Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem

DOI10.1016/j.jeconom.2015.10.010zbMath1419.62147OpenAlexW2225934353MaRDI QIDQ5964758

Markus Pape, Jens Boysen-Hogrefe, Christian Aßmann

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.010

zbMATH Keywords

Bayesian estimationfactor modelsorthogonal transformationmultimodalityordering problemrotation problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (12)

A Mode-Jumping Algorithm for Bayesian Factor Analysis ⋮ Bayesian singular value regularization via a cumulative shrinkage process ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification ⋮ Unnamed Item ⋮ Perturbed factor analysis: accounting for group differences in exposure profiles ⋮ On the identifiability of Bayesian factor analytic models ⋮ Bayesian multidimensional scaling procedure with variable selection ⋮ A Bayesian factor model for spatial panel data with a separable covariance approach ⋮ Bayesian multistudy factor analysis for high-throughput biological data ⋮ A Bayesian precision medicine framework for calibrating individualized therapeutic indices in cancer ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Uses Software

• astsa

Cites Work

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