Econometrica: Mar 1983, Volume 51, Issue 2
The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
Lars Peter Hansen, Thomas J. SargentThis 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 time series data.
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