Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR
从混频观测恢复高频模型:单位根 VAR 的一般位置可识别性
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…