Selected Bibliography for Lars Peter Hansen
David Rockefeller Distinguished Service Professor in Economics, Statistics and the College
Home page of Lars Peter Hansen
Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, 2013
Published Works
Uncertainty within Economic Models; Lars Peter Hansen and Thomas J. Sargent; Singapore: World Scientific, 2015
Recursive Models of Dynamic Linear Economies; Lars Hansen and Thomas J. Sargent; The Gorman Lectures in Economics; Princeton: Princeton University Press, 2014
"Nobel Lecture: Uncertainty Outside and inside Economic Models." Lars Peter Hansen; Journal of Political Economy, 2014, 122(5), pp. 945-87.
http://www.jstor.org/stable/10.1086/678456
"Examining Macroeconomic Models through the Lens of Asset Pricing." Jaroslav Borovicka and Lars Peter Hansen; Journal of Econometrics, 2014, 183(1), pp. 67-90.
http://dx.doi.org/10.1016/j.jeconom.2014.06.010
"Underidentification?" Manuel Arellano, Lars Peter Hansen and Enrique Sentana; Journal of Econometrics, 2012, 170(2), pp. 256-80.
http://dx.doi.org/10.1016/j.jeconom.2012.05.005
"Three Types of Ambiguity." Lars Peter Hansen and Thomas J. Sargent; Journal of Monetary Economics, 2012, 59(5), pp. 422-45.
http://dx.doi.org/10.1016/j.jmoneco.2012.06.003
"Small Noise Methods for Risk-Sensitive/Robust Economies." Evan W. Anderson, Lars Peter Hansen and Thomas J. Sargent; Journal of Economic Dynamics and Control, 2012, 36(4), pp. 468-500.
http://dx.doi.org/10.1016/j.jedc.2011.11.007
"Proofs for Large Sample Properties of Generalized Method of Moments Estimators." Lars Peter Hansen; Journal of Econometrics, 2012, 170(2), pp. 325-30.
http://dx.doi.org/10.1016/j.jeconom.2012.05.008
"Pricing Growth-Rate Risk." Lars Peter Hansen and Jose A. Scheinkman; Finance and Stochastics, 2012, 16(1), pp. 1-15.
http://dx.doi.org/10.1007/s00780-010-0141-9
"Dynamic Valuation Decomposition within Stochastic Economies." Lars Peter Hansen; Econometrica, 2012, 80(3), pp. 911-67.
http://dx.doi.org/10.3982/ECTA8070
"Robustness and Ambiguity in Continuous Time." Lars Peter Hansen and Thomas J. Sargent; Journal of Economic Theory, 2011, 146(3), pp. 1195-223.
http://dx.doi.org/10.1016/j.jet.2011.01.004
"Risk-Price Dynamics." Jaroslav Borovicka, Lars Peter Hansen, Mark Hendricks and Jose A. Scheinkman; Journal of Financial Econometrics, 2011, 9(1), pp. 3-65.
http://dx.doi.org/10.1093/jjfinec/nbq030
"Robust Hidden Markov LQG Problems." Lars Peter Hansen, Ricardo Mayer and Thomas Sargent; Journal of Economic Dynamics and Control, 2010, 34(10), pp. 1951-66.
http://dx.doi.org/10.1016/j.jedc.2010.05.004
"Nonlinearity and Temporal Dependence." Xiaohong Chen, Lars Peter Hansen and Marine Carrasco; Journal of Econometrics, 2010, 155(2), pp. 155-69.
http://dx.doi.org/10.1016/j.jeconom.2009.10.001
Handbook of Financial Econometrics: Tools and Techniques; Yacine Aït-Sahalia and Hansen. Lars Peter; San Diego: North-Holland, 2010
"Operator Methods for Continuous-Time Markov Processes," Yacine Aït-Sahalia, Lars Peter Hansen and José A. Scheinkman, in Y. Aït-Sahalia and L. P. Hansen: Handbook of Financial Econometrics. San Diego: North-Holland, 2010, pp. 1-66
"Pricing Kernels," Lars Peter Hansen and Eric Renault, in R. Cont: Encyclopedia of Quantitative Finance. New York: John Wiley & Sons, Ltd, 2010, pp. http://dx.doi.org/10.1002/9780470061602.eqf19009
"Pricing Growth-Rate Risk." Lars Peter Hansen and José A. Scheinkman; Finance and Stochastics, 2010.
