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Comment on Fitting MA Time Series by Structural Equation Models

Published online by Cambridge University Press:  01 January 2025

Peter C. M. Molenaar
Peter C. M. Molenaar*
Affiliation:
University of Amsterdam
*
Requests for reprints should be sent to Peter C.M. Molenaar, Department of Psychology, University of Amsterdam, Roetersstraat 15, room 1010, 1018 WB Amsterdam, THE NETHERLANDS. E-mail: op_molenaar@macmail.psy.uva.nl
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Abstract

In a recent paper by van Buuren (1997) it is concluded that parameter estimates in pure moving-average (MA) models, obtained by software for fitting structural equation models (SEMs), are biased and inefficient. In this comment it is shown that this negative finding may be due to a particular feature of van Buuren's simulation experiment. A modified procedure for fitting MA models by means of SEM software is proposed, and some of its implications are discussed.

Keywords

lagged variablesmoving-averagesstationarityinvertibilitypolynomial factorizationdynamic factor analysis

Information

Type
Notes And Comments
Information
Psychometrika , Volume 64 , Issue 1 , March 1999 , pp. 91 - 94
Copyright
Copyright © 1999 The Psychometric Society

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References

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