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most citedThe Canonical Decomposition of Factor Models: Weak Factors are Everywhere

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econ.EM2022

Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR

Philipp Gersing, Leopold Soegner, Manfred Deistler

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 mix…