Tom's edits Jan 26 of multiplicative functional lecture

Author: thomassargent30

lectures/_static/quant-econ.bib

@@ -2340,12 +2340,11 @@ @book{Whiteman
   publisher = {University of Minnesota Press},
   address = {Minneapolis, Minnesota}}
 
-@book{Hans_Sarg_book_2016,
+@unpublished{Hans_Sarg_book,
   author = {Lars Peter Hansen and Thomas J. Sargent},
-  year ={2017},
+  year ={2024},
   title = {Risk, Uncertainty, and Value},
-  publisher = {Princeton University Press},
-  address = {Princeton, New Jersey}
+  note =  {University of Chicago and NYU manuscript}
 }
 
 @article{Jacobson_73,

lectures/additive_functionals.md

@@ -59,8 +59,6 @@ These two classes of processes are closely connected.
 
 If a process $\{y_t\}$ is an additive functional and $\phi_t = \exp(y_t)$, then $\{\phi_t\}$ is a multiplicative functional.
 
-Hansen and Sargent {cite}`hansen2008robustness` (chs. 5 and 8) describe discrete time versions of additive and multiplicative functionals.
-
 In this lecture, we describe both  additive functionals and multiplicative functionals.
 
 We also describe and compute decompositions of additive and multiplicative processes into four components:
@@ -88,7 +86,7 @@ from scipy.stats import norm, lognorm
 
 ## A Particular Additive Functional
 
-Hansen and Sargent {cite}`hansen2008robustness`  describe a general class of additive functionals.
+{cite}`hansen2009long` describe a general class of additive functionals.
 
 This lecture focuses on a subclass of these: a scalar process $\{y_t\}_{t=0}^\infty$ whose increments are driven by a Gaussian vector autoregression.
 
@@ -722,7 +720,7 @@ Notice the irregular but persistent growth in $y_t$.
 
 ### Decomposition
 
-Hansen and Sargent {cite}`hansen2008robustness` describe how to construct a decomposition of
+Hansen and Sargent {cite}`Hans_Sarg_book` describe how to construct a decomposition of
 an additive functional into four parts:
 
 - a constant inherited from initial values $x_0$ and $y_0$
@@ -741,7 +739,7 @@ $$
 \end{aligned}
 $$
 
-Then the Hansen-Scheinkman {cite}`hansen2009long` decomposition is
+Then the Hansen-Scheinkman {cite}`hansen2009long`, {cite}`Hans_Sarg_book` decomposition is
 
 $$
 \begin{aligned}
@@ -939,7 +937,7 @@ Let's see what happens when we set $T = 12000$ instead of $150$.
 
 ### Peculiar Large Sample Property
 
-Hansen and Sargent {cite}`hansen2008robustness` (ch. 8) describe the following two properties of the  martingale component
+Hansen and Sargent {cite}`Hans_Sarg_book` (ch. 8) describe the following two properties of the  martingale component
 $\widetilde M_t$ of the multiplicative decomposition
 
 * while $E_0 \widetilde M_t = 1$ for all $t \geq 0$,
@@ -950,7 +948,7 @@ $\widetilde M_t$ of the multiplicative decomposition
 The first property follows from the fact that $\widetilde M_t$ is a multiplicative martingale with initial condition
 $\widetilde M_0 = 1$.
 
-The second is a **peculiar property** noted and proved by Hansen and Sargent {cite}`hansen2008robustness`.
+The second is a **peculiar property** noted and proved by Hansen and Sargent {cite}`Hans_Sarg_book`.
 
 The following simulation of many paths of $\widetilde M_t$ illustrates both properties