2018/08/28 by Kengo Kato, Kato, Kengo, Yuya Sasaki +3
Economics, Econometrics and Finance · #Econometrics (econ.EM) #Economic theories and models #FOS: Economics and business #Italy: Economic History and Contemporary Issues #Monetary Policy and Economic Impact #econ.EM
paper · pdf · doi:10.48550/arxiv.1808.09375
openalex publication_date 2018/08/28 · arxiv created 2019/09/08 · arxiv updated 2019/09/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Kotlarski's identity has been widely used in applied economic research. However, how to conduct inference based on this popular identification approach has been an open question for two decades. This paper addresses this open problem by constructing a novel confidence band for the density function of a latent variable in repeated measurement error model. The confidence band builds on our finding that we can rewrite Kotlarski's identity as a system of linear moment restrictions. The confidence band controls the asymptotic size uniformly over a class of data generating processes, and it is consistent against all fixed alternatives. Simulation studies support our theoretical results.