Lars Peter Hansen

Lars Peter Hansen is an American economist whose work developed generalized method of moments and advanced the study of asset pricing, uncertainty, and macroeconomics.

Kenneth J. Singleton: An American economist known for research in financial economics and asset pricing. His joint work with Hansen used stochastic discount factors to study asset prices.
Generalized method of moments: An estimation method that chooses parameters to satisfy a set of moment conditions as closely as possible. Hansen introduced this framework to estimate models using orthogonality restrictions.
Stochastic discount factor: A random variable that prices future payoffs by converting them into present values. Hansen used this representation to express asset-pricing models as moment restrictions.
2003 Nobel Memorial Prize in Economic Sciences: The Nobel economics prize awarded to Robert Engle and Clive Granger for methods analyzing economic time series. Hansen received the prize in 2013, not this earlier award; it marks a separate milestone in econometrics.
Asset pricing: The study of how financial assets are valued and how their returns relate to risk. It is the central economic field in much of Hansen’s research.
Ravi Jagannathan: An economist whose research includes asset pricing, financial markets, and econometrics. His work with Hansen helped develop empirical methods for testing asset-pricing models.
Moment condition: An equation stating that a function of data and parameters has a specified expectation, often zero. Such restrictions are the inputs that make Hansen’s estimator possible.
Consumption-based asset pricing model: An asset-pricing model that relates returns to households’ consumption and marginal utility. Hansen’s empirical work examined whether consumption growth explains observed returns.
2013 Nobel Memorial Prize in Economic Sciences: The economics prize awarded to Eugene Fama, Lars Peter Hansen, and Robert Shiller for empirical analysis of asset prices. The award recognized Hansen’s methods for testing economic theories about asset prices.
Econometrics: The application of statistical and mathematical methods to economic data and theories. Hansen’s contributions use econometrics to estimate and test economic models.

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