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Consistent noisy independent component analysis

Authors: St├ęphane Bonhomme and Jean-Marc Robin
Date: 01 April 2009
Type: Journal article, Journal of Econometrics, Vol. 149, No. 1, pp. 12-25
DOI: 10.1016/j.jeconom.2008.12.019


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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St├ęphane Bonhomme and Jean-Marc Robin February 2008, Consistent noisy independent component analysis, cemmap Working Paper, CWP04/08

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