Identification of continuous time rational expectations models from discrete time data

Lars Hansen and Thomas Sargent

No 73, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: This paper shows how the cross-equation restrictions implied by dynamic rational expectations models can be used to resolve the aliasing identification problem. Using a continuous time, linear-quadratic optimization environment, this paper describes how the resulting restrictions are sufficient to identify the parameters of the underlying continuous time process when it is known that the true continuous time process has a rational spectral density matrix.

Date: 1983
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