dc.contributor.author | Bonhomme, Stéphane | de |
dc.contributor.author | Robin, Jean-Marc | de |
dc.date.accessioned | 2011-02-01T02:56:00Z | de |
dc.date.accessioned | 2012-08-30T06:49:11Z | |
dc.date.available | 2012-08-30T06:49:11Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/21408 | |
dc.description.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 data on cognitive test scores, and financial data on stock returns. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Sozialwissenschaften, Soziologie | de |
dc.subject.ddc | Social sciences, sociology, anthropology | en |
dc.subject.ddc | Economics | en |
dc.subject.other | Independent Component Analysis; Factor Analysis; High-order moments; Noisy ICA; JEL Classification: C14. | |
dc.title | Consistent noisy independent component analysis | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 149 | de |
dc.publisher.country | NLD | |
dc.source.issue | 1 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Erhebungstechniken und Analysetechniken der Sozialwissenschaften | de |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods | en |
dc.subject.thesoz | Faktorenanalyse | de |
dc.subject.thesoz | factor analysis | en |
dc.subject.thesoz | linear model | en |
dc.subject.thesoz | lineares Modell | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-214088 | de |
dc.date.modified | 2011-02-01T13:05:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
internal.identifier.thesoz | 10051231 | |
internal.identifier.thesoz | 10035494 | |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 12-25 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 10105 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 300 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2008.12.019 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | UNCERTAIN | |