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Consistent noisy independent component analysis

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Author Info
Bonhomme, Stphane
Robin, Jean-Marc

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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 the 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 data on cognitive test scores, and financial data on stock returns.

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Publisher Info
Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 149 (2009)
Issue (Month): 1 (April)
Pages: 12-25
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Handle: RePEc:eee:econom:v:149:y:2009:i:1:p:12-25

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Web page: http://www.elsevier.com/locate/jeconom

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Related research
Keywords: Independent Component Analysis Factor Analysis High-order moments Noisy ICA;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Ab Mooijaart, 1985. "Factor analysis for non-normal variables," Psychometrika, Springer, vol. 50(3), pages 323-342, September. [Downloadable!] (restricted)
  2. Forni, Mario & Reichlin, Lucrezia, 1998. "Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 453-73, July. [Downloadable!] (restricted)
  3. Carneiro, Pedro & Hansen, Karsten & Heckman, James, 2003. "Estimating distributions of treatment effects with an application to the returns to schooling and measurement of the effects of uncertainty on college choice," Working Paper Series 2003:9, IFAU - Institute for Labour Market Policy Evaluation. [Downloadable!]
    Other versions:
  4. James J. Heckman & Jora Stixrud & Sergio Urzua, 2006. "The Effects of Cognitive and Noncognitive Abilities on Labor Market Outcomes and Social Behavior," NBER Working Papers 12006, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. John M. Barron & Mark C. Berger & Dan A. Black, 2006. "Selective Counteroffers," Journal of Labor Economics, University of Chicago Press, vol. 24(3), pages 385-410, July. [Downloadable!]
  6. Henry Kaiser, 1958. "The varimax criterion for analytic rotation in factor analysis," Psychometrika, Springer, vol. 23(3), pages 187-200, September. [Downloadable!] (restricted)
  7. Robin, J.M. & Smith, R.J., 1995. "Tests of Rank," Cambridge Working Papers in Economics 9521, Faculty of Economics, University of Cambridge.
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    • Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, vol. 16(02), pages 151-175, April. [Downloadable!]
  8. Dagenais, Marcel G. & Dagenais, Denyse L., 1997. "Higher moment estimators for linear regression models with errors in the variables," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 193-221. [Downloadable!] (restricted)
  9. Arthur Lewbel, 1997. "Constructing Instruments for Regressions with Measurement Error when no Additional Data are Available, with an Application to Patents and R&D," Econometrica, Econometric Society, vol. 65(5), pages 1201-1214, September.
  10. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Generalized nonparametric deconvolution with an application to earnings dynamics," CeMMAP working papers CWP03/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  11. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September. [Downloadable!] (restricted)
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  12. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January. [Downloadable!] (restricted)
  13. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Generalized nonparametric deconvolution with an application to earnings dynamics," CeMMAP working papers CWP03/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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