338
Views
17
CrossRef citations to date
0
Altmetric
Original Articles

SEM Modeling with Singular Moment Matrices Part I: ML-Estimation of Time Series

Pages 301-320 | Published online: 20 Sep 2010

REFERENCES

  • Akaike , H. ( 1974 ). Markovian representation of of stochastic processes and its application to the analysis of autoregressive moving average processes . Annals of the Institute of Statistical Mathematics , 26 , 363 – 387 .
  • Arminger , G. & Müller , F. ( 1990 ). Lineare Modelle zur Analyse von Paneldaten [Linear Models of the Analysis of Panel Data] . Opladen , Germany : Westdeutscher Verlag .
  • Bollerslev , T. , Engle , R. , & Nelson , D. (1994). ARCH models. In R. Engle & D. McFadden (Eds.), Handbook of Econometrics (Vol. 4, pp. 2959–3038). Amsterdam: North Holland.
  • Caines , P. ( 1988 ). Linear Stochastic Systems . New York : Wiley .
  • Dennis Jr. , J. & Schnabel , R. ( 1983 ). Numerical Methods for Unconstrained Optimization and Nonlinear Equations . Englewood Cliffs , NJ : Prentice Hall .
  • Golub , G. & Van Loan , C. ( 1996 ). Matrix Computations , (3rd ed.) . Baltimore : The Johns Hopkins University Press .
  • Jazwinski , A. ( 1970 ). Stochastic Processes and Filtering Theory . New York : Academic Press .
  • Liptser , R. & Shiryayev , A. ( 2001 ). Statistics of Random Processes , (2nd ed. , Vols. 1 and 2 ). New York : Springer .
  • Magnus , J. R. & Neudecker , H. ( 1999 ). Matrix Differential Calculus , (2nd ed.) . New York : Wiley .
  • Mardia , K. , Kent , J. , & Bibby , J. ( 1979 ). Multivariate Analysis . London : Academic Press .
  • Möbus , C. & Nagel , W. ( 1983 ). Messung, analyse und Prognose von Veränderungen [Measurement, analysis and prediction of change] . In H. Feger & J. Bredenkamp (Eds.), Hypothesenprüfung, Band 5 der Serie Forschungsmethoden der Psychologie der Enzyklopädie der Psychologie (pp. 239 – 470 ). Göttingen , Germany : Hogrefe .
  • Oud , J. H. L. , Jansen , R. A. R. G. , van Leeuwe , J. , Aarnoutse , C. A. J. , & Voeten , M. J. M. ( 2000 ). Monitoring pupil development by means of the Kalman filter and smoother based upon SEM state space modeling . Learning and Individual Differences , 11 , 121 – 136 .
  • Oud , J. , van Leeuwe , J. , & Jansen , R. ( 1993 ). Kalman filtering in discrete and continuous time based on longitudinal LISREL models . In J. Oud & R. van Blokland-Vogelesang (Eds.), Advances in Longitudinal and Multivariate Analysis in the Behavioral Sciences , (pp. 3 – 26 ). Nijmegen , The Netherlands : ITS .
  • Schweppe , F. ( 1965 ). Evaluation of likelihood functions for Gaussian signals . IEEE Transactions on Information Theory , 11 , 61 – 70 .
  • Singer , H. ( 1990 ). Parameterschätzung in zeitkontinuierlichen dynamischen sy-stemen [Parameter estimation in continuous time dynamical systems] . Konstanz , Germany : Hartung-Gorre-Verlag .
  • Singer , H. ( 1991 ). LSDE—A Program Package for the Simulation, Graphical Display, Optimal Filtering and Maximum Likelihood Estimation of Linear Stochastic Differential Equations, User‘s guide . Meersburg, Germany: Author .
  • Singer , