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Kotlarski with a Factor Loading

Author

Listed:
  • Arthur Lewbel

    (Boston College)

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.

Suggested Citation

  • Arthur Lewbel, 2020. "Kotlarski with a Factor Loading," Boston College Working Papers in Economics 1001, Boston College Department of Economics, revised 15 Dec 2020.
    • Handle: RePEc:boc:bocoec:1001
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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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    Keywords

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    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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