allen and Unwin},
 title = {Propagation Problems and Impulse Problems in Dynamic Economics},
 year = {1933}
}

@article{harsanyi1968games,
  title={Games with Incomplete Information Played by ``{B}ayesian'' Players, {I}--{III} Part {II}. {B}ayesian Equilibrium Points},
  author={Harsanyi, John C.},
  journal={Management Science},
  volume={14},
  number={5},
  pages={320--334},
  year={1968},
  publisher={INFORMS}
}

@article{harsanyi1968games3,
  title={Games with Incomplete Information Played by ``{B}ayesian'' Players, {I}--{III} Part {III}. {T}he Basic Probability Distribution of the Game},
  author={Harsanyi, John C.},
  journal={Management Science},
  volume={14},
  number={7},
  pages={486--502},
  year={1968},
  publisher={INFORMS}
}

@article{harsanyi1967games,
  title={Games with Incomplete Information Played by ``{B}ayesian'' Players, {I}--{III} Part {I}. {T}he Basic Model},
  author={Harsanyi, John C.},
  journal={Management Science},
  volume={14},
  number={3},
  pages={159--182},
  year={1967},
  publisher={INFORMS}
}

@article{miller1977risk,
  title={Risk, uncertainty, and divergence of opinion},
  author={Miller, Edward M},
  journal={The Journal of finance},
  volume={32},
  number={4},
  pages={1151--1168},
  year={1977},
  publisher={JSTOR}
}

@article{jeffreys1946invariant,
  title={An invariant form for the prior probability in estimation problems},
  author={Jeffreys, Harold},
  journal={Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences},
  volume={186},
  number={1007},
  pages={453--461},
  year={1946},
  publisher={The Royal Society London}
}

@article{blume2018case,
  title={A case for incomplete markets},
  author={Blume, Lawrence E and Cogley, Timothy and Easley, David A and Sargent, Thomas J and Tsyrennikov, Viktor},
  journal={Journal of Economic Theory},
  volume={178},
  pages={191--221},
  year={2018},
  publisher={Elsevier}
}

@article{shannon1948mathematical,
  title={A mathematical theory of communication},
  author={Shannon, Claude E},
  journal={The Bell system technical journal},
  volume={27},
  number={3},
  pages={379--423},
  year={1948},
  publisher={Nokia Bell Labs}
}

@article{kullback1951information,
  title={On Information and Sufficiency},
  author={Kullback, Solomon and Leibler, Richard A},
  journal={The Annals of Mathematical Statistics},
  volume={22},
  number={1},
  pages={79--86},
  year={1951},
  publisher={JSTOR}
}

@book{kullback1997information,
  title={Information theory and statistics},
  author={Kullback, Solomon},
  year={1997},
  publisher={Courier Corporation}
}

@book{friedman1953essays,
  title={Essays in positive economics},
  author={Friedman, Milton},
  year={1953},
  publisher={University of Chicago press}
}

@article{alchian1950uncertainty,
  title={Uncertainty, evolution, and economic theory},
  author={Alchian, Armen A},
  journal={Journal of political economy},
  volume={58},
  number={3},
  pages={211--221},
  year={1950},
  publisher={The University of Chicago Press}
}


@article{blume2006if,
  title={If you're so smart, why aren't you rich? Belief selection in complete and incomplete markets},
  author={Blume, Lawrence and Easley, David},
  journal={Econometrica},
  volume={74},
  number={4},
  pages={929--966},
  year={2006},
  publisher={Wiley Online Library}
}

@article{mendoza1998international,
  title={The international ramifications of tax reforms: supply-side economics in a global economy},
  author={Mendoza, Enrique G and Tesar, Linda L},
  journal={American Economic Review},
  pages={226--245},
  year={1998},
  publisher={JSTOR}
}


@book{intriligator2002mathematical,
  title={Mathematical optimization and economic theory},
  author={Intriligator, Michael D},
  year={2002},
  publisher={SIAM}
}

