Lars Peter Hansen

Lars Peter Hansen is an economist at the University of Chicago. He was born in 1952 in Champaign, Illinois. After graduating from Utah State University (B.S. Mathematics, 1974) and the University of Minnesota (Ph.D. Economics, 1978) he served as assistant professor at Carnegie Mellon University before moving to University of Chicago in 1981. 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.

Hansen is best known as the developer of the econometric technique GMM or Generalized method of moments and has written and co-authored papers applying GMM to analyze economic models in numerous fields including labor economics, international finance, finance and macroeconomics. He has written books with Thomas J. Sargent and is the co-editor of "Advances in Economics and Econometrics," and the "Handbook of Financial Econometrics." Together with Ravi Jagannathan he derived bounds which provide a way to use security market data to investigate the range of volatility of the stochastic discount factor, which is a measure of investor impatience and attitudes toward risk. His current research interests include pricing long run macroeconomic risk, and incorporating beliefs, doubts and learning into representative agent models and developing implications for empirical macroeconomics and finance.

Selected Writings

* "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 the Generalized Methods of Moments" in "Econometrica", Vol. 50, page 1029-1054, where he proposed the GMM-procedure.
* Hansen, Lars P., and Ravi Jagannathan (1991): "Implications of Security Market Data for Models of Dynamic Economies", "Journal of Political Economy", 99 225-262.
* Hansen, Lars Peter and Kenneth J. Singleton, "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86. 1982.
* Hansen, L.P., Hodrick, R.J.. "Forward Exchange-Rates As Optimal Predictors of Future Spot Rates - An Econometric-Analysis." Journal of Political Economy 88: 829-853, 1980.
* Hansen, L.P., Sargent, T.J. "Formulating and Estimating Dynamic Linear Rational-Expectations Models." Journal of Economic Dynamics & Control 2: 7-46, 1980.
* Hansen, L.P., Heaton, J.C., Li, N. "Consumption Strikes Back? Measuring Long-Run Risk," Journal of Political Economy (April 2008), 116(2): 260-302.
* Hansen, L.P., Sargent, T.J., "Recursive Robust Estimation and Control without Commitment," Journal of Economic Theory, 2007, 136(1): 1-27.
* Hansen, L.P., Sargent, T.J., Robustness. Princeton University Press. 2008.
* Hansen, L.P., Scheinkman, J. "Long Term Risk: an Operator Approach," with J. Scheinkman (June 18, 2008). (Forthcoming in Econometrica.)
* Hansen, L.P., The Richard T. Ely Lecture: "Beliefs, Doubts and Learning: Valuing Macroeconomic Risk," The American Economic Review (May 2007), 97(2): 1-30.

External links

* [http://home.uchicago.edu/~lhansen/LarsHansenInterviewJBES.pdf Interview with LPH]
* [http://home.uchicago.edu/~lhansen/ Chicago Web Page]
* [http://cowles.econ.yale.edu/conferences/koopmans/tck08 Cowles Foundation Koopmans Lecture 2008]