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Dynamic latent variables path models : an alternative PLS estimation

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  • Hans Gerhard Strohe

Abstract

In this paper a partial least squares (PLS) approach to dynamic modelling with latent variables is proposed. Let Y be a matrix of manifest variables and H the matrix of the corresponding latent variables. And let H = BH+ε be a structural PLS model with a coefficient matrix B. Then this model can be made a dynamic one by substituting for B a matrix F = B + CL containing the lag operator L. Then the structural dynamic model H = FH+ε is formally estimated like an ordinary PLS model. In an exploratory way the model can be used for forecasting purposes. The procedure is being programmed in ISP.

Suggested Citation

  • Hans Gerhard Strohe, 1995. "Dynamic latent variables path models : an alternative PLS estimation," Statistische Diskussionsbeiträge 1, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
    • Handle: RePEc:pot:statdp:1
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    File URL: http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-29498
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    Keywords

    PLS; dynamic models; path models;
    All these keywords.

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