Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time
By: Lars Peter Hansen and Thomas J. Sargent.
Contributors: Sargent, Thomas J.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 74; Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 74.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1981
Place of publication: [Minneapolis, Minn.]
Language: eng
Format: Electronic resource
Subjects: Inflation (Finance) -- Mathematical models.; Stochastic analysis.
Description: "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"--Federal Reserve Bank of Minneapolis web site.
Notes: Title from PDF file as viewed on 10/19/2007.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.