{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,2]],"date-time":"2026-07-02T08:05:50Z","timestamp":1782979550295,"version":"3.54.5"},"reference-count":34,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2015,12,22]],"date-time":"2015-12-22T00:00:00Z","timestamp":1450742400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2017,6]]},"abstract":"<jats:p>This paper revisits the question of parameter identification when a linear continuous time model is sampled only at equispaced points in time. Following the framework and assumptions of Phillips (1973), we consider models characterized by first-order, linear systems of stochastic differential equations and use a priori restrictions on the model parameters as identifying restrictions. A practical rank condition is derived to test whether any particular collection of at least <jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466615000353_inline1\"\/><jats:tex-math>$\\left\\lfloor {n\/2} \\right\\rfloor$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula> general linear restrictions on the parameter matrix is sufficient for identification. We then consider extensions to incorporate prior restrictions on the covariance matrix of the disturbances, to identify the covariance matrix itself, and to address identification in models with cointegration.<\/jats:p>","DOI":"10.1017\/s0266466615000353","type":"journal-article","created":{"date-parts":[[2015,12,22]],"date-time":"2015-12-22T11:36:36Z","timestamp":1450784196000},"page":"739-754","source":"Crossref","is-referenced-by-count":11,"title":["IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA"],"prefix":"10.1017","volume":"33","author":[{"given":"Jason R.","family":"Blevins","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2015,12,22]]},"reference":[{"key":"S0266466615000353_ref3","volume-title":"Handbook of Financial Econometrics","volume":"1","author":"Bandi","year":"2009"},{"key":"S0266466615000353_ref16","doi-asserted-by":"crossref","first-page":"377","DOI":"10.2307\/1911996","article-title":"The dimensionality of the aliasing problem in models with rational spectral densities","volume":"51","author":"Hansen","year":"1983","journal-title":"Econometrica"},{"key":"S0266466615000353_ref4","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511806636","volume-title":"Financial Calculus: An Introduction to Derivative Pricing","author":"Baxter","year":"1996"},{"key":"S0266466615000353_ref2","author":"Arcidiacono","year":"2012"},{"key":"S0266466615000353_ref10","doi-asserted-by":"crossref","first-page":"524","DOI":"10.1112\/jlms\/s2-6.3.524","article-title":"The logarithm function for finite-state Markov semi-groups","author":"Cuthbert","year":"1973","journal-title":"Journal of the London Mathematical Society"},{"key":"S0266466615000353_ref15","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1080\/0022250X.1991.9990088","article-title":"Problems with the estimation of stochastic differential equations using structural equations models","volume":"16","author":"Hamerle","year":"1991","journal-title":"Journal of Mathematical Sociology"},{"key":"S0266466615000353_ref14","doi-asserted-by":"crossref","first-page":"643","DOI":"10.2307\/1914238","article-title":"Temporal aggregation in the multiple regression model","volume":"46","author":"Geweke","year":"1978","journal-title":"Econometrica"},{"key":"S0266466615000353_ref33","doi-asserted-by":"crossref","first-page":"395","DOI":"10.1109\/TAC.1978.1101743","article-title":"Computing integrals involving the matrix exponential","volume":"23","author":"Van Loan","year":"1978","journal-title":"IEEE Transactions on Automatic Control"},{"key":"S0266466615000353_ref9","doi-asserted-by":"crossref","first-page":"623","DOI":"10.1112\/jlms\/s2-4.4.623","article-title":"On uniqueness of the logarithm for Markov semi-groups","author":"Cuthbert","year":"1972","journal-title":"Journal of the London Mathematical Society"},{"key":"S0266466615000353_ref26","doi-asserted-by":"crossref","first-page":"967","DOI":"10.2307\/2938169","article-title":"Error correction and long-run equilibrium in continuous time","volume":"59","author":"Phillips","year":"1991","journal-title":"Econometrica"},{"key":"S0266466615000353_ref23","unstructured":"Phillips, P.C.B. 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