Evan Anderson
Assistant Professor of Economics
Northern Illinois University
"The dynamics of risk-sensitive allocations", Journal of Economic Theory, 2005, v. 125, iss. 2, pp. 93-150.
" Do heterogeneous beliefs matter for asset pricing?", Review of Financial Studies, 2005, v. 18, iss. 3, pp. 875-924. (Joint with E. Ghysels and J. L. Juergens.)
"A quartet of semigroups for model specification, robustness, prices of risk, and model detection", Journal of the European Economic Association, March 2003, v. 1, iss. 1, pp. 68-123. (Joint with L.P. Hansen and T.J. Sargent.)
"Mechanics of forming and estimating dynamic linear economies" in the Handbook of Computational Economics (1996), edited by H.M. Amman, D.A. Kendrick, and J. Rust. Elsevier. Pages 171-252. (Joint with L.P. Hansen, E.R. McGrattan, and T.J. Sargent.)
"Uncertainty and the Dynamics of Pareto Optimal Allocations." This paper is an older version of "The dynamics of risk-sensitive allocations." This version allows for a broader class of preferences.
A Matlab interface to code that computes the ordered Generalized Schur decomposition.
The programs for solving Riccati and Sylvester Equations described in Anderson, Hansen, McGrattan and Sargent, "Mechanics of Forming and Estimating Dynamic Linear Economies", Handbook of Computational Economics.