Diagnostics of the error factor covariances

Hajdu, Ottó (2004) Diagnostics of the error factor covariances. Hungarian Statistical Review, 82 (SN9). pp. 68-94. ISSN 0039-0690

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Abstract

In this paper we explore initial simple factor structure by the means of the so-called ‘EPIC’ factor extraction method and the ‘orthosim’ orthogonal rotational strategy. Then, the results are tested by confirmative factor analysis based on iteratively reweighted least squares on the one hand and asymptotically distribution free estimation on the other hand. Besides, based on multivariate kurtosis measures, multivariate normality is also investigated to see whether the use of the IWLS method is appropriate or a robust ADF estimator with relatively larger standard error is preferred. Finally, the paper draws attention that confidence intervals for the non-centrality based goodness of fit measures are available.

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