Overview
Thomas J. Sargent is an economist at New York University (and Hoover Institution) and 2011 Nobel laureate (shared with Christopher Sims) for empirical research on cause and effect in macroeconomics. A pioneer of rational expectations econometrics and the state-space/recursive linear models approach to dynamic economies.
Key Contributions / Features
- Sargent (1987) — Macroeconomic Theory: foundational text on dynamic macroeconomic theory.
- Hansen and Sargent (1981) — "Formulating and Estimating Dynamic Linear Rational Expectations Models": established the state-space approach to DSGE estimation; recommended full-information ML over VAR-based methods.
- Hansen and Sargent (1991) — Rational Expectations Econometrics: includes early treatment of the invertibility problem ("Two Difficulties in Interpreting Vector Autoregressions").
- Hansen and Sargent (2005) — Recursive Linear Models of Dynamic Economies: definitive treatment of the (A,B,C,D) framework, Kalman filtering, and the relationship between state-space models and VARs.
- Cogley, Morozov, and Sargent (2003) — "Bayesian Fan Charts for U.K. Inflation": TVP-VAR with multivariate stochastic volatility Rt=B−1HtB′−1; five-block Metropolis-within-Gibbs; three-source forecast uncertainty decomposition (shocks / parameter uncertainty / parameter drift); relative entropy reweighting to impose MPC moment constraints.
- Fernández-Villaverde, Rubio-Ramírez, and Sargent (2005) — "A, B, C's (and D)'s for Understanding VARs": eigenvalue invertibility check; four DSGE examples.
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