@article{wallis1980statistical,
  title={The statistical research group, 1942--1945},
  author={Wallis, W Allen},
  journal={Journal of the American Statistical Association},
  volume={75},
  number={370},
  pages={320--330},
  year={1980},
  publisher={Taylor \& Francis}
}

@book{Burns_2023,
  title={Milton Friedman: The Last Conservative},
  author={Burns, Jennifer},
  year={2023},
  publisher={Farrar, Straus, and Giroux},
  address = {New York}
}

@article{Orcutt_Winokur_69,
  issn      = {00129682, 14680262},
  abstract  = {Monte Carlo techniques are used to study the first order autoregressive time series model with unknown level, slope, and error variance. The effect of lagged variables on inference, estimation, and prediction is described, using results from the classical normal linear regression model as a standard. In particular, use of the t and x^2 distributions as approximate sampling distributions is verified for inference concerning the level and residual error variance. Bias in the least squares estimate of the slope is measured, and two bias corrections are evaluated. Least squares chained prediction is studied, and attempts to measure the success of prediction and to improve on the least squares technique are discussed.},
  author    = {Guy H. Orcutt and Herbert S. Winokur},
  journal   = {Econometrica},
  number    = {1},
  pages     = {1--14},
  publisher = {[Wiley, Econometric Society]},
  title     = {First Order Autoregression: Inference, Estimation, and Prediction},
  urldate   = {2022-06-25},
  volume    = {37},
  year      = {1969}
}

@article{hurwicz1950least,
  title   = {Least squares bias in time series},
  author  = {Hurwicz, Leonid},
  journal = {Statistical inference in dynamic economic models},
  volume  = {10},
  pages   = {365--383},
  year    = {1950}
}

@article{wecker1979predicting,
  title     = {Predicting the turning points of a time series},
  author    = {Wecker, William E},
  journal   = {Journal of business},
  pages     = {35--50},
  year      = {1979},
  publisher = {JSTOR}
}

@book{Chadhuri_Mukerjee_88,
  title     = {Randomized Response: Theory and Technique},
  author    = {A Chadhuri and R Mukerjee},
  year      = {1988},
  publisher = {Marcel Dekker},
  address   = {New York}
}

@article{warner1965randomized,
  title     = {Randomized response: A survey technique for eliminating evasive answer bias},
  author    = {Warner, Stanley L},
  journal   = {Journal of the American Statistical Association},
  volume    = {60},
  number    = {309},
  pages     = {63--69},
  year      = {1965},
  publisher = {Taylor \& Francis}
}


@article{ljungqvist1993unified,
  title     = {A unified approach to measures of privacy in randomized response models: A utilitarian perspective},
  author    = {Ljungqvist, Lars},
  journal   = {Journal of the American Statistical Association},
  volume    = {88},
  number    = {421},
  pages     = {97--103},
  year      = {1993},
  publisher = {Taylor \& Francis}
}

@article{lanke1976degree,
  title     = {On the degree of protection in randomized interviews},
  author    = {Lanke, Jan},
  journal   = {International Statistical Review/Revue Internationale de Statistique},
  pages     = {197--203},
  year      = {1976},
  publisher = {JSTOR}
}


@article{leysieffer1976respondent,
  title     = {Respondent jeopardy and optimal designs in randomized response models},
  author    = {Leysieffer, Frederick W and Warner, Stanley L},
  journal   = {Journal of the American Statistical Association},
  volume    = {71},
  number    = {355},
  pages     = {649--656},
  year      = {1976},
  publisher = {Taylor \& Francis}
}


@article{anderson1976estimation,
  title     = {Estimation of a proportion through randomized response},
  author    = {Anderson, Harald},
  journal   = {International Statistical Review/Revue Internationale de Statistique},
  pages     = {213--217},
  year      = {1976},
  publisher = {JSTOR}
}

@article{fligner1977comparison,
  title     = {A comparison of two randomized response survey methods with consideration for the level of respondent protection},
  author    = {Fligner, Michael A and Policello, George E and Singh, Jagbir},
  journal   = {Communications in Statistics-Theory and Methods},
  volume    = {6},
  number    = {15},
  pages     = {1511--1524},
  year      = {1977},
  publisher = {Taylor \& Francis}
}

