Identification of Continuous Time Rational Expectations Models From Discrete Time Data

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Creator Series Issue number
  • 073
Date Created
  • 1983-03
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.

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  • Federal Reserve Bank of Minneapolis. Research Department
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  • Federal Reserve Bank of Minneapolis
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