The exact covariance matrix of dynamic models with latent variables

Johan Lyhagen ()

Statistics & Probability Letters, 2005, vol. 75, issue 2, 133-139

Abstract: A dynamic time series LInear 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.

Keywords: Dynamic; LISREL; Covariance; matrix (search for similar items in EconPapers)
Date: 2005
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