Sargent programme

Current facets (Pre-Master)

Programme
Date VenueTime Event
May 30

Room G3-46

09.30hrs

 

10.00-12.00hrs

 

 14.00-16.00hrs

Registration/coffee

Herman K. van Dijk (Erasmus University Rotterdam)
An Introduction to Dynamic Stochastic General Equilibrium Models

Welcome by Philip Hans Franses (Erasmus University Rotterdam
Editor of the Econometric Institute/Princeton University Press Lecture Series)

Thomas Sargent (New York University and Stanford University)
The econometric structure of dynamic economic models. Specification analysis and entropy.  Introduction to robustness in dynamic programming and filtering. (Slides )

May 31

Room G3-46

10.00-12.00hrs

 

14.00-16.00hrs

Herman K. van Dijk
Recursive Models, Kalman Filter, Time Varying Structures for Trends and Business Cycles. (Slides )

Thomas Sargent
Robustness, risk aversion, and the equity premium: an extensive application of how robustness works. (Slides )

June 1

Room G3-46

14.00-16.00hrs

Thomas Sargent
Robust learning and its impact on equilibrium prices of securities.  Robust learning as a model of "pessimism". (Slides ).