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Type: Journal Articles Authors: Bonhomme, Stephane and Jean-Marc Robin
Published in: Journal of Econometrics
Volume, issue, pages: Vol. 149, No. 1, pp. 12-25
Previous version: cemmap Working Papers [Details]
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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