Dynamic Structural Systems Under Indirect Observation: Identifiability and Estimation Aspects from a System Theoretic Perspective
- 1 September 1986
- journal article
- Published by Cambridge University Press (CUP) in Psychometrika
- Vol. 51 (3) , 415-428
- https://doi.org/10.1007/bf02294064
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
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