Conti, Gabriella; Fruehwirth-Schnatter, Sylvia; … - Becker Friedman Institute for Research in Economics, … - 2014
This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on \emph{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...