Consistent noisy independent component analysis

Stéphane Bonhomme () and Jean-Marc Robin

No CWP04/08, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

We study linear factor models under the assumptions that factors are mutually independent and independent of errors, and errors can be correlated to some extent. Under factor non-Gaussianity, second to fourth-order moments are shown to yield full identification of the matrix of factor loadings. We develop a simple algorithm to estimate the matrix of factor loadings from these moments. We run Monte Carlo simulations and apply our methodology to British data on cognitive test scores.

JEL-codes: C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2008-02
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Related works:
Journal Article: Consistent noisy independent component analysis (2009)
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