Kiel Working Papers, Kiel Institute for World Economics
No 1799:
The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach
Christian Aßmann, Jens Boysen-Hogrefe and Markus Pape
Abstract: Due to their well-known indeterminacies, factor models
require identifying assumptions to guarantee unique parameter estimates.
For Bayesian estimation, these identifying assumptions are usually
implemented by imposing constraints on certain model parameters. This
strategy, however, may result in posterior distributions with shapes that
depend on the ordering of cross-sections in the data set. We propose an
alternative approach, which relies on a sampler without the usual
identifying constraints. Identification is reached ex-post based on a
Procrustes transformation. Resulting posterior estimates are ordering
invariant and show favorable properties with respect to convergence and
statistical as well as numerical accuracy
Keywords: Bayesian Estimation; Factor Models; Multimodality; Ordering; Orthogonal Transformation; (follow links to similar papers)
JEL-Codes: C11,; C31,; C38,; C51,; C52; (follow links to similar papers)
42 pages, October 2012
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