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Consistent noisy independent component analysis

  • Stéphane Bonhomme

    ()

    (Institute for Fiscal Studies and University of Chicago)

  • Jean-Marc Robin

    ()

    (Institute for Fiscal Studies and cemmap and Sciences Po)

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://cemmap.ifs.org.uk/wps/cwp408.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP04/08.

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Date of creation: 08 Feb 2008
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Handle: RePEc:ifs:cemmap:04/08
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  2. Susanne M. Schennach & Yingyao Hu & Arthur Lewbel, 2007. "Nonparametric identification of the classical errors-in-variables model without side information," Boston College Working Papers in Economics 674, Boston College Department of Economics.
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  8. 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.
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  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Mario Forni & Lucrezia Reichlin, 1998. "Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 453-473.
  15. 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.
  16. Chudik, Alexander & Pesaran, Hashem, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series 0998, European Central Bank.
  17. 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.
  18. 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.
  19. Erickson, Timothy & Whited, Toni M., 2002. "Two-Step Gmm Estimation Of The Errors-In-Variables Model Using High-Order Moments," Econometric Theory, Cambridge University Press, vol. 18(03), pages 776-799, June.
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