http://dx.doi.org/10.1007/s00780-010-0141-9
"Fragile Beliefs and the Price of Uncertainty." Lars Peter Hansen and Thomas J. Sargent; Quantitative Economics, 2010, 1(1), pp. 129-62.
http://www.qeconomics.org/ojs/index.php/qe/article/viewArticle/6
"Nonlinear Principal Components and Long-Run Implications of Multivariate Diffusions." Xiaohong Chen, Lars Peter Hansen and José Scheinkman; The Annals of Statistics, 2009, 37(6B), pp. 4279-312.
http://dx.doi.org/10.1214/09-AOS706
"Long-Term Risk: An Operator Approach." Lars Peter Hansen and José A. Scheinkman; Econometrica, 2009, 77(1), pp. 177-234.
http://dx.doi.org/10.3982/ECTA6761
"Doubts or Variability?" Francisco Barillas, Lars Peter Hansen and Thomas J. Sargent; Journal of Economic Theory, 2009, 144(6), pp. 2388-418.
http://dx.doi.org/10.1016/j.jet.2008.11.014
"Discussion: Financial Markets and the Real Economy," Lars Peter Hansen, in M. Rajnish: Handbook of the Equity Risk Premium. San Diego: Elsevier, 2008, pp. 326-29
"Robustness and U.S. Monetary Policy Experimentation." Timothy Cogley, Riccardo Colacito, Lars Peter Hansen and Thomas J. Sargent; Journal of Money, Credit and Banking, 2008, 40(8), pp. 1599-623.
http://dx.doi.org/10.1111/j.1538-4616.2008.00176.x
Robustness; Lars Peter Hansen and Thomas J. Sargent; Princeton: Princeton University Press, 2008
"Consumption Strikes Back? Measuring Long-Run Risk." Lars Peter Hansen, John C. Heaton and Nan Li; Journal of Political Economy, 2008, 116(2), pp. 260-302.
http://www.journals.uchicago.edu/doi/abs/10.1086/588200
"Intertemporal Substitution and Risk Aversion," Lars Peter Hansen, John Heaton, Junghoon Lee and Nikolai Roussanov, in J. J. Heckman and E. Leamer, E.: Handbook of Econometrics. Elsevier, 2007, pp. 3967-4056
http://dx.doi.org/10.1016/S1573-4412(07)06061-8
"Recursive Robust Estimation and Control without Commitment." Lars Peter Hansen and Thomas J. Sargent; Journal of Economic Theory, 2007, 136(1), pp. 1-27.
http://dx.doi.org/10.1016/j.jet.2006.06.010
"Beliefs, Doubts and Learning: Valuing Macroeconomic Risk." Lars Peter Hansen; American Economic Review, 2007, 97(2), pp. 1-30.
http://search.ebscohost.com/login.aspx?direct=true&db=eoh&AN=0900939
"Robust Control and Model Misspecification." Lars Peter Hansen, Thomas J. Sargent, Gauhar Turmuhambetova and Noah Williams; Journal of Economic Theory, 2006, 128(1), pp. 45-90.
http://dx.doi.org/10.1016/j.jet.2004.12.006
"Introduction to Model Uncertainty and Robustness." Lars Peter Hansen, Pascal Maenhout, Aldo Rustichini, Thomas J. Sargent and Marciano M. Siniscalchi; Journal of Economic Theory, 2006, 128(1), pp. 1-3.
