Fitting ARMA time series by structural equation models

DOI10.1007/BF02295276MaRDI QIDQ1362271zbMATH OpenOpenAlexWikidataFDO

Authors Stef van Buuren

Publication date 6 May 1999

Published in Psychometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02295276

zbMATH Keywords

autocorrelationcovariance structuresBox-Jenkins modelintervention analysislagged variablesPROC CALIS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to psychology (62P15)

Recommendations

• Comment on: Fitting ARMA time series by structural equation models
• ARMA MODELS WITH ARCH ERRORS
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Recursive method for ARMA model estimation. I

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3190838 (Why is no real title available?)
• A dynamic factor model for the analysis of multivariate time series
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Circumplex models for correlation matrices
• Dynamic factor analysis of nonstationary multivariate time series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Iterative maximum‐likelihood estimation of parameters of the Toeplitz correlation structure
• Linear structural equations with latent variables
• Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
• Relationships between linear systems theory and covariance structure modeling

Cited in

(7)

• Errors-in-variables system identification using structural equation modeling
• Comment on: Fitting ARMA time series by structural equation models
• Dynamic analysis of multivariate panel data with nonlinear transformations
• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS
• A sandwich-type standard error estimator of SEM models with multivariate time series
• A Bayesian analysis of finite mixtures in the LISREL model
• Autoregressive generalized linear mixed effect models with crossed random effects: an application to intensive binary time series eye-tracking data

Describes a project that uses

Uses Software

• SAS/STAT
• BMDP
• EQS
• SAS

This page was built for publication: Fitting ARMA time series by structural equation models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1362271)