Philipp Gersing, Leopold Soegner, Manfred Deistler
arXiv 12 Apr 2022 · Econometrics · publishedMetrika (2025)
arXiv:2204.05952 · PDF · DOI · OpenAlex · Extracted main text
The "REtrieval from MIxed Sampling" (REMIS) approach based on blocking developed in Anderson et al. (2016a) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector error correction model for mixed frequency data. We prove that from the second moments of the blocked process after taking differences at lag N (N is the slow sampling rate), the parameters of the high frequency system are generically identified. We treat the stock and the flow case as well as deterministic terms.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chambers, M. J (2020) Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data | 0.909 | 12 | 7 | 75% |
| 2 | Anderson, B., Deistler, M., Felsenstein, E., Funovits, B., and Zaman… (2016) Multivariate AR systems and mixed frequency data: g-identifiability and estimation self | 0.849 | 18 | 9 | 61% |
| 3 | Deistler, M. and Scherrer, W (2022) Time Series Models self | 0.843 | 4 | 4 | 75% |
| 4 | Johansen, S (1995) Likelihood-based Inference in Cointegrated Vector Autoregressive Models | 0.794 | 10 | 8 | 50% |
| 5 | Miller, J. I (2016) Conditionally efficient estimation of long-run relationships using mixed-frequency time series | 0.737 | 5 | 3 | 40% |
| 6 | Deistler, M. and Seifert, H.-G (1978) Identifiability and consistent estimability in econometric models self | 0.737 | 3 | 2 | 100% |
| 7 | Hannan, E. and Deistler, M (2012) The Statistical Theory of Linear Systems self | 0.721 | 8 | 5 | 38% |
| 8 | Bauer, D. and Wagner, M (2012) A state space canonical form for unit root processes | 0.693 | 6 | 4 | 33% |
| 9 | Anderson, B., Deistler, M., Felsenstein, E., and Koelbl, L (2016) The structure of multivariate AR and ARMA systems: Regular and singular systems, the single and the mixed frequency case self | 0.644 | 2 | 2 | 100% |
| 10 | Gabrielsen, A (1978) Consistency and identifiability | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 28 scored citations.