http://dx.doi.org/10.1016/j.jet.2006.03.009
"Intangible Risk," Lars Peter Hansen, John C. Heaton and Nan Li, in C. Corrado, J. Haltiwanger and D. Sichel: Measuring Capital in the New Economy. Chicago: University of Chicago Press, 2005, pp. 111-52
http://www.nber.org/chapters/c10620
"Robust Estimation and Control under Commitment." Lars Peter Hansen and Thomas J. Sargent; Journal of Economic Theory, 2005, 124(2), pp. 258-301.
http://dx.doi.org/10.1016/j.jet.2005.06.006
"Comment on 'Exotic Preferences for Macroeconomists'." Lars Peter Hansen; NBER Macroeconomics Annual, 2004, 19, pp. 391.
http://www.jstor.org/stable/3585344
"An Interview with Christopher A Sims." Lars Peter Hansen; Macroeconomic Dynamics, 2004, 8(2), pp. 273-94.
http://dx.doi.org/10.1017/S1365100504030184
Advances in Economics and Econometrics : Theory and Applications : Eighth World Congress. Vol. 2; Mathias Dewatripont, Lars Peter Hansen and Stephen J. Turnovsky; Cambridge: Cambridge University Press, 2003
"A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection." Evan W. Anderson, Lars Peter Hansen and Thomas J. Sargent; Journal of the European Economic Association, 2003, 1(1), pp. 68-123.
http://search.epnet.com/login.aspx?direct=true&db=bth&an=12231154
"Robust Control of Forward-Looking Models." Lars Peter Hansen and Thomas J. Sargent; Journal of Monetary Economics, 2003, 50(3), pp. 581-604.
http://dx.doi.org/10.1016/S0304-3932(03)00026-6
"Robustness and Pricing with Uncertain Growth." Marco Cagetti, Lars Peter Hansen, Thomas Sargent and Noah Williams; Review of Financial Studies, 2002, 15(2), pp. 363.
http://dx.doi.org/10.1093/rfs/15.2.353
"Robust Permanent Income and Pricing with Filtering." Lars Peter Hansen, Thomas J. Sargent and Neng E. Wang; Macroeconomic Dynamics, 2002, 6(1), pp. 40-84.
http://dx.doi.org/10.1017/S1365100502027049
"Acknowledging Misspecification in Macroeconomic Theory." Lars Peter Hansen and Thomas J. Sargent; Review of Economic Dynamics, 2001, 4(3), pp. 519-35.
http://dx.doi.org/10.1006/redy.2001.0132
"Robust Control and Model Uncertainty." Lars Peter Hansen and Thomas J. Sargent; American Economic Review, 2001, 91(2), pp. 60-66.
http://links.jstor.org/sici?sici=0002-8282%28200105%2991%3A2%3C60%3ARCAMU%3E2.0.CO%3B2-B
"An Appreciation of A W Phillips," Lars Peter Hansen and Thomas J. Sargent, in R. Leeson: A. W. H. Phillips: Collected Works in Contemporary Perspective. Cambridge; New York and Melbourne: Cambridge University Press, 2000, pp. 365-69
"Robust Permanent Income and Pricing." Lars Peter Hansen, Thomas J. Sargent and Thomas D. Tallarini, Jr.; Review of Economic Studies, 1999, 66(4), pp. 873-907.
http://links.jstor.org/sici?sici=0034-6527%28199910%2966%3A4%3C873%3ARPIAP%3E2.0.CO%3B2-3
"Micro Data and General Equilibrium Models," Martin Browning, Lars Peter Hansen and James J. Heckman, in J. B. Taylor and M. Woodford: Handbook of Macroeconomics. Handbooks in Economics, vol. 15. Amsterdam; New York and Oxford: Elsevier Science North-Holland, 1999, pp. 543-633
http://dx.doi.org/10.1016/S1574-0048(99)01011-3
"Spectral Methods for Identifying Scalar Diffusions." Lars Peter Hansen, Jose Alexandre Scheinkman and Nizar Touzi; Journal of Econometrics, 1998, 86(1), pp. 1-32.
http://dx.doi.org/10.1016/S0304-4076(97)00107-3
"Review of 'New Approaches to Macroeconomic Modeling: Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects'." Lars Peter Hansen; Journal of Economic Literature, 1998, 36(1), pp. 239-41.
