Bayesian Exploratory Factor Analysis

75 Pages Posted: 2 Aug 2014

See all articles by Gabriella Conti

Gabriella Conti

University of Chicago

Sylvia Fruhwirth-Schnatter

Johannes Kepler University - Department of Applied Statistics and Econometrics

James J. Heckman

University of Chicago - Department of Economics; National Bureau of Economic Research (NBER); American Bar Foundation; Institute for the Study of Labor (IZA); CESifo (Center for Economic Studies and Ifo Institute)

Remi Piatek

University of Chicago

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.

Keywords: Bayesian factor models, exploratory factor analysis, identifiability, marginal data augmentation, model expansion, model selection

JEL Classification: C11, C38, C63

Suggested Citation

Conti, Gabriella and Fruhwirth-Schnatter, Sylvia and Heckman, James J. and Piatek, Rémi, Bayesian Exploratory Factor Analysis. IZA Discussion Paper No. 8338. Available at SSRN: https://ssrn.com/abstract=2475306

Gabriella Conti (Contact Author)

University of Chicago ( email )

1101 East 58th Street
Chicago, IL 60637
United States

Sylvia Fruhwirth-Schnatter

Johannes Kepler University - Department of Applied Statistics and Econometrics ( email )

Altenbergerstrasse 69
Linz
Austria

James J. Heckman

University of Chicago - Department of Economics ( email )

1126 East 59th Street
Chicago, IL 60637
United States
773-702-0634 (Phone)
773-702-8490 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

American Bar Foundation

750 N. Lake Shore Drive
Chicago, IL 60611
United States

Institute for the Study of Labor (IZA)

P.O. Box 7240
Bonn, D-53072
Germany

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Rémi Piatek

University of Chicago ( email )

1101 East 58th Street
Chicago, IL 60637
United States

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