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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," SciencePo Working papers Main hal-01022621, HAL.
    • Handle: RePEc:hal:spmain:hal-01022621
    DOI: 10.1016/j.jeconom.2008.12.019
    Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-01022621
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    Cited by:

    1. Neto, David, 2022. "Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropy," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    2. Susanne M. Schennach, 2012. "Measurement error in nonlinear models - a review," CeMMAP working papers CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Oliver Cassagneau-Francis, 2022. "Revisiting the Returns to Higher Education: Heterogeneity by Cognitive and Non-Cognitive Abilities," Working Papers hal-04067399, HAL.
    4. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
    5. Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014. "Nonparametric estimation of finite measures," CeMMAP working papers CWP11/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Oliver Cassagneau-Francis, 2022. "Revisiting the Returns to Higher Education: Heterogeneity by Cognitive and Non-Cognitive Abilities," SciencePo Working papers Main hal-04067399, HAL.

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