"Assessing Specification Errors in Stochastic Discount Factor Models." Lars Peter Hansen and Ravi Jagannathan; Journal of Finance, 1997, 52(2), pp. 557-90.
http://links.jstor.org/sici?sici=0022-1082%28199706%2952%3A2%3C557%3AASEISD%3E2.0.CO%3B2-B
"Bootstrapping the Long Run." Timothy G. Conley, Lars Peter Hansen and Wen-Fang Liu; Macroeconomic Dynamics, 1997, 1(2), pp. 279-311.
http://search.epnet.com/login.aspx?direct=true&db=ecn&an=0442187
"Short-Term Interest Rates as Subordinated Diffusions." Timothy G. Conley, Lars Peter Hansen, Erzo G. J. Luttmer and Jose A. Scheinkman; Review of Financial Studies, 1997, 10(3), pp. 525-77.
http://links.jstor.org/sici?sici=0893-9454%28199723%2910%3A3%3C525%3ASIRASD%3E2.0.CO%3B2-A
"The Empirical Foundations of Calibration." Lars Peter Hansen and James J. Heckman; Journal of Economic Perspectives, 1996, 10(1), pp. 87-104.
http://links.jstor.org/sici?sici=0895-3309%28199624%2910%3A1%3C87%3ATEFOC%3E2.0.CO%3B2-K
"Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors." Lars Peter Hansen and Kenneth J. Singleton; Journal of Business and Economic Statistics, 1996, 14(1), pp. 53-68.
http://links.jstor.org/sici?sici=0735-0015%28199601%2914%3A1%3C53%3AEEOLAM%3E2.0.CO%3B2-O
"Finite-Sample Properties of Some Alternative GMM Estimators." Lars Peter Hansen, John Heaton and Amir Yaron; Journal of Business and Economic Statistics, 1996, 14(3), pp. 262-80.
http://links.jstor.org/sici?sici=0735-0015%28199607%2914%3A3%3C262%3AFPOSAG%3E2.0.CO%3B2-P
"Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes." Lars Peter Hansen and Jose Alexandre Scheinkman; Econometrica: Journal of the Econometric Society, 1995, 63(4), pp. 767-804.
http://links.jstor.org/sici?sici=0012-9682%28199507%2963%3A4%3C767%3ABTTFGM%3E2.0.CO%3B2-N
"Econometric Evaluation of Asset Pricing Models." Lars Peter Hansen, John Heaton and Erzo G. J. Luttmer; Review of Financial Studies, 1995, 8(2), pp. 237-74.
http://links.jstor.org/sici?sici=0893-9454%28199522%298%3A2%3C237%3AEEOAPM%3E2.0.CO%3B2-7
"Assessing Specification Errors in Stochastic Discount Factor Models." Lars Peter Hansen and Ravi Jagannathan; NBER Reporter, 1994, (Spring), pp. 63.
http://search.epnet.com/login.aspx?direct=true&db=bth&an=9501263139
"Seasonality and Approximation Errors in Rational Expectations Models." Lars Peter Hansen and Thomas J. Sargent; Journal of Econometrics, 1993, 55(1-2), pp. 21-55.
http://dx.doi.org/10.1016/0304-4076(93)90003-N
"Semiparametric Efficiency Bounds for Linear Time-Series Models," Lars Peter Hansen, in P. C. B. Phillips: Models, Methods, and Applications of Econometrics: Essays in Honor of A. R. Bergstrom. Cambridge, Mass. and Oxford: Blackwell, 1993, pp. 253-71
"Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Lars Peter Hansen and Robert J. Hodrick, in R. MacDonald and M. P. Taylor: Exchange Rate Economics.Aldershot, U.K.: Elgar, 1992, pp. 47-71
"Asset Pricing Explorations for Macroeconomics." John H. Cochrane and Lars Peter Hansen; NBER Macroeconomics Annual, 1992, pp. 115-65.
