Kotlarski with a factor loading

Arthur Lewbel

Journal of Econometrics, 2022, vol. 229, issue 1, 176-179

Abstract: This note extends the Kotlarski (1967) Lemma to show exactly what is identified when we allow for an unknown factor loading on the common unobserved factor. That is, this note completely characterizes identification of the model Y = cV + U and X = V + W, where the joint distribution of Y and X is known, while the constant c and the mutually independent random variables V, U, and W are unobserved. Potential applications include measurement error models and panel data factor models.

Keywords: Kotlarski; Deconvolution; Factor models; Measurement error (search for similar items in EconPapers)
JEL-codes: C14 C30 (search for similar items in EconPapers)
Date: 2022
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Working Paper: Kotlarski with a Factor Loading (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:229:y:2022:i:1:p:176-179

DOI: 10.1016/j.jeconom.2020.12.012

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