Consistent Noisy Independent Component Analysis

Jean-Marc Robin and Stéphane Bonhomme
Additional contact information
Stéphane Bonhomme: CEMFI - Centro de Estudios Monetarios y Financieros

SciencePo Working papers Main from HAL

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.

Date: 2009-01
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01022621
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Published in Journal of Applied Econometrics, 2009, pp.1-45. ⟨10.1016/j.jeconom.2008.12.019⟩

Downloads: (external link)
https://sciencespo.hal.science/hal-01022621/document (application/pdf)

Related works:
Journal Article: Consistent noisy independent component analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent noisy independent component analysis (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-01022621

DOI: 10.1016/j.jeconom.2008.12.019

Access Statistics for this paper

More papers in SciencePo Working papers Main from HAL
Bibliographic data for series maintained by Contact - Sciences Po Departement of Economics ().