Identifying relevant and irrelevant variables in sparse factor models (replication data)

DOI

This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the irrelevant ones-are not. We estimate the factor model within a Bayesian framework, specifying a sparse prior distribution for the factor loadings. Based on identified posterior factor loading estimates, we provide alternative methods to identify relevant and irrelevant variables. Simulations show that both types of variables are identified quite accurately. Empirical estimates for a large multi-country GDP dataset and a disaggregated inflation dataset for the USA show that a considerable share of variables is irrelevant for factor estimation.

Identifier
DOI https://doi.org/10.15456/jae.2022326.0705212903
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775431
Provenance
Creator Kaufmann, Sylvia; Schumacher, Christian
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2017
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics