When It Counts—Econometric Identification of the Basic Factor Model Based on GLT Structures

Unidades Organizacionais

Resumo

Despite the popularity of factor models with simple loading matrices, little attention has been given to formally address the identifiability of these models beyond standard rotation-based identification such as the positive lower triangular (PLT) constraint. To fill this gap, we review the advantages of variance identification in simple factor analysis and introduce the generalized lower triangular (GLT) structures. We show that the GLT assumption is an improvement over PLT without compromise: GLT is also unique but, unlike PLT, a non-restrictive assumption. Furthermore, we provide a simple counting rule for variance identification under GLT structures, and we demonstrate that within this model class, the unknown number of common factors can be recovered in an exploratory factor analysis. Our methodology is illustrated for simulated data in the context of post-processing posterior draws in sparse Bayesian factor analysis.

Palavras-chave

Identifiability; Sparsity; Rank deficiency; Rotational invariance; Variance identification
Vínculo institucional

Titulo de periódico

Econometrics
DOI

Título de Livro

URL na Scopus

Idioma

Inglês

Notas

Membros da banca

Área do Conhecimento CNPQ

CIENCIAS EXATAS E DA TERRA::MATEMATICA

CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA

ENGENHARIAS::ENGENHARIA ELETRICA

CIENCIAS EXATAS E DA TERRA::CIENCIA DA COMPUTACAO

Citação

Avaliação

Revisão

Suplementado Por

Referenciado Por