Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time
AbstractThis paper describes the continuous time stochastic process for money and inflation under which Caganâs 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 InfoArticle 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)
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Other versions of this item:
- Lars Peter Hansen & Thomas J. Sargent, 1981. "Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time," Staff Report 74, Federal Reserve Bank of Minneapolis.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Thomas J. Sargent, 1981.
"The ends of four big inflations,"
158, Federal Reserve Bank of Minneapolis.
- 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.
- Lars Hansen & Thomas Sargent & Thomas Tallarini, . "Robust Permanent Income and Pricing," GSIA Working Papers 1997-51, Carnegie Mellon University, Tepper School of Business.
- Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
- Lawrence J. Christiano, 1981. "Rational expectations, hyperinflation, and the demand for money," Working Papers 163, Federal Reserve Bank of Minneapolis.
- Lawrence J. Christiano & Martin Eichenbaum, 1987.
"Temporal aggregation and structural inference in macroeconomics,"
306, Federal Reserve Bank of Minneapolis.
- 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.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1986. "Temporal Aggregation and Structural Inference in Macroeconomics," NBER Technical Working Papers 0060, National Bureau of Economic Research, Inc.
- Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
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