@article{greenberg1977respondent,
  title     = {Respondent hazards in the unrelated question randomized response model},
  author    = {Greenberg, Bernard G and Kuebler, Roy R and Abernathy, James R and Horvitz, Daniel G},
  journal   = {Journal of Statistical Planning and Inference},
  volume    = {1},
  number    = {1},
  pages     = {53--60},
  year      = {1977},
  publisher = {Elsevier}
}


@article{greenberg1969unrelated,
  title     = {The unrelated question randomized response model: Theoretical framework},
  author    = {Greenberg, Bernard G and Abul-Ela, Abdel-Latif A and Simmons, Walt R and Horvitz, Daniel G},
  journal   = {Journal of the American Statistical Association},
  volume    = {64},
  number    = {326},
  pages     = {520--539},
  year      = {1969},
  publisher = {Taylor \& Francis}
}

@article{lanke1975choice,
  title     = {On the choice of the unrelated question in Simmons' version of randomized response},
  author    = {Lanke, Jan},
  journal   = {Journal of the American Statistical Association},
  volume    = {70},
  number    = {349},
  pages     = {80--83},
  year      = {1975},
  publisher = {Taylor \& Francis}
}



@article{schmid2010,
  title     = {Dynamic mode decomposition of numerical and experimental data},
  author    = {Schmid, Peter J},
  journal   = {Journal of fluid mechanics},
  volume    = {656},
  pages     = {5--28},
  year      = {2010},
  publisher = {Cambridge University Press}
}


@article{apostolakis1990,
  title     = {The concept of probability in safety assessments of technological systems},
  author    = {Apostolakis, George},
  journal   = {Science},
  volume    = {250},
  number    = {4986},
  pages     = {1359--1364},
  year      = {1990},
  publisher = {American Association for the Advancement of Science}
}


@unpublished{Greenfield_Sargent_1993,
  author = {Moses A Greenfield and Thomas J Sargent},
  title  = {A Probabilistic Analysis of a Catastrophic Transuranic Waste Hoise Accident at the WIPP},
  year   = {1993},
  month  = {June},
  note   = {Environmental Evaluation Group, Albuquerque, New Mexico},
  url    = {http://www.tomsargent.com/research/EEG-53.pdf}
}

@article{Ardron_2018,
  title   = {Lognormal approximations of fault tree uncertainty distributions},
  author  = {El-Shanawany, Ashraf Ben and Ardron, Keith H and Walker, Simon P},
  journal = {Risk Analysis},
  volume  = {38},
  number  = {8},
  pages   = {1576--1584},
  year    = {2018}
}



@article{Groves_73,
  author  = {Groves, T.},
  year    = {1973},
  title   = {Incentives in teams},
  journal = {Econometrica},
  volume  = {41},
  pages   = {617-631}
}

@article{Clarke_71,
  author  = {Clarke, E.},
  year    = { 1971},
  title   = {Multipart pricing of public goods},
  journal = {Public Choice},
  volume  = {8},
  pages   = {19-33}
}

@article{Vickrey_61,
  author  = {Vickrey, W.},
  year    = {1961},
  title   = {Counterspeculation, auctions, and competitive sealed tenders},
  journal = {Journal of Finance},
  volume  = {16},
  pages   = {8-37}
}




@article{Phelan_Townsend_91,
  author   = {Christopher Phelan and Robert M. Townsend},
  title    = {{Computing Multi-Period, Information-Constrained Optima}},
  journal  = {Review of Economic Studies},
  year     = 1991,
  volume   = {58},
  number   = {5},
  pages    = {853-881},
  month    = {},
  keywords = {},
  doi      = {},
  abstract = {This paper presents a detailed theoretical derivation and justification for methods used to compute solutions to a multi-period (including infinite-period), continuum-agent, unobservedeffort economy. Actual solutions are displayed illustrating cross-sectional variability in consumption and labour effort in the population at a point in time and variability for a typical individual over time. The optimal tradeoff between insurance and incentives is explored and the issue of excess variability is addressed by consideration of the analogue full-information economy and various restricted-contracting regimes.},
  url      = {https://ideas.repec.org/a/oup/restud/v58y1991i5p853-881..html}
}


