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Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time

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  • Hansen, Lars Peter
  • Sargent, Thomas J

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.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 24 (1983)
Issue (Month): 1 (February)
Pages: 1-20

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Handle: RePEc:ier:iecrev:v:24:y:1983:i:1:p:1-20

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References

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  1. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
  2. Marc Nerlove, 1967. "Distributed Lags and Unobserved Components in Economic Time Series," Cowles Foundation Discussion Papers 221, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
  1. Hansen, Lars Peter & Sargent, Thomas J & Tallarini, Thomas D, Jr, 1999. "Robust Permanent Income and Pricing," Review of Economic Studies, Wiley Blackwell, vol. 66(4), pages 873-907, October.
  2. Thomas J. Sargent, 1982. "The Ends of Four Big Inflations," NBER Chapters, in: Inflation: Causes and Effects, pages 41-98 National Bureau of Economic Research, Inc.
  3. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  4. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
  5. Lawrence J. Christiano, 1981. "Rational expectations, hyperinflation, and the demand for money," Working Papers 163, Federal Reserve Bank of Minneapolis.

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