Fiche du document
- handle: 10670/1.6fldpj
- hal: hal-01022621
- doi: 10.1016/j.jeconom.2008.12.019
- SCIENCESPO: 2441/eu4vqp9ompqllr09j01si09a2
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jeconom.2008.12.019
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/hdl/2441/eu4vqp9ompqllr09j01si09a2
info:eu-repo/semantics/OpenAccess
Sujets proches
MistakesCiter ce document
Jean-Marc Robin et al., « Consistent Noisy Independent Component Analysis », Archive ouverte de Sciences Po (SPIRE), ID : 10.1016/j.jeconom.2008.12.019
Métriques
Partage / Export
Résumé
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.