http://www.jstor.org/stable/3585001
"Implications of Security Market Data for Models of Dynamic Economies." Lars Peter Hansen and Ravi Jagannathan; Journal of Political Economy, 1991, 99(2), pp. 225-62.
http://links.jstor.org/sici?sici=0022-3808%28199104%2999%3A2%3C225%3AIOSMDF%3E2.0.CO%3B2-L
"Identification of Continuous Time Rational Expectations Models from Discrete Time Data," Lars Peter Hansen and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics.Boulder and Oxford: Westview Press, 1991, pp. 219-35
"Prediction Formulas for Continuous Time Linear Rational Expectations Models," Lars Peter Hansen and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 209-18
"Lecture Notes on Least Squares Prediction Theory," Lars Peter Hansen and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 13-44
"Computing Semiparametric Efficiency Bounds for Linear Time Series Models," Lars Peter Hansen and Kenneth J. Singleton, in W. A. Barnett, J. Powell and G. E. Tauchen: Nonparametric and Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium in Economic Theory and Econometrics. New York and Melbourne: Cambridge University Press, 1991, pp. 387-412
"Time Series Implications of Present Value Budget Balance and of Martingale Models of Consumption and Taxes," Lars Peter Hansen, William T. Roberds and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 121-61
"Two Difficulties in Interpreting Vector Autoregressions," Lars Peter Hansen and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 77-119
"Exact Linear Rational Expectations Models: Specification and Estimation," Lars Peter Hansen and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 45-76
Rational Expectations Econometrics; Lars Peter Hansen and Thomas J. Sargent; Underground Classics in Economics;; Boulder: Westview Press, 1991
"Faster Methods for Solving Continuous Time Recursive Linear Models of Dynamic Economies," Lars Peter Hansen, John C. Heaton and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 177-208
"Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution." A. Ronald Gallant, Lars Peter Hansen and George Tauchen; Journal of Econometrics, 1990, 45(1-2), pp. 141-79.
http://dx.doi.org/10.1016/0304-4076(90)90097-D
"Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data." Martin Eichenbaum and Lars Peter Hansen; Journal of Business and Economic Statistics, 1990, 8(1), pp. 53-69.
http://links.jstor.org/sici?sici=0735-0015%28199001%298%3A1%3C53%3AEMWISU%3E2.0.CO%3B2-G
"The Econometric Society Annual Reports, 1987." Angus S. Deaton, Roger Guesnerie, Lars Peter Hansen and David Kreps; Econometrica, 1988, 56(1), pp. 205.
http://links.jstor.org/sici?sici=0012-9682%28198801%2956%3A1%3C205%3AROTE%3E2.0.CO%3B2-Y
"A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty." Martin S. Eichenbaum, Lars Peter Hansen and Kenneth J. Singleton; Quarterly Journal of Economics, 1988, 103(1), pp. 51-78.
http://links.jstor.org/sici?sici=0033-5533%28198802%29103%3A1%3C51%3AATSAOR%3E2.0.CO%3B2-V
"A Central-Limit for Instrumental Variables Estimators of Linear Time Series Models," Lars Peter Hansen, in W. A. Barnett, E. R. Berndt and H. White: Dynamic Econometric Modeling: Proceedings of the Third International Symposium in Economic Theory and Econometrics. New York and Melbourne: Cambridge University Press, 1988, pp. 139-55
"Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions." Lars Peter Hansen, John C. Heaton and Masao Ogaki; Journal of the American Statistical Association, 1988, 83(403), pp. 863-71.
http://links.jstor.org/sici?sici=0162-1459%28198809%2983%3A403%3C863%3AEBIBMC%3E2.0.CO%3B2-A
"The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models." Lars Peter Hansen and Scott F. Richard; Econometrica: Journal of the Econometric Society, 1987, 55(3), pp. 587-613.
