Kotlarski with a Factor Loading
Arthur Lewbel ()
No 1001, Boston College Working Papers in Economics from Boston College Department of Economics
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. Potential applications include measurement error models and panel data factor models.
Keywords: unobserved factor; factor loading (search for similar items in EconPapers)
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