@article{Spear_Srivastava_87,
  author   = {Stephen E. Spear and Sanjay Srivastava},
  title    = {{On Repeated Moral Hazard with Discounting}},
  journal  = {Review of Economic Studies},
  year     = 1987,
  volume   = {54},
  number   = {4},
  pages    = {599-617},
  month    = {},
  keywords = {},
  doi      = {},
  abstract = {In this paper, we analyze optimal contracts in an infinitely repeated agency model in which both the principal and agent discount the future. We show that there is a stationary representation of the optimal contract when the agent's conditional discounted expected utility is used as a state variable. This representation reduces the multi-period problem to a static variational problem which can be analyzed using standard variational techniques. This reduction is used to obtain several properties of the contract.},
  url      = {https://ideas.repec.org/a/oup/restud/v54y1987i4p599-617..html}
}


@article{tu_Rowley,
  title   = {On dynamic mode decomposition: Theory and applications},
  author  = {Tu, J. H. and Rowley, C. W. and Luchtenburg, D. M. and Brunton, S. L. and Kutz, J. N.},
  journal = {Journal of Computational Dynamics},
  volume  = {1},
  number  = {2},
  year    = {2014},
  pages   = {391--421}
}


@book{Knight:1921,
  author        = {Knight, Frank H.},
  date-added    = {2020-08-20 10:29:34 -0500},
  date-modified = {2020-08-20 11:10:35 -0500},
  keywords      = {climate,modeling},
  publisher     = {Houghton Mifflin},
  title         = {{Risk, Uncertainty, and Profit}},
  year          = {1921}
}


@article{MaccheroniMarinacciRustichini:2006b,
  author        = {Maccheroni, Fabio and Marinacci, Massimo and Rustichini, Aldo},
  date-added    = {2021-05-19 08:04:27 -0500},
  date-modified = {2021-05-19 08:04:27 -0500},
  journal       = {Econometrica},
  keywords      = {*file-import-17-01-11},
  number        = {6},
  pages         = {1147--1498},
  title         = {{Ambiguity Aversion, Robustness, and the Variational Representation of Preferences}},
  volume        = {74},
  year          = {2006}
}

  @article{GilboaSchmeidler:1989,
  author          = {Gilboa, Itzhak and Schmeidler, David},
  date-added      = {2020-08-10 09:11:02 -0500},
  date-modified   = {2020-08-10 09:11:02 -0500},
  journal         = {Journal of Mathematical Economics},
  keywords        = {climate,modeling},
  mendeley-groups = {nsfbib},
  month           = {apr},
  number          = {2},
  pages           = {141--153},
  title           = {{Maxmin Expected Utility with Non-Unique Prior}},
  volume          = {18},
  year            = {1989}
}


@book{Sutton_2018,
  title={Reinforcement learning: An introduction},
  author={Sutton, Richard S and Barto, Andrew G},
  year={2018},
  publisher={MIT press}
}

@article{AHS_2003,
  author   = {Evan W. Anderson and Lars Peter Hansen and Thomas J. Sargent},
  title    = {{A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection}},
  journal  = {Journal of the European Economic Association},
  year     = 2003,
  volume   = {1},
  number   = {1},
  pages    = {68-123},
  month    = {March},
  keywords = {},
  doi      = {},
  abstract = { A representative agent fears that his model, a continuous time Markov process with jump and diffusion components, is misspecified and therefore uses robust control theory to make decisions. Under the decision maker's approximating model, cautious behavior puts adjustments for model misspecification into market prices for risk factors. We use a statistical theory of detection to quantify how much model misspecification the decision maker should fear, given his historical data record. A semigroup is a collection of objects connected by something like the law of iterated expectations. The law of iterated expectations defines the semigroup for a Markov process, while similar laws define other semigroups. Related semigroups describe (1) an approximating model; (2) a model misspecification adjustment to the continuation value in the decision maker's Bellman equation; (3) asset prices; and (4) the behavior of the model detection statistics that we use to calibrate how much robustness the decision maker prefers. Semigroups 2, 3, and 4 establish a tight link between the market price of uncertainty and a bound on the error in statistically discriminating between an approximating and a worst case model. (JEL: C00, D51, D81, E1, G12) Copyright (c) 2003 The European Economic Association.},
  url      = {https://ideas.repec.org/a/tpr/jeurec/v1y2003i1p68-123.html}
}


