Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time

Lars Hansen and Thomas Sargent

No 74, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: This paper describes the continuous time stochastic process for money and inflation under which Cagan?s adaptive expectations model is optimal. It then analyzes how data formed by sampling money and prices at discrete points in time would behave.

Date: 1981
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time (1983)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:74

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