Lars Peter Hansen
Encyclopedia
Lars Peter Hansen is an economist
at the University of Chicago
.
(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
. He is the co-editor of "Advances in Economics and Econometrics," and the "Handbook of Financial Econometrics." Together with Ravi Jagannathan
he derived bounds, known as the "Hansen-Jagannathan bound",, 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. Timely work with José Scheinkman
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.
Economist
An economist is a professional in the social science discipline of economics. The individual may also study, develop, and apply theories and concepts from economics and write about economic policy...
at the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
.
Biography
After graduating from Utah State UniversityUtah State University
Utah State University is a public university located in Logan, Utah. It is a land-grant and space-grant institution and is accredited by the Northwest Commission on Colleges and Universities....
(B.S. Mathematics, Political Science, 1974) and the University of Minnesota
University of Minnesota
The University of Minnesota, Twin Cities is a public research university located in Minneapolis and St. Paul, Minnesota, United States. It is the oldest and largest part of the University of Minnesota system and has the fourth-largest main campus student body in the United States, with 52,557...
(Ph.D. Economics, 1978) he served as assistant professor at Carnegie Mellon University
Carnegie Mellon University
Carnegie Mellon University is a private research university in Pittsburgh, Pennsylvania, United States....
before moving to University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
in 1981, and is a member of the National Academy of Sciences
United States National Academy of Sciences
The National Academy of Sciences is a corporation in the United States whose members serve pro bono as "advisers to the nation on science, engineering, and medicine." As a national academy, new members of the organization are elected annually by current members, based on their distinguished and...
. He is the co-winner of the Frisch Medal
Frisch Medal
The Frisch Medal is an award in econometrics given by the Econometric Society. It is awarded every two years for empirical or theoretical applied research published in Econometrica during the previous five years...
with Kenneth Singleton
Kenneth Singleton
for the American baseball player see Ken SingletonKenneth Jan "Ken" Singleton is an American economist. He is a leading figure in empirical financial economics, and a faculty member at Stanford University....
in 1984, was awarded the Erwin Plein Nemmers Prize in Economics
Erwin Plein Nemmers Prize in Economics
The Erwin Plein Nemmers Prize in Economics is awarded biennially from Northwestern University. It was initially endowed along with a companion prize, the Frederic Esser Nemmers Prize in Mathematics. Both are part a $14 million donation from the Nemmers brothers, who envisioned creating an award...
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
Generalized method of moments
In econometrics, generalized method of moments is a generic method for estimating parameters in statistical models. Usually it is applied in the context of semiparametric models, where the parameter of interest is finite-dimensional, whereas the full shape of the distribution function of the data...
and has written and co-authored papers applying GMM to analyze economic models in numerous fields including labor economics, international finance
International finance
International finance is the branch of economics that studies the dynamics of exchange rates, foreign investment, global financial system, and how these affect international trade. It also studies international projects, international investments and capital flows, and trade deficits. It includes...
, finance
Finance
"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
and macroeconomics
Macroeconomics
Macroeconomics is a branch of economics dealing with the performance, structure, behavior, and decision-making of the whole economy. This includes a national, regional, or global economy...
. He is the co-editor of "Advances in Economics and Econometrics," and the "Handbook of Financial Econometrics." Together with Ravi Jagannathan
Ravi Jagannathan
Ravi Jagannathan is an American economist. He is currently a chaired professor at the Kellogg School of Management at Northwestern University. With the exception of the period 1989-1997 when he was a professor at the University of Minnesota, Jagannathan has been at Kellogg since graduate...
he derived bounds, known as the "Hansen-Jagannathan bound",, which provide a way to use security market data to investigate the range of volatility
Volatility (finance)
In finance, volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past market prices...
of the stochastic
Stochastic
Stochastic refers to systems whose behaviour is intrinsically non-deterministic. A stochastic process is one whose behavior is non-deterministic, in that a system's subsequent state is determined both by the process's predictable actions and by a random element. However, according to M. Kac and E...
discount factor, which is a measure of investor impatience and attitudes toward risk
Risk
Risk is the potential that a chosen action or activity will lead to a loss . The notion implies that a choice having an influence on the outcome exists . Potential losses themselves may also be called "risks"...
.
His current research interests include pricing long run macroeconomic risk. Timely work with José Scheinkman
José Scheinkman
José Alexandre Scheinkman is a Brazilian-American mathematical economist, currently the Theodore A Wells '29 Professor of Economics at Princeton University. He spent the bulk of his career at the University of Chicago, where he served as department chair immediately prior to his departure for...
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
Representative agent
Economists use the term representative agent to refer to the typical decision-maker of a certain type ....
models, and developing implications for empirical macroeconomics and finance. Thomas J. Sargent
Thomas J. Sargent
Thomas John "Tom" Sargent is an American Nobel Memorial Prize in Economic Sciences winning economist, specializing in the fields of macroeconomics, monetary economics and time series econometrics...
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., Sargent, T.J., (2008). Robustness. Princeton University Press.