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Fitting arma time series by structural equation models

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  • Stef Buuren

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    File URL: http://hdl.handle.net/10.1007/BF02295276
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    Bibliographic Info

    Article provided by Springer in its journal Psychometrika.

    Volume (Year): 62 (1997)
    Issue (Month): 2 (June)
    Pages: 215-236

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    Handle: RePEc:spr:psycho:v:62:y:1997:i:2:p:215-236

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    Web page: http://www.springerlink.com/link.asp?id=112911

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    Related research

    Keywords: lagged variables; Box-Jenkins model; covariance structures; PROC CALIS; intervention analysis; autocorrelation;

    References

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    1. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer, vol. 57(3), pages 333-349, September.
    2. Peter Molenaar, 1985. "A dynamic factor model for the analysis of multivariate time series," Psychometrika, Springer, vol. 50(2), pages 181-202, June.
    3. Michael Browne, 1992. "Circumplex models for correlation matrices," Psychometrika, Springer, vol. 57(4), pages 469-497, December.
    4. P. Bentler & David Weeks, 1980. "Linear structural equations with latent variables," Psychometrika, Springer, vol. 45(3), pages 289-308, September.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    6. Geweke, John F & Singleton, Kenneth J, 1981. "Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 37-54, February.
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    Cited by:
    1. Guangjian Zhang & Sy-Miin Chow & Anthony Ong, 2011. "A Sandwich-Type Standard Error Estimator of SEM Models with Multivariate Time Series," Psychometrika, Springer, vol. 76(1), pages 77-96, January.

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