IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS*
指出Gardeazabal等人提出的连续时间汇率模型存在不可识别问题，并讨论了该问题对资产市场汇率模型的影响，适合关注汇率模型识别与估计的学者阅读。
This article is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the continuous‐time model proposed by Gardeazabal, Regúlez, and Vázquez ( International Economic Review 38 (1997), 389–404) is not identified and that this property is characteristic of the discrete‐time representation of the model that they used as the basis for estimation by simulated method of moments. We briefly discuss the implications of this result in the context of the asset‐market model of exchange rates with unobservable fundamentals.