Lars Peter Hansen

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Lars Peter Hansen is an American economist and econometrician. He is currently the Homer J. Livingston Distinguished Service Professor at the University of Chicago, where he teaches graduate econometrics and advanced empirical methods. Hansen is best known as the inventor of the statistical technique GMM or Generalized method of moments. He is also the co-editor of the Handbook of Financial Econometrics. His current research interests include incorporating beliefs, doubts and learning into representative agent models and developing implications for empirical macroeconomics and finance.

[edit] 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 Peter & Singleton, Kenneth J, "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.

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