Lars Peter Hansen
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Lars Peter Hansen (2007)
October 26, 1952 |
|Institution||University of Chicago
Carnegie Mellon University
|School/tradition||Chicago School of Economics|
|Alma mater||University of Minnesota (Ph.D.)
Utah State University (B.Sc.)
|Influences||Thomas J. Sargent, Christopher A. Sims|
|Contributions||Generalized method of moments, Robust control applied to macroeconomics and asset pricing|
|Awards||BBVA Frontiers of Knowledge Award 2010
CME Group-MSRI Prize 2008
Nemmers Prize, 2006
Nobel Memorial Prize in Economics (2013)
|Information at IDEAS/RePEc|
Lars Peter Hansen (born October 26, 1952) is the David Rockefeller Distinguished Service Professor of economics at the University of Chicago. Best known for his work on the Generalized Method of Moments, he is also a distinguished macroeconomist, focusing on the linkages between the financial and real sectors of the economy. In 2013, it was announced that he would be awarded the Nobel Memorial Prize in Economics, jointly with Robert J. Shiller and Eugene Fama.
After graduating from Utah State University (B.S. Mathematics, Political Science, 1974) and the University of Minnesota (Ph.D. Economics, 1978) he served as assistant and associate professor at Carnegie Mellon University before moving to the University of Chicago in 1981. He is currently the David Rockefeller Distinguished Service Professor in Economics, Statistics and the College at the University of Chicago. He is married to Grace Tsiang (Chinese: 蒋人瑞; pinyin: Jiǎng Rénruì), who is the daughter of the famous economist Sho-Chieh Tsiang. Together, Hansen and Tsiang have one son named Peter. He has two brothers, Ted Howard Hansen, an immunologist at Washington University in St. Louis and Roger Hansen, an engineer in water resource management. His father, Roger Gaurth Hansen, served as provost of Utah State University and was a professor of biochemistry.
Hansen is best known as the developer of the econometric technique generalized method of moments (GMM) and has written and co-authored papers applying GMM to analyze economic models in numerous fields including labor economics, international finance, finance and macroeconomics. This method has been widely adopted where fully specifying and solving a model of a complex economic environment makes maximum likelihood estimation unwieldy or inapplicable. Hansen showed how to exploit moment conditions (e.g. relations where conditional expectations are known to be zero at true parameter values) to construct reasonable, reliable estimators (i.e. having desirable statistical properties such as consistency, asymptotic normality, and efficiency within the class of all asymptotic normal estimators) with less stringent maintained model assumptions than needed for maximum likelihood estimation.
Together with Ravi Jagannathan he showed that the ratio of any stochastic discount factor's standard deviation to its mean is at least as great as any asset's Sharpe ratio; this result is known as the Hansen–Jagannathan bound.
His current research interests include work on the long-run risk-return tradeoff with José Scheinkman and the examination of the term structure of pricing risk shocks in dynamic macroeconomic models through the use of "dynamic valuation decomposition." In other work, he is incorporating beliefs, doubts, and learning into representative agent models, and developing implications for empirical macroeconomics and finance. Thomas J. Sargent and Hansen have co-written Robustness which explores implications of robust control theory for macroeconomic modeling when the decision-maker is skeptical of any single statistical model's ability to capture how decisions are linked to outcomes. More recently, Hansen has begun to turn his and Sargent's ideas about the difference between risk and uncertainty (also known as Knightian uncertainty) towards the measurement of "systemic risk," its role in the 2008 financial crisis. and how it should be contained during the post Great Recession recovery.
Hansen is currently the Research Director of the Becker Friedman Institute, where he also co-directs (along with economist Andrew Lo) the Macro Financial Modeling Group, a network of macroeconomists working to develop improved models of the linkages between the financial and real sectors of the economy in the wake of the 2008 financial crisis.
