Lars Peter Hansen
Lars Peter Hansen ( born October 26, 1952 in Urbana, Illinois) is an American economist. It was in 2013 - awarded the Alfred Nobel Memorial Prize in Economic Sciences - together with Robert J. Shiller and Eugene Fama.
Life and work
Lars Peter Hansen acquired in 1974 Bachelor in Mathematics and Political Science from Utah State University, and in 1978 the Ph.D. in Economics at Christopher Sims at the University of Minnesota. He then became Assistant Professor ( 1978-80 ) and Associate Professor ( 1980-81 ) at Carnegie Mellon University. In 1981 he moved to the University of Chicago, where he was an associate professor until 1984, from 1984 to 1990 and professor from 1990 to 1997 Homer J. Livingston Professor. Since 1997 he has been there Homer J. Livingston Distinguished Service Professor. He was also from 1998 to 2002 Chairman of the Department of Economic Affairs. Visiting Professor stays led him in 1983 to the Massachusetts Institute of Technology, 1986, Harvard University, 1989/90 to Stanford University and in 2007 at Northwestern University.
Hansen works on the generalized method of moments and related applications in macroeconomics and finance. For example, he used the forward rate as a predictor for the cash interest rate. The he developed methods are applied in dynamic econometric models. He is also studying robustness and risk.
2013 received Hansen, Eugene Fama and Robert J. Shiller the Alfred Nobel Memorial Prize in Economic Sciences "for their empirical analysis of capital market prices."
Works
- Econometric modeling strategies for exhaustible resource markets with applications to nonferrous metals. Dissertation, University of Minnesota, 1978
- Mathias Dewatripont and Stephen J. Turnovsky as editor: Advances in Economics and Econometrics. Theory and Applications. Eighth World Congress. 3 volumes, Cambridge University Press, Cambridge [ua ] 2003, ISBN 0-521-81872-1 (formally wrong ISBN )
- With Thomas J. Sargent: Rational Expectations Econometrics. Underground Classics in Economics. Westview Press, Boulder, 1991, ISBN 0-8133-7800-1
- With Thomas J. Sargent: Robustness. Princeton University Press, Princeton, 2008, ISBN 978-0-691-11442-2
- Robert James Hodrick: Forward Exchange Rates as Optimal Predictors of Future Spot Rates. An Econometric Analysis. In: Journal of Political Economy. Volume 88, No. 5, 1980, p 829-853
- With Thomas J. Sargent: Linear Rational Expectations Models for Dynamically Interrelated Variables. In: Robert E. Lucas, Jr. and Thomas J. Sargent (eds.) Rational Expectation and Economic Practice. University of Minnesota Press, Minneapolis 1981
- Large Sample Properties of Generalized Method of Moments Estimators. In: Econometrica. Volume 50, No. 4, 1982, p 1029-1054
- With Kenneth J. Singleton: Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. In: Econometrica. Volume 50, No. 5, 1982, S 1269-1286
- With Thomas J. Sargent: Instrumental variables procedures for estimating linear rational expectations models. In: Journal of Monetary Economics. Volume 9, No. 3, 1982, p 263-296
- Martin S. Eichenbaum and Kenneth J. Singleton: A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty. In: The Quarterly Journal of Economics. Tape 103, No. 1, 1988, pp. 51-78
- With Thomas J. Sargent: Seasonality and approximation errors in rational expectations models. In: Journal of Econometrics. Volume 55, No. 1/2, 1993, pp. 21-55
- With James J. Heckman: The Empirical Foundations of Calibration. In: Journal of Economic Perspectives. Volume 10, No. 1, 1996, pp. 87-104
- With Ravi Jagannathan: Assessing Specification Errors in Stochastic Discount Factor Models. In: The Journal of Finance. Volume 52, No. 2, 1997, pp. 557-590
- Timothy G. Conley and Wen -Fang Liu: Bootstrapping the Long Run. In: Macroeconomic Dynamics. Volume 1, 1997, pp. 279-311