Three Essays on Bayesian Factor Models

The present dissertation consists of three stand-alone research papers that all deal with factor models from a Bayesian perspective, both in a theoretical and an empirical setup. More precisely, the thesis is organized in a progressive way as follows: Chapter 1 briefly presents the general framework of the model used throughout the thesis, and surveys the simulation methods that can be implemented to conduct Bayesian inference in this kind of model. Chapters 2 and 3 introduce some important theoretical variations extending the original setup presented in Chapter 1, and illustrate how factor structure models can be empirically applied to assess the importance of cognitive and noncognitive skills in explaining various outcomes of interest.