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 time series data.
MLA
Hansen, Lars Peter, and Thomas J. Sargent. “The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities.” Econometrica, vol. 51, .no 2, Econometric Society, 1983, pp. 377-388, https://www.jstor.org/stable/1911996
Chicago
Hansen, Lars Peter, and Thomas J. Sargent. “The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities.” Econometrica, 51, .no 2, (Econometric Society: 1983), 377-388. https://www.jstor.org/stable/1911996
APA
Hansen, L. P., & Sargent, T. J. (1983). The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities. Econometrica, 51(2), 377-388. https://www.jstor.org/stable/1911996
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