Identifiability of regular and singular multivariate autoregressive models from mixed frequency data

Abstract

This paper is concerned with identifiability of an underlying high frequency multivariate AR system from mixed frequency observations. Such problems arise for instance in economics when some variables are observed monthly whereas others are observed quarterly. If we have identifiability, the system and noise parameters and thus all second moments of the output process can be estimated consistently from mixed frequency data. Then linear least squares methods for forecasting and interpolating nonobserved output variables can be applied. Two ways for guaranteeing generic identifiability are discussed. Show more