Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments
AbstractIn moment structure analysis with nonnormal data, asymptotic valid inferences require the computation of a consistent (under general distributional assumptions) estimate of the matrix $\Gamma$ of asymptotic variances of sample second--order moments. Such a consistent estimate involves the fourth--order sample moments of the data. In practice, the use of fourth--order moments leads to computational burden and lack of robustness against small samples. In this paper we show that, under certain assumptions, correct asymptotic inferences can be attained when $\Gamma$ is replaced by a matrix $\Omega$ that involves only the second-- order moments of the data. The present paper extends to the context of multi--sample analysis of second--order moment structures, results derived in the context of (simple--sample) covariance structure analysis (Satorra and Bentler, 1990). The results apply to a variety of estimation methods and general type of statistics. An example involving a test of equality of means under covariance restrictions illustrates theoretical aspects of the paper.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 16.
Date of creation: Jun 1992
Date of revision:
Contact details of provider:
Web page: http://www.econ.upf.edu/
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dijkstra, Theo, 1983. "Some comments on maximum likelihood and partial least squares methods," Journal of Econometrics, Elsevier, vol. 22(1-2), pages 67-90.
- Satorra, Albert & Bentler, Peter M., 1990. "Model conditions for asymptotic robustness in the analysis of linear relations," Computational Statistics & Data Analysis, Elsevier, vol. 10(3), pages 235-249, December.
- Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
- Anderson, T. W., 1989. "Linear latent variable models and covariance structures," Journal of Econometrics, Elsevier, vol. 41(1), pages 91-119, May.
- Albert Satorra, 1989. "Alternative test criteria in covariance structure analysis: A unified approach," Psychometrika, Springer, vol. 54(1), pages 131-151, March.
- Satorra, Albert, 1992.
"The variance matrix of sample second-order moments in multivariate linear relations,"
Statistics & Probability Letters,
Elsevier, vol. 15(1), pages 63-69, September.
- Albert Satorra, 1992. "The variance matrix of sample second-order moments in multivariate linear relations," Economics Working Papers 8, Department of Economics and Business, Universitat Pompeu Fabra.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.