2009/07/29 by Stéphane Bonhomme, Jean‐Marc Robin · 1 citation
Economics, Econometrics and Finance · #Spatial and Panel Data Analysis #Monetary Policy and Economic Impact #Economic theories and models
paper · doi:10.1111/j.1467-937x.2009.00577.x
openalex publication_date 2009/07/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/22
In this paper, we construct a non-parametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows estimation of the distributions of up to L(L+ 1)/2 factors given L measurements. The estimator uses empirical characteristic functions, like many available deconvolution estimators. We show that it is consistent, and derive asymptotic convergence rates. Monte Carlo simulations show good finite-sample performance, less so if distributions are highly skewed or leptokurtic. We finally apply the generalized deconvolution procedure to decompose individual log earnings from the panel study of income dynamics (PSID) into permanent and transitory components.