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Recursive Methods in Economic Dynamics Hardcover – November 9, 1989

ISBN-13: 978-0674750968 ISBN-10: 0674750969 Edition: First Edition

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Product Details

  • Hardcover: 608 pages
  • Publisher: Harvard University Press; First Edition edition (November 9, 1989)
  • Language: English
  • ISBN-10: 0674750969
  • ISBN-13: 978-0674750968
  • Product Dimensions: 9.5 x 6.6 x 1.8 inches
  • Shipping Weight: 2 pounds (View shipping rates and policies)
  • Average Customer Review: 3.7 out of 5 stars  See all reviews (26 customer reviews)
  • Amazon Best Sellers Rank: #66,035 in Books (See Top 100 in Books)

Editorial Reviews

Review

A magnificent work that is bound to have immense influence on the ways economists think about dynamic systems for many years to come. My own guess is that this book will eventually acquire the stature, say, of Hicks's Value and Capital or Samuelson's Foundations. (Thomas J. Sargent, Hoover Institution)

The book is a tour de force. The authors present a unified approach to the techniques and applications of recursive economic theory. The presentations of discrete-time dynamic programming and of Markov processes are authoritative. There is a wide-ranging series of examples drawn from all branches of the discipline, but with special emphasis on macroeconomics. In the short run, the book will be a vital reference in any advanced course in macroeconomic theory. In the long run, it may help to remove the traditional boundaries between microeconomic theory and macroeconomic theory. (Andrew Caplin, Columbia University)

This book is a wonderful collection of results on the techniques of dynamic programming with great applications to economics written by giants in the field. (Sanford J. Grossman, University of Pennsylvania)

About the Author

Robert E. Lucas, Jr., is John Dewey Distinguished Service Professor of Economics at the University of Chicago. In 1995, he was awarded the Nobel Prize in Economics.

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Customer Reviews

This is a really challenging book, worth fighting through.
Darius Martin
Therefore i don't think that missing solutions to exercises are too much of a problem.
"unitroot"
Stochastic problems, e.g. a growth model with Markovian shocks in productivity.
A reader

Most Helpful Customer Reviews

34 of 35 people found the following review helpful By A Customer on October 3, 2001
Format: Hardcover
Let's get three things straight. This book is (1) a textbook, (2) in mathematical techniques, and (3) aimed at economists. As a textbook, it contains a large number of exercises with which students can test their understanding. As it is written for economists, it is not as rigorous as a mathematics text, but is pitched at a level of rigor appropriate for an economics graduate program at a school like Chicago. As it is a mathematics text, it does not emphasize the economics underlying the problems.
Given this, I think the book does a wonderful job. It is beautifully intuitive, illustrated with lots of examples, and is just rigorous enough to provide the grounding necessary to go on to more advanced mathematics texts.
And for those who want a solutions manual, one is on the way ... Harvard University Press expects to release one some time in 2002. Early drafts are available from the authors: Irigoyen, Rossi-Hansberg and Wright, who are all graduate students at Chicago....
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23 of 23 people found the following review helpful By "unitroot" on August 29, 2001
Format: Hardcover
This is basically a handbook of mathematical methods necessary to study dynamic economic modells. As such it does a very good job, since as the authors note, just presenting the applications without developing the necessary mathematics would require the reader to keep quite a few math books alongside to keep going at an acceptable pace. It should be clear that the applications developed in this book are idiosyncratic (Carnegie-Mellon/Chicago/Minnesota school).
The book certainly doesn't work too well in a first year graduate Macro course, for that it is simply too terse. That a lot of material is left to the exercises certainly has to do with the fact that the book is already quite thick. In general this is going to be a textbook for a course and won't be used for self-study. Therefore i don't think that missing solutions to exercises are too much of a problem.
I think the book is useful for someone with an "ok" math backround, who has not yet had the chance to study dynamic programming, measure theory and lesbesque integration etc. and who wants to go beyond the typical first year macro stuff. If you have a strong math backround this book is rather unnecessary, save maybe the chapters on applications. I give the book 5 stars as a mathematical compendium, as a macro textbook (which the authors to not claim to have produced) it should get less.
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21 of 21 people found the following review helpful By "jsurti" on May 12, 2004
Format: Hardcover
As a research economist or graduate student, especially if working in economic theory or dynamic macroeconomics, it is difficult to overstate the value of this book as a handy guide for a set of essential facts (re: theorems) regarding the existence of solutions to dynamic programming problems or markov decision processes, as well as characterizing the properties of the set of solutions.
That being said, this is not the book a budding theorist wants to learn techniques from (For the mathematical prerequisites: measure theory, topology, probability, stochastic processes, hilbert spaces, there are better treatments in the math literature. For dynamic programming in discrete time itself: Bertsekas and Shreve's 1978 text is far superior). Though I am not an expert in macroeconomics, I believe Sargent's sequence of books is a better source for learning the how-to-do, while keeping the economic questions crystal clear: neither of these is a strong point of this book.
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15 of 15 people found the following review helpful By A Customer on October 23, 2000
Format: Hardcover
First, let me say that this is an IMPORTANT book; about as important a book on macro that has come out in the last 30 years. That said, it is a horrible book to learn by. It should not bill itself as anything other than a reference book. It doesn't have any examples; just a lot of exercises. By trying to be general, it leaves the beginning student without a clue as to how to apply this in a more concrete context. In short, if ever there was a book in need of a study guide with examples worked out, this is it.
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12 of 12 people found the following review helpful By A Customer on September 13, 2000
Format: Hardcover
If you want to do modern dynamic models of macroeconomics, and need the basic tools, this is an essential part of the toolkit. The book has been out for a while, and there have been developments in the field that probably need to be in the next edition. But it does present the basics of what could be described as the CarnegieMellon-Minnesota-Chicago approach to modern dynamic macroeconomics developed by Lucas and Prescott in the early seventies, the work that led to the Rational Expectations Revolution and current work in Real Business Cycle Theory. This is what you need to read papers in Econometrica or the Journal of Economic Theory. This is a standard graduate macroeconomics text. Some reviewers have criticized it without fully understanding the objectives of the authors. For instance, read Chapter 5, with its careful, and explicit examples of how to use these methods in constructing simple and parsimonious models. Yes, some of it is a rehash of standard theorems in dynamic programming, and measure theory, and so on, but the goal was to provide these in one location, so that you don't have to learn these by digging through the appendices of Bob Lucas' papers, or the first 100 pages of Dunford and Schwarz's Linear Operators or Halmos, or the Annals of Mathematical Statistics where Blackwell published the results that are now used.
I would recommend Sargent's books as an useful accompaniment, and also perhaps the Exercises by Sargent and Manuelli.
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