@article{BHS_2009,
  author   = {Barillas, Francisco and Hansen, Lars Peter and Sargent, Thomas J.},
  title    = {{Doubts or variability?}},
  journal  = {Journal of Economic Theory},
  year     = 2009,
  volume   = {144},
  number   = {6},
  pages    = {2388-2418},
  month    = {November},
  keywords = { Risk aversion Model misspecification Robustness Market price of risk Equity premium puzzle Risk-fre},
  doi      = {},
  abstract = {Reinterpreting most of the market price of risk as a price of model uncertainty eradicates a link between asset prices and measures of the welfare costs of aggregate fluctuations that was proposed by Hansen, Sargent, and Tallarini [17], Tallarini [30], Alvarez and Jermann [1]. Prices of model uncertainty contain information about the benefits of removing model uncertainty, not the consumption fluctuations that Lucas [22] and [23] studied. A max-min expected utility theory lets us reinterpret Tallarini's risk-aversion parameter as measuring a representative consumer's doubts about the model specification. We use model detection instead of risk-aversion experiments to calibrate that parameter. Plausible values of detection error probabilities give prices of model uncertainty that approach the Hansen and Jagannathan [11] bounds. Fixed detection error probabilities give rise to virtually identical asset prices as well as virtually identical costs of model uncertainty for Tallarini's two models of consumption growth.},
  url      = {https://ideas.repec.org/a/eee/jetheo/v144y2009i6p2388-2418.html}
}



@article{HST_1999,
  author   = {Lars Peter Hansen and Thomas J. Sargent and Thomas D. Tallarini},
  title    = {{Robust Permanent Income and Pricing}},
  journal  = {Review of Economic Studies},
  year     = 1999,
  volume   = {66},
  number   = {4},
  pages    = {873-907},
  month    = {},
  keywords = {},
  doi      = {},
  abstract = {\" I suppose there exists an extremely powerful, and, if I may so speak, malignant being, whose whole endeavours are directed toward deceiving me.\" Rene Descartes, Meditations, II.1},
  url      = {https://ideas.repec.org/a/oup/restud/v66y1999i4p873-907..html}
}


@article{Jacobson_73,
  author  = {D. H. Jacobson},
  year    = {1973},
  title   = {Optimal Stochastic Linear Systems with Exponential Performance Criteria and their Relation to Differential Games},
  journal = {IEEE Transactions on Automatic Control},
  volume  = {18},
  number  = {2},
  pages   = {124-131}
}




 @book{Bucklew_2004,
  title     = {An Introduction  to Rare Event Simulation},
  author    = {James A. Bucklew},
  address   = {New York},
  publisher = {Springer Verlag},
  year      = {2004}
}



 @book{Whittle_1990,
  author    = {Peter Whittle},
  title     = {Risk-Sensitive Optimal Control},
  year      = {1990},
  publisher = {Wiley},
  address   = {New York}
}


 @article{Whittle_1981,
  author  = {Peter Whittle},
  year    = {1981},
  title   = {Risk-Sensitive Linear/Quadratic/Gaussian Control},
  journal = {Advances in Applied Probability},
  volume  = {13},
  number  = {4},
  pages   = {764-777}
}

@book{DoSSo,
  title     = {Linear Programming and Economic Analysis: Revised Edition},
  author    = {Robert Dorfman and Paul A. Samuelson and Robert M. Solow},
  publisher = {McGraw Hill},
  address   = {New York},
  year      = {1958}
}

