Working paper
On the mathematical basis of inter-temporal optimization.
- Abstract:
-
Almost no economic time series is either weakly or strictly stationary: distributions of economic variables shift over time. Thus, the present treatment of expectations in economic theories of inter-temporal optimization is inappropriate. It cannot be proved that conditional expectations based on the current distribution are minimum mean-square error 1-step ahead predictors when unanticipated breaks occur, and consequentially, the law of iterated expectations then fails inter-temporally. A...
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Bibliographic Details
- Publisher:
- Department of Economics (University of Oxford)
- Series:
- Discussion paper series
- Publication date:
- 2010-08-01
Item Description
- Language:
- English
- UUID:
-
uuid:c80c3c07-628f-4ee6-844d-5250238385f1
- Local pid:
- oai:economics.ouls.ox.ac.uk:14815
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2010
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