The exact covariance matrix of dynamic models with latent variables

被引：1

作者：

Lyhagen, J ^{[1
]}

机构：

[1] Uppsala Univ, Dept Informat Sci, Div Stat, SE-75120 Uppsala, Sweden

来源：

STATISTICS & PROBABILITY LETTERS | 2005年 / 75卷 / 02期

关键词：

dynamic LISREL; covariance matrix;

D O I：

10.1016/j.spl.2005.05.005

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A dynamic time series Llnear Structural RELation (LISREL) model is proposed for the analysis of stationary multivariate time series. The model is suitable not only for macro models, but also for panel data models. The implied covariance matrix is derived and it may be used in exact maximum likelihood estimation. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：133 / 139

页数：7

共 8 条

[1] AIGNER DJ, 1983, HDB EC, V2
[2] A different paradigm for the initial colonisation of Sahul
Allen, Jim
O'Connell, James F.
[J]. ARCHAEOLOGY IN OCEANIA, 2020, 55 (01) : 1 - 14
[3] DAVIES JP, 1979, CIRCULANT MATRICES
[4] Joreskog K. G., 1973, Structural equation models in the social sciences, P85
[5] JUDGE GG, 1985, THEORY PRACTISE ECON
[6] DYNAMIC FACTOR-ANALYSIS OF NONSTATIONARY MULTIVARIATE TIME-SERIES
MOLENAAR, PCM
DEGOOIJER, JG
SCHMITZ, B
[J]. PSYCHOMETRIKA, 1992, 57 (03) : 333 - 349
[7] TRIVELLATO U, 1993, STAT MODELLING LATEN
[8] THE COVARIANCE-MATRIX OF ARMA ERRORS IN CLOSED-FORM
VANDERLEEUW, J
[J]. JOURNAL OF ECONOMETRICS, 1994, 63 (02) : 397 - 405

← 1 →