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The "REtrieval from MIxed Sampling" (REMIS) approach based on blockingdeveloped in Anderson et al. (2016a) is concerned with retrieving an underlyinghigh frequency model from mixed frequency observations. In this paper weinvestigate parameter-identifiability in the Johansen (1995) vector errorcorrection model for mixed frequency data. We prove that from the secondmoments of the blocked process after taking differences at lag N (N is the slowsampling rate), the parameters of the high frequency system are genericallyidentified. We treat the stock and the flow case as well as deterministicterms.

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