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Kotlarski with a factor loading

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  • Lewbel, Arthur

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.

Suggested Citation

  • Lewbel, Arthur, 2022. "Kotlarski with a factor loading," Journal of Econometrics, Elsevier, vol. 229(1), pages 176-179.
    • Handle: RePEc:eee:econom:v:229:y:2022:i:1:p:176-179
    DOI: 10.1016/j.jeconom.2020.12.012
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    Cited by:

    1. Battistin, Erich & Lamarche, Carlos & Rettore, Enrico, 2020. "Quantiles of the Gain Distribution of an Early Child Intervention," CEPR Discussion Papers 14721, C.E.P.R. Discussion Papers.

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    More about this item

    Keywords

    Kotlarski; Deconvolution; Factor models; Measurement error;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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