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Kotlarski with a factor loading?
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DOI：10.1016/j.jeconom.2020.12.012.png)
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Abstract
En 中文
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. (C) 2021 Elsevier B.V. All rights reserved.
Keywords:
Kotlarski
Deconvolution
Factor models
Measurement error
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