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Journal Articles Journal of Applied Econometrics Year : 2009

Consistent Noisy Independent Component Analysis

Jean-Marc Robin
Stéphane Bonhomme
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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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Dates and versions

hal-01022621 , version 1 (10-07-2014)

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Jean-Marc Robin, Stéphane Bonhomme. Consistent Noisy Independent Component Analysis. Journal of Applied Econometrics, 2009, pp.1-45. ⟨10.1016/j.jeconom.2008.12.019⟩. ⟨hal-01022621⟩
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