Kotlarski with a factor loading

نویسندگان

چکیده

This note extends the Kotlarski (1967) Lemma to show exactly what is identified when we allow for an unknown factor loading on common unobserved factor. That is, this completely characterizes identification of model Y = cV + U and X V W, where joint distribution known, while constant c mutually independent random variables V, U, W are unobserved. Potential applications include measurement error models panel data models.

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ژورنال

عنوان ژورنال: Journal of Econometrics

سال: 2022

ISSN: ['1872-6895', '0304-4076']

DOI: https://doi.org/10.1016/j.jeconom.2020.12.012