http://links.jstor.org/sici?sici=0012-9682%28198705%2955%3A3%3C587%3ATROCII%3E2.0.CO%3B2-Y
"Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Comment." Lars Peter Hansen; Journal of Business and Economic Statistics, 1986, 4(4), pp. 418-21.
http://links.jstor.org/sici?sici=0735-0015%28198610%294%3A4%3C418%3A%5BPOGME%3E2.0.CO%3B2-C
"Linear-Quadratic Duopoly Models of Resource Depletion," Lars Peter Hansen, Dennis Epple and William Roberds, in T. J. Sargent: Energy, Foresight, and Strategy. Washington, D.C.: Resources for the Future, 1985, pp. 101-42
"A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators." Lars Peter Hansen; Journal of Econometrics, 1985, 30(1-2), pp. 203-38.
http://dx.doi.org/10.1016/0304-4076(85)90138-1
"Errata: Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Lars Peter Hansen and Kenneth J. Singleton; Econometrica: Journal of the Econometric Society, 1984, 52(1), pp. 267-68.
http://links.jstor.org/sici?sici=0012-9682%28198401%2952%3A1%3C267%3AGIVEON%3E2.0.CO%3B2-1
"Multiperiod Probit Models and Orthogonality Condition Estimation." Robert B. Avery, Lars Peter Hansen and V. Joseph Hotz; International Economic Review, 1983, 24(1), pp. 21-35.
http://links.jstor.org/sici?sici=0020-6598%28198302%2924%3A1%3C21%3AMPMAOC%3E2.0.CO%3B2-Q
"Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns." Lars Peter Hansen and Kenneth J. Singleton; Journal of Political Economy, 1983, 91(2), pp. 249-65.
http://links.jstor.org/sici?sici=0022-3808%28198304%2991%3A2%3C249%3ASCRAAT%3E2.0.CO%3B2-1
"Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time." Lars Peter Hansen and Thomas J. Sargent; International Economic Review, 1983, 24(1), pp. 1-20.
http://links.jstor.org/sici?sici=0020-6598%28198302%2924%3A1%3C1%3AAOTATI%3E2.0.CO%3B2-F
"The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities." Lars Peter Hansen and Thomas J. Sargent; Econometrica: Journal of the Econometric Society, 1983, 51(2), pp. 377-88.
http://links.jstor.org/sici?sici=0012-9682%28198303%2951%3A2%3C377%3ATDOTAP%3E2.0.CO%3B2-3
"Large Sample Properties of Generalized Method of Moments Estimators." Lars Peter Hansen; Econometrica: Journal of the Econometric Society, 1982, 50(4), pp. 1029-54.
http://links.jstor.org/sici?sici=0012-9682%28198207%2950%3A4%3C1029%3ALSPOGM%3E2.0.CO%3B2-O
"Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Lars Peter Hansen and Kenneth J. Singleton; Econometrica: Journal of the Econometric Society, 1982, 50(5), pp. 1269-86.
http://links.jstor.org/sici?sici=0012-9682%28198209%2950%3A5%3C1269%3AGIVEON%3E2.0.CO%3B2-G
"Instrumental Variables Procedures for Estimating Linear Rational Expectations Models." Lars Peter Hansen and Thomas J. Sargent; Journal of Monetary Economics, 1982, 9(3), pp. 263-96.
http://dx.doi.org/10.1016/0304-3932(82)90020-4
"Consumption, Asset Markets, and Macroeconomic Fluctuations: A Comment." Lars Peter Hansen; Carnegie-Rochester Conference Series on Public Policy, 1982, 17, pp. 239-50.
http://dx.doi.org/10.1016/0167-2231(82)90047-1
"Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis." Lars Peter Hansen and Robert J. Hodrick; Journal of Political Economy, 1980, 88(5), pp. 829-53.
http://links.jstor.org/sici?sici=0022-3808%28198010%2988%3A5%3C829%3AFERAOP%3E2.0.CO%3B2-J
"Formulating and Estimating Dynamic Linear Rational Expectations Models." Lars Peter Hansen and Thomas J. Sargent; Journal of Economic Dynamics and Control, 1980, 2(1), pp. 7-46.
