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The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities

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Author Info
Hansen, Lars Peter
Sargent, Thomas J

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 51 (1983)
Issue (Month): 2 (March)
Pages: 377-87
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Handle: RePEc:ecm:emetrp:v:51:y:1983:i:2:p:377-87

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis. [Downloadable!]
  2. Lars Peter Hansen & Thomas J. Sargent, 1983. "Identification of continuous time rational expectations models from discrete time data," Staff Report 73, Federal Reserve Bank of Minneapolis. [Downloadable!]
  3. Phillips, P C B, 1974. "The Estimation of Some Continuous Time Models," Econometrica, Econometric Society, vol. 42(5), pages 803-23, September. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jeremy Berkowitz, 2000. "On identification of continuous time stochastic processes," Finance and Economics Discussion Series 2000-07, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis. [Downloadable!]
  3. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency domain gaussian estimation of temporally aggregated cointegrated systems," Discussion Paper 40, Tilburg University, Center for Economic Research. [Downloadable!]
  4. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," University of California at Los Angeles, Anderson Graduate School of Management 1155, Anderson Graduate School of Management, UCLA. [Downloadable!]
    Other versions:
  5. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
  6. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Yacine Ait-Sahalia, 2002. "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers 8956, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Lawrence J. Christiano & Martin Eichenbaum & David Marshall, 1987. "The Permanent Income Hypothesis Revisited," NBER Working Papers 2209, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. M. Kessler & A. Rahbek, 2004. "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 137-151, May. [Downloadable!] (restricted)
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