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Consistent Noisy Independent Component Analysis

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  • Jean-Marc Robin

    (UCL Department of Economics)

  • Stéphane Bonhomme

    (CEMFI)

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.

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File URL: http://spire.sciencespo.fr/hdl:/2441/eu4vqp9ompqllr09j01si09a2/resources/cnicabonhommerobin2008revised.pdf
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Bibliographic Info

Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/eu4vqp9ompqllr09j01si09a2.

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Date of creation: Jan 2009
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Publication status: Published in Journal of Applied Econometrics, 2009, pp.1-45
Handle: RePEc:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09j01si09a2

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  1. Chudik, Alexander & Pesaran, M. Hashem, 2011. "Infinite-dimensional VARs and factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
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  3. 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.
  4. 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.
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  10. 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 Evaluation of Labour Market and Education Policy.
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  14. Susanne Schennach & Yingyao Hu & Arthur Lewbel, 2007. "Nonparametric identification of the classical errors-in-variables model without side information," CeMMAP working papers CWP14/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  16. Pal, Manoranjan, 1980. "Consistent moment estimators of regression coefficients in the presence of errors in variables," Journal of Econometrics, Elsevier, vol. 14(3), pages 349-364, December.
  17. 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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  20. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, 07.
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Citations

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Cited by:
  1. Manuel Arellano & Stéphane Bonhomme, 2012. "Identifying Distributional Characteristics in Random Coefficients Panel Data Models," Review of Economic Studies, Oxford University Press, vol. 79(3), pages 987-1020.
  2. Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2013. "Nonparametric estimation of finite mixtures," Sciences Po publications 2013-09, Sciences Po.
  3. Stéphane Bonhomme & Jean-Marc Robin, 2010. "Generalized Non-Parametric Deconvolution with an Application to Earnings Dynamics," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 491-533.
  4. Susanne Schennach, 2012. "Measurement error in nonlinear models- a review," CeMMAP working papers CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  6. Stephane 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.

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