Econometric Modeling Strategies for Exhaustible Resource Markets with Applications to Nonferrous Metals; Lars Peter Hansen; PhD Dissertation, University of Minnesota, 1978.
Working Papers
Beliefs, Doubts and Learning: Valuing Economic Risk; Lars P. Hansen; NBER working paper series ; no. w12948; Cambridge, Mass.: National Bureau of Economic Research, 2007.
http://www.nber.org/papers/w12948
Long Term Risk: An Operator Approach; Lars P. Hansen and Jose A. Scheinkman; NBER working paper series ; no. w12650; Cambridge, Mass.: National Bureau of Economic Research, 2006.
http://www.nber.org/papers/w12650
Consumption Strikes Back?: Measuring Long-Run Risk; Lars Peter Hansen, John Heaton and Nan Li; NBER Working Papers Series no. 11476; Cambridge: National Bureau of Economic Research, 2005.
http://papers.nber.org/papers/W11476
Assessing Specification Errors in Stochastic Discount Factor Models; Lars Peter Hansen and Ravi Jagannathan; NBER technical working paper series ;; no. 153; Cambridge: National Bureau of Economic Research, 1994.
http://papers.nber.org/papers/t0153
Finite Sample Properties of Some Alternative GMM Estimators; Lars Peter Hansen, John Heaton and Amir Yaron; Working paper WP # 3728-94-EFA; Cambridge, Mass.: Alfred P. Sloan School of Management Massachusetts Institute of Technology, 1994.
http://hdl.handle.net/1721.1/47970
Econometric Evaluation of Asset Pricing Models; Lars Peter Hansen, John Heaton and Erzo Gerrit Jan Luttmer; Working paper 3606-93; Cambridge, Mass.: Alfred P. Sloan School of Management Massachusetts Institute of Technology, 1993.
http://hdl.handle.net/1721.1/47443
Back to the Future : Generating Moment Implications for Continuous-Time Markov Processes; Lars Peter Hansen and José Alexandre Scheinkman; NBER technical working paper series no. 141; Cambridge: National Bureau of Economic Research, 1993.
http://papers.nber.org/papers/t0141
Econometric Evaluation of Asset Pricing Models; Lars Peter Hansen, John Heaton and Erzo Gerrit Jan Luttmer; NBER technical working papers no. 145;; Cambridge: National Bureau of Economic Research, 1993.
http://papers.nber.org/papers/t0145
Asset Pricing Explorations for Macroeconomics; John H. Cochrane and Lars Peter Hansen; NBER working papers series ;; working paper no. 4088; Cambridge: National Bureau of Economic Research, 1992.
http://papers.nber.org/papers/W4088
Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors; Lars Peter Hansen and Kenneth J. Singleton; Technical working paper no. 86; Cambridge, MA: National Bureau of Economic Research, 1990.
http://papers.nber.org/papers/t0086
Recursive Linear Models of Dynamic Economies; Lars Peter Hansen and Thomas J. Sargent; NBER working paper series no. 3479.; Cambridge: National Bureau of Economic Research, 1990.
http://papers.nber.org/papers/3479
Implications of Security Market Data for Models of Dynamic Economies; Lars Peter Hansen and Ravi Jagannathan; Technical working paper no. 89;; Cambridge, MA.: National Bureau of Economic Research, 1990.
http://papers.nber.org/papers/t0086
Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data; Martin S. Eichenbaum and Lars Peter Hansen; NBER working paper series no. 2181; Cambridge: National Bureau of Economic Research, 1987.
http://papers.nber.org/papers/2181
A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty; Martin S. Eichenbaum, Lars Peter Hansen and Kenneth J. Singleton; NBER working paper series ;; no. 1981; Cambridge: National Bureau of Economic Research, 1986.
http://papers.nber.org/papers/1981