Lars Peter Hansen

Lars Peter Hansen (b. October 26, 1952 in Champaign, Illinois) is an economist at the University of Chicago.

Biography

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 professor at Carnegie Mellon University before moving to University of Chicago in 1981, and is a member of the National Academy of Sciences. 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 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. 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 (ie. 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.

He is the co-editor of "Advances in Economics and Econometrics," and the "Handbook of Financial Econometrics." Together with Ravi Jagannathan he derived "Hansen-Jagannathan 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 timely work with José Scheinkman that explores how to examine the long-run risk-return tradeoff of assets exposed to shifts in long-run macroeconomic growth. 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.

Hansen is married and has one son. 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, was a professor of biochemistry and provost of Utah State University.

Selected Writings

• 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. 
• 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. 

External links

• Interview with LPH
• Chicago Web Page
• Cowles Foundation Koopmans Lecture 2008