In this paper, we show that the consistency of closed-loop subspace identification methods (SIMs) can be achieved through innovation estimation. Based on this analysis, a sufficient condition for the consistency of a new proposed closed-loop SIM is given, A consistent estimate of the Kalman gain under closed-loop conditions is also provided based on the algorithm. A multi-input-multi-output simulation shows that itis consistent under closed-loop conditions, when traditional SIMs fail to provide consistent estimates