Two monographs

Robustness

(with Lars Hansen ) (July, 2007)

This is a draft of a forthcoming Princeton University Press monograph on robust filtering and control. It adapts H_2, H_\infty, and entropy methods to handle discounted problems. Both single agent and multiple agent settings are studied. There are new chapters about recursive equilibria in this version. Many chapters have been revised, including the chapters 13 and 14 on robust filtering.

Recursive Models of Dynamic Linear Economies 

(with Lars Hansen ) (June, 2004)

This is a monograph on linear quadratic stochastic dynamic equilibrium models, how to represent their equilibria and how to extract their econometric implications.

Published books

Recursive Macroeconomic Theory, 2nd edition 

(with Lars Ljungqvist), to be published by MIT press, September 2004.

Articles referenced in various chapters of RMT http://ideas.repec.org/k/recurse.html

The Big Problem of Small Change

(with Francois Velde)  (Princeton University Press)

The Conquest of American Inflation

(Princeton University Press)

Out of print book

Rational Expectations Econometrics, with Lars Peter Hansen, 1991,

TOMCvrIntro.pdf TomINTRO.pdf TOMchpt.2.pdf TOMchpt.3.pdf TOMchpt.4.pdf TOMchpt.5.pdf TOMchpt.6.pdf TOMchpt.7.pdf TOMchpt.8.pdf TOMchpt.9.pdf TOMchpt.10.pdf TOMref.pdf

Computer Programs

	Hansen-Sargent Matlab programs
	Object oriented Matlab programs to accompany Hansen-Sargent's Recursive Models of Dynamic Linear Economies
	Various Matlab programs for Ljungqvist-Sargent Recursive Macroeconomic Theory