Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79990
Authors: 
Pape, Markus
Aßmann, Christian
Boysen-Hogrefe, Jens
Year of Publication: 
2013
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2013: Wettbewerbspolitik und Regulierung in einer globalen Wirtschaftsordnung - Session: Mathematical and Quantitative Methods F20-V2
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. Identi cation 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.
JEL: 
C11
C31
C38
Document Type: 
Conference Paper

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