The dimensionality of the aliasing problem in models with rational spectral densities
AbstractThis paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data. It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models. It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of the time series data.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 72.
Date of creation: 1981
Date of revision:
Other versions of this item:
- Hansen, Lars Peter & Sargent, Thomas J, 1983. "The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities," Econometrica, Econometric Society, vol. 51(2), pages 377-87, March.
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- Phillips, P C B, 1974. "The Estimation of Some Continuous Time Models," Econometrica, Econometric Society, vol. 42(5), pages 803-23, September.
- 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.
- 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.
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