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.

翻译：基于阻塞的“混合抽样频率检索”（REMIS）方法由Anderson等人（2016a）提出，旨在从混合频率观测数据中恢复潜在的高频模型。本文研究了针对混合频率数据的Johansen（1995）向量误差修正模型中的参数可辨识性问题。我们证明，在取N阶差分（N为慢速采样率）后，从阻塞过程的二阶矩出发，高频系统的参数在一般情况下是可辨识的。本文同时处理了存量情形和流量情形，以及确定性项。