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Economics > Econometrics

arXiv:2204.05952 (econ)
[Submitted on 12 Apr 2022 (v1), last revised 6 Jul 2023 (this version, v2)]

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

Authors:Philipp Gersing, Leopold Soegner, Manfred Deistler
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Abstract: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.
Subjects: Econometrics (econ.EM); Statistics Theory (math.ST)
Cite as: arXiv:2204.05952 [econ.EM]
  (or arXiv:2204.05952v2 [econ.EM] for this version)
  https://doi.org/10.48550/arXiv.2204.05952

Submission history

From: Philipp Gersing [view email]
[v1] Tue, 12 Apr 2022 17:09:10 UTC (37 KB)
[v2] Thu, 6 Jul 2023 15:15:18 UTC (51 KB)
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