  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.
