Instrumental variable estimation for nonlinear factor analysis

A general nonlinear model for factor analysis is proposed and discussed. Issues associated with the use of the model are discussed, including the identification problem. A single-equation model fitting procedure based on instrumental variable approach is introduced. The procedure includes an adjustment designed to reduce the bias due to the nonlinearity of the model. Theoretical results based on the small-error asymptotics are presented in support of the procedure and the bias adjustment. An illustrative example is also given.

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