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The dimensionality of the aliasing problem in models with rational spectral densities

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  • Lars Peter Hansen
  • Thomas J. Sargent

Abstract

This 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.

Suggested Citation

  • Lars Peter Hansen & Thomas J. Sargent, 1981. "The dimensionality of the aliasing problem in models with rational spectral densities," Staff Report 72, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:72
    DOI: 10.21034/sr.72
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    References listed on IDEAS

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    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.
    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.
    3. Phillips, P C B, 1974. "The Estimation of Some Continuous Time Models," Econometrica, Econometric Society, vol. 42(5), pages 803-823, September.
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