<p><p><p>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.</p></p></p>
Authors
Jean-Marc Robin
Jean-Marc is a Research Fellow of the IFS and a Professor of Economics at Sciences Po, Paris, and University College London.
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