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Dynamic Structural Systems Under Indirect Observation: Identifiability and Estimation Aspects from a System Theoretic Perspective

Published online by Cambridge University Press:  01 January 2025

Pieter W. Otter
Pieter W. Otter*
Affiliation:
Institute of Econometrics
*
Requests for reprints should be sent to Pieter W. Otter, Institute of Econometrics, P, O. Box 800, 9700 AV Groningen, THE NETHERLANDS.
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Abstract

In this—partly—expository paper the parameter identifiability and estimation of a general dynamic structural model under indirect observation will be considered from a system theoretic perspective. The general dynamic model covers (dynamic) factor analytic models, (dynamic) MIMIC models and Jöreskog's linear structural model as special cases. Its reduced form is—under a slightly different specification—known in system theory and econometrics as the stochastic, stationary version of the state-space model. By using concepts and methods from system theory, such as the observability and controllability concept, the (steady-state) Kalman filter and a general nonlinear ML-estimation procedure known as prediction-error estimation the general dynamic model will be identified. It will be shown that Jöreskog's LISREL-procedure is a special case of the prediction-error estimation procedure.

Keywords

System TheoryKalman FilterEstimation ProcedureStationary VersionModel Cover

Information

Type
Original Paper
Information
Psychometrika , Volume 51 , Issue 3 , September 1986 , pp. 415 - 428
Copyright
Copyright © 1986 The Psychometric Society

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