Kotlarski with a Factor Loading

Arthur Lewbel

No 1001, Boston College Working Papers in Economics from Boston College Department of Economics

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. Potential applications include measurement error models and panel data factor models.

Keywords: unobserved factor; factor loading (search for similar items in EconPapers)
Date: 2020-04-15, Revised 2020-12-15
New Economics Papers: this item is included in nep-ecm
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Journal Article: Kotlarski with a factor loading (2022)
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