@book{Galichon_2016,
  author    = {Alfred Galichon},
  year      = {2016},
  title     = {Optimal Transport Methods in Economics},
  publisher = {Princeton University Press},
  address   = {Princeton, New Jersey}
}

@book{DMD_book,
  title     = {Dynamic mode decomposition: data-driven modeling of complex systems},
  author    = {J. N.  Kutz and  S. L. Brunton and  B. W, Brunton and  J. L. Proctor},
  year      = {2016},
  publisher = {SIAM}
}

@book{DDSE_book,
  title     = {Data-Driven Science and Engineering, Second Edition},
  author    = {Steven L. Brunton and J. Nathan Kutz},
  publisher = {Cambridge University Press},
  year      = {2022},
  address   = {New York}
}


@book{bertsimas_tsitsiklis1997,
  author    = {Bertsimas, D. & Tsitsiklis, J. N.},
  title     = {{Introduction to linear optimization}},
  publisher = {Athena Scientific},
  year      = {1997}
}

@book{hu_guo2018,
  author    = {Hu, Y. & Guo, Y.},
  title     = {{Operations research}},
  publisher = {Tsinghua University Press},
  edition   = {5th},
  year      = {2018}
}


@article{definetti,
  author        = {Bruno de Finetti},
  date-added    = {2014-12-26 17:45:57 +0000},
  date-modified = {2014-12-26 17:45:57 +0000},
  journal       = {Annales de l'Institute Henri Poincare'},
  note          = {English translation in Kyburg and Smokler (eds.), {\it Studies in Subjective Probability}, Wiley, New York, 1964},
  pages         = {1 - 68},
  title         = {La Prevision: Ses Lois Logiques, Ses Sources Subjectives},
  volume        = {7},
  year          = {1937}
}

 @book{Holt_Modigliani_Muth_Simon,
  title     = {Planning Production, Inventories, and Work Force},
  author    = {Charles Holt and Franco  Modigliani and John F. Muth and Herbert Simon},
  publisher = {Prentice-Hall International Series in Management},
  address   = {New Jersey},
  year      = {1960}
}

  @article{Leeper_Walker_Yang,
  author  = {Eric M. Leeper and Todd B. Walker and Shu-Chun Susan Yang},
  title   = {Fiscal Foresight and Information Flows},
  journal = {Econometrica},
  year    = 2013,
  volume  = {81},
  number  = {3},
  pages   = {1115-1145},
  month   = {May}
}

@article{stachurski2008continuous,
  title     = {Continuous state dynamic programming via nonexpansive approximation},
  author    = {Stachurski, John},
  journal   = {Computational Economics},
  volume    = {31},
  number    = {2},
  pages     = {141--160},
  year      = {2008},
  publisher = {Springer}
}

@incollection{gordon1995stable,
  title     = {Stable function approximation in dynamic programming},
  author    = {Gordon, Geoffrey J},
  booktitle = {Machine Learning Proceedings 1995},
  pages     = {261--268},
  year      = {1995},
  publisher = {Elsevier}
}

@article{caplin1985variability,
  title     = {The variability of aggregate demand with (S, s) inventory
               policies},
  author    = {Caplin, Andrew S},
  journal   = {Econometrica},
  pages     = {1395--1409},
  year      = {1985},
  publisher = {JSTOR}
}

@techreport{kondo2018us,
  title       = {On the US Firm and Establishment Size Distributions},
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  number  = {2},
  pages   = {151--166},
  title   = {{Some results on an income fluctuation problem}},
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}

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  author    = {Schelling, Thomas C},
  journal   = {American Economic Review},
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  title     = {{Models of Segregation}},
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@article{bansal2004risks,
  title     = {Risks for the long run: A potential resolution of asset pricing puzzles},
  author    = {Bansal, Ravi and Yaron, Amir},
  journal   = {The journal of Finance},
  volume    = {59},
  number    = {4},
  pages     = {1481--1509},
  year      = {2004},
  publisher = {Wiley Online Library}
}

