Correlated samples with fixed and nonnormal latent variables

DOI10.1214/009053605000000570zbMATH Open1084.62048arXivmath/0502020OpenAlexW3101597077MaRDI QIDQ817992FDOQ817992

Yasuo Amemiya, Savas Papadopoulos

Publication date: 23 March 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: A general structural equation model is fitted on a panel data set that consists of $I$ correlated samples. The correlated samples could be data from correlated populations or correlated observations from occasions of panel data. We consider cases in which the full pseudo-normal likelihood cannot be used, for example, in highly unbalanced data where the participating individuals do not appear in consecutive years. The model is estimated by a partial likelihood that would be the full and correct likelihood for independent and normal samples. It is proved that the asymptotic standard errors (a.s.e.'s) for the most important parameters and an overall-fit measure are the same as the corresponding ones derived under the standard assumptions of normality and independence for all the observations. These results are very important since they allow us to apply classical statistical methods for inference, which use only first- and second-order moments, to correlated and nonnormal data. Via a simulation study we show that the a.s.e.'s based on the first two moments have negligible bias and provide less variability than the a.s.e.'s computed by an alternative robust estimator that utilizes up to fourth moments. Our methodology and results are applied to real panel data, and it is shown that the correlated samples cannot be formulated and analyzed as independent samples. We also provide robust a.s.e.'s for the remaining parameters. Additionally, we show in the simulation that the efficiency loss for not considering the correlation over the samples is small and negligible in the cases with random and fixed variables.

Full work available at URL: https://arxiv.org/abs/math/0502020

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zbMATH Keywords

creditlongitudinal dataMonte Carlorepeated measuresstructural equation modelingSEMcapitalnonlinear parametersasymptotic robustnessrisk weighted assetsmarket risks

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (2)

• Rank-based test for slope homogeneity in high-dimensional panel data models
• A class of distribution-free models for longitudinal mediation analysis

Uses Software

• SAS
• LISREL
• EQS
• BMDP
• SAS/STAT

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