Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR

• Tác giả: Manfred Deistler, Philipp Gersing, Leopold Soegner
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.1 System identification
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 194921

Tóm tắt

The "REtrieval from MIxed Sampling" (REMIS) approach based on blocking developed in Anderson et al. (2016a) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector error correction model for mixed frequency data. We prove that from the second moments of the blocked process after taking differences at lag N (N is the slow sampling rate), the parameters of the high frequency system are generically identified. We treat the stock and the flow case as well as deterministic terms.