@article{Bansal_Yaron_2004,
  author   = {Ravi Bansal and Amir Yaron},
  title    = {{Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles}},
  journal  = {Journal of Finance},
  year     = 2004,
  volume   = {59},
  number   = {4},
  pages    = {1481-1509},
  month    = {08},
  keywords = {},
  doi      = {},
  abstract = { We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price-dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying. Copyright 2004 by The American Finance Association.},
  url      = {https://ideas.repec.org/a/bla/jfinan/v59y2004i4p1481-1509.html}
}

@article{hansen2008consumption,
  title     = {Consumption strikes back? Measuring long-run risk},
  author    = {Hansen, Lars Peter and Heaton, John C and Li, Nan},
  journal   = {Journal of Political economy},
  volume    = {116},
  number    = {2},
  pages     = {260--302},
  year      = {2008},
  publisher = {The University of Chicago Press}
}

@article{HHL_2008,
  author   = {Lars Peter Hansen and John C. Heaton and Nan Li},
  title    = {{Consumption Strikes Back? Measuring Long-Run Risk}},
  journal  = {Journal of Political Economy},
  year     = 2008,
  volume   = {116},
  number   = {2},
  pages    = {260-302},
  month    = {04},
  keywords = {},
  doi      = {},
  abstract = { We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this analysis to claims on aggregate cash flows and to cash flows from value and growth portfolios by imputing values to the long-run dynamic responses of cash flows to macroeconomic shocks. We explore the sensitivity of our results to features of the economic valuation model and of the model cash flow dynamics. (c) 2008 by The University of Chicago. All rights reserved.},
  url      = {https://ideas.repec.org/a/ucp/jpolec/v116y2008i2p260-302.html}
}

@article{hansen2007beliefs,
  title   = {Beliefs, doubts and learning: Valuing macroeconomic risk},
  author  = {Hansen, Lars Peter},
  journal = {American Economic Review},
  volume  = {97},
  number  = {2},
  pages   = {1--30},
  year    = {2007}
}

@article{Hansen_2007,
  author   = {Lars Peter Hansen},
  title    = {{Beliefs, Doubts and Learning: Valuing Macroeconomic Risk}},
  journal  = {American Economic Review},
  year     = 2007,
  volume   = {97},
  number   = {2},
  pages    = {1-30},
  month    = {May},
  keywords = {},
  doi      = {},
  abstract = {No abstract is available for this item.},
  url      = {https://ideas.repec.org/a/aea/aecrev/v97y2007i2p1-30.html}
}

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@incollection{Uhlig2001,
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  year      = {2001}
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@article{atkeson2010sophisticated,
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@article{miller1985dynamic,
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@techreport{backus1986consistency,
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@article{ericson1995markov,
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@article{ryan2012costs,
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@article{doraszelski2010computable,
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  number    = {2},
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  year      = {2010},
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  year      = {1980},
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@article{BEGS1,
  author  = {Anmol Bhandari and David Evans and Mikhail Golosov and Thomas J. Sargent},
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@article{van2011dynamic,
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@techreport{bhandari2013taxes,
  title       = {Taxes, debts, and redistributions with aggregate shocks},
  author      = {Bhandari, Anmol and Evans, David and Golosov, Mikhail and
                 Sargent, Thomas J},
  year        = {2013},
  institution = {National Bureau of Economic Research}
}

@article{kikuchi2018span,
  title     = {Span of control, transaction costs, and the structure of production chains},
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  number    = {2},
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@article{coase1937nature,
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@article{do1999solutions,
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@article{svensson2008optimal,
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@incollection{SvenssonWilliams2009,
  author    = {Lars E.O. Svensson and Noah Williams},
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  title     = {Optimal Monetary Policy under Uncertainty in DSGE Models: A Markov Jump-Linear-Quadratic Approach},
  booktitle = {Monetary Policy under Uncertainty and Learning},
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  year      = 2009,
  month     = {March},
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  series    = {Central Banking, Analysis, and Economic Policies Book Series},
  chapter   = {3},
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