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Consistent Noisy Independent Component Analysis

Author

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  • Jean-Marc Robin

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

  • Stéphane Bonhomme

    (CEMFI - Centro de Estudios Monetarios y Financieros)

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.

Suggested Citation

  • Jean-Marc Robin & Stéphane Bonhomme, 2009. "Consistent Noisy Independent Component Analysis," Post-Print hal-01022621, HAL.
    • Handle: RePEc:hal:journl:hal-01022621
    DOI: 10.1016/j.jeconom.2008.12.019
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01022621
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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