论文标题
从混合采样频率中检索：单位根VAR中的通用可识别性
Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR
论文作者
论文摘要
基于Anderson等人在Anderson等人中开发的阻塞的“从混合采样中检索”（REMIS）。 （2016a）涉及从混合频率观察中检索潜在的高频模型。在本文中，我们研究了混合频率数据的Johansen（1995）矢量误差校正模型中的参数可识别性。我们证明，从滞后n处进行差异后，从封锁过程的第二矩（n是慢速采样率），高频系统的参数通常是确定的。我们处理库存和流案例以及确定性术语。
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.
