Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time
AbstractThis 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 InfoPaper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 74.
Date of creation: 1981
Date of revision:
Other versions of this item:
- Hansen, Lars Peter & Sargent, Thomas J, 1983. "Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 1-20, February.
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- 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.
- 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 Hansen & Thomas Sargent & Thomas Tallarini, .
"Robust Permanent Income and Pricing,"
GSIA Working Papers
1997-51, Carnegie Mellon University, Tepper School of Business.
- Thomas J. Sargent, 1982.
"The Ends of Four Big Inflations,"
in: Inflation: Causes and Effects, pages 41-98
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.
- 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.
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