He is a member of the National Academy of Sciences and served as President of the Econometrics Society in 2007. He was a founding Director of the Milton Friedman Institute (now the Becker Friedman Institute for Research in Economics). He is the co-editor of "Advances in Economics and Econometrics," and the "Handbook of Financial Econometrics." He is one of the founders of The Society for Financial Econometrics (SoFiE)
He is the co-winner of the Frisch Medal with Kenneth Singleton in 1984, was awarded the Erwin Plein Nemmers Prize in Economics in 2006, and the CME Group-MSRI Prize In Innovative Quantitative Applications in 2008. In 2011, he was awarded the BBVA Foundation Frontiers of Knowledge Award in Economics, Finance, and Management “for making fundamental contributions to our understanding of how economic actors cope with risky and changing environments.”
- Hansen, L.P. "Challenges in Identifying and Measuring Systemic Risk," in forthcoming NBER book Risk Topography: Systemic Risk and Macro Modeling, September 2012.
- Hansen, L.P. "Generalized Methods of Moments: A Time Series Perspective," in International Encyclopedia of the Social and Behavior Sciences, 2000.
- Hansen, L.P., (1982), "Large Sample Properties of Generalized Methods of Moments Estimators" in Econometrica, Vol. 50, page 1029-1054, where he proposed the GMM-procedure.
- Hansen, L. P.; Jagannathan, R. (1991). "Implications of Security Market Data for Models of Dynamic Economies". Journal of Political Economy 99 (2): 225–262. doi:10.1086/261749.
- Hansen, L. P.; Singleton, K.J. (1982). "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models". Econometrica 50 (5): 1269–86. doi:10.2307/1911873. JSTOR 1911873.
- Hansen, L.P.; Hodrick, R.J. (1980). "Forward Exchange-Rates As Optimal Predictors of Future Spot Rates - An Econometric-Analysis". Journal of Political Economy 88 (5): 829–853. doi:10.1086/260910.
- Hansen, L.P.; Sargent, T.J. (1980). "Formulating and Estimating Dynamic Linear Rational-Expectations Models". Journal of Economic Dynamics & Control 2 (7–46): 1980. doi:10.1016/0165-1889(80)90049-4.
- Hansen, L.P.; Heaton, J.C.; Li, N. (2008). "Consumption Strikes Back? Measuring Long-Run Risk". Journal of Political Economy 116 (2): 260–302. doi:10.1086/588200.
- Hansen, L.P.; Sargent, T.J. (2007). "Recursive Robust Estimation and Control without Commitment". Journal of Economic Theory 136 (1): 1–27. doi:10.1016/j.jet.2006.06.010.
- Hansen, L.P., Sargent, T.J., (2008). Robustness. Princeton University Press.
- Hansen, L.P.; Scheinkman, J. (2009). "Long Term Risk: an Operator Approach," (January 2009)". Econometrica 77 (1): 177–234. doi:10.3982/ECTA6761.
- Hansen, L.P. (2007). "The Richard T. Ely Lecture : "Beliefs, Doubts and Learning: Valuing Macroeconomic Risk". The American Economic Review 97 (2): 1–30. doi:10.1257/aer.97.2.1.
- The Prize in Economic Sciences 2013, nobelprize.org, retrieved October 14, 2013
- 3 US Economists Win Nobel for Work on Asset Prices, abc news, October 14, 2013
- Cartwright, Maren (April 26, 2012). "Four Prominent Individuals to Receive Honorary Degrees from USU". Utah State University. Retrieved October 15, 2013.
- Hansen, Lars Peter (February 11, 2013). Challenges in Identifying and Measuring Systemic Risk, University of Chicago and the NBER
- Anne Szustek (May 24, 2014). Economist-Lars-Peter-Hansen-Finds-Fault-with-Economic.html, Economist Lars Peter Hansen Finds Fault with Economic Models, Institutional Investor (magazine)
- Past Presidents, Founding Council, and Founding Members | The Society for Financial Econometrics
|Wikimedia Commons has media related to Lars Peter Hansen.|
- Interview with LPH
- Chicago Web Page
- Macro Financial Modeling page
- Cowles Foundation Koopmans Lecture 2008
- Utah State University News article