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
收藏
页码：133 / 139
页数：7
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