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Aggregation Over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time

Staff Report 74 | Published September 1, 1981

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Authors

Lars Peter Hansen

Aggregation Over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time

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.


Published in: _International Economic Review_ (Vol. 24, No. 1, February 1983, pp. 1-20) https://doi.org/10.2307/2526112.