Starjournal Quotation Conti, Gabriella, Frühwirth-Schnatter, Sylvia, Heckman, James J., Piatek, Rémi. 2014. Bayesian exploratory factor analysis. Journal of Econometrics 183 (1), 31-57.


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Abstract

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the corresponding factor loadings. Classical identification criteria are applied and integrated into our Bayesian procedure to generate models that are stable and clearly interpretable. A Monte Carlo study confirms the validity of the approach. The method is used to produce interpretable low dimensional aggregates from a high dimensional set of psychological measurements.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Econometrics
Citation Index SSCI
WU Journalrating 2009 A+
Starjournal Y
Language English
Title Bayesian exploratory factor analysis
Volume 183
Number 1
Year 2014
Page from 31
Page to 57
Reviewed? Y
URL http://www.sciencedirect.com/science/article/pii/S0304407614001493
DOI http://dx.doi.org/10.1016/j.jeconom.2014.06.008

Associations

People
Frühwirth-Schnatter, Sylvia (Details)
External
Conti, Gabriella
Heckman, James J.
Piatek, Rémi
Organization
Institute for Statistics and Mathematics IN (Details)
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