Authors
Thomas J. Sargent
New York University and Hoover Institution
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.
