IDEAS home Printed from
   My bibliography  Save this paper

Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments



In 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.

Suggested Citation

  • Albert Satorra, 1992. "Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments," Economics Working Papers 16, Department of Economics and Business, Universitat Pompeu Fabra.
  • Handle: RePEc:upf:upfgen:16

    Download full text from publisher

    File URL:
    File Function: Whole Paper
    Download Restriction: no

    References listed on IDEAS

    1. Dijkstra, Theo, 1983. "Some comments on maximum likelihood and partial least squares methods," Journal of Econometrics, Elsevier, vol. 22(1-2), pages 67-90.
    2. Robert Jennrich, 1987. "Tableau algorithms for factor analysis by instrumental variable methods," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 469-476, September.
    3. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
    4. Sik-Yum Lee & Kwok-Leung Tsui, 1982. "Covariance structure analysis in several populations," Psychometrika, Springer;The Psychometric Society, vol. 47(3), pages 297-308, September.
    5. 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.
    6. Anderson, T. W., 1989. "Linear latent variable models and covariance structures," Journal of Econometrics, Elsevier, vol. 41(1), pages 91-119, May.
    7. 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.
    8. Albert Satorra, 1989. "Alternative test criteria in covariance structure analysis: A unified approach," Psychometrika, Springer;The Psychometric Society, vol. 54(1), pages 131-151, March.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:16. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.