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Home | Events Archive | Inference based on Kotlarski's Identity

Inference based on Kotlarski's Identity

  • Series
    Econometrics Seminars and Workshop Series
  • Speaker(s)
    Yuya Sasaki (Vanderbilt University, United States)
  • Field
  • Location
    UvA - E-building, Roetersstraat 11, Room: E5.22
  • Date and time

    May 10, 2019
    16:00 - 17:15

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.

This is joint work with: Kengo Kato (Cornell) and Takuya Ura (UCDavis).