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Recursive Methods in Economic Dynamics [Hardcover]

Nancy L. Stokey , Robert E. Lucas Jr. , Edward C. Prescott
5.0 out of 5 stars  See all reviews (1 customer review)
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Book Description

1 July 1989
This rigorous but brilliantly lucid book presents a self-contained treatment of modern economic dynamics. Stokey, Lucas, and Prescott develop the basic methods of recursive analysis and illustrate the many areas where they can usefully be applied. After presenting an overview of the recursive approach, the authors develop economic applications for deterministic dynamic programming and the stability theory of first-order difference equations. They then treat stochastic dynamic programming and the convergence theory of discrete-time Markov processes, illustrating each with additional economic applications. They also derive a strong law of large numbers for Markov processes. Finally, they present the two fundamental theorems of welfare economics and show how to apply the methods developed earlier to general equilibrium systems. The authors go on to apply their methods to many areas of economics. Models of firm and industry investment, household consumption behavior, long-run growth, capital accumulation, job search, job matching, inventory behavior, asset pricing, and money demand are among those they use to show how predictions can he made about individual and social behavior. Researchers and graduate students in economic theory will find this book essential.

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Product details

  • Hardcover: 560 pages
  • Publisher: Harvard University Press (1 July 1989)
  • Language: English
  • ISBN-10: 0674750969
  • ISBN-13: 978-0674750968
  • Product Dimensions: 24.1 x 16.7 x 4.5 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 544,549 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Review

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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Most Helpful Customer Reviews
5.0 out of 5 stars A must for any postgraduate in economics 18 Jun 2013
Format:Hardcover|Verified Purchase
Writing anything about this book is unnecessary, given that everyone that looked for it knows perfectly how useful is in the study of dynamic macroeconomics and the mathematics behind. Even though is not as deep as Math oriented Dynamic Optimization book, it perfectly match the topic with problems you will face in your lectures or research work.
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Amazon.com: 3.7 out of 5 stars  26 reviews
34 of 35 people found the following review helpful
5.0 out of 5 stars Classic Textbook on Mathematics for Economists 3 Oct 2001
By A Customer - Published on Amazon.com
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....
23 of 23 people found the following review helpful
5.0 out of 5 stars not a "textbook" on macro... 29 Aug 2001
By "unitroot" - Published on Amazon.com
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.
21 of 21 people found the following review helpful
3.0 out of 5 stars Good as research reference, but not in mastering the field 12 May 2004
By "jsurti" - Published on Amazon.com
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.
15 of 15 people found the following review helpful
3.0 out of 5 stars A book in need of a study guide. 24 Oct 2000
By A Customer - Published on Amazon.com
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.
12 of 12 people found the following review helpful
5.0 out of 5 stars Essential for doing modern macroeconomics 14 Sep 2000
By A Customer - Published on Amazon.com
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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