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MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION

Anderson, Brian; Deistler, Manfred; Felsenstein, Elisabeth; Funovits, Bernd; Koelbl, Lukas; Zamani, Mohsen

Description

This paper is concerned with the problem of identifiability of the parameters of a high frequency multivariate autoregressive model from mixed frequency time series data. We demonstrate identifiability for generic parameter values using the population second moments of the observations. In addition we display a constructive algorithm for the parameter values and establish the continuity of the mapping attaching the high frequency parameters to these population second moments....[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
URI: http://hdl.handle.net/1885/102847
Source: Econometric Theory
DOI: 10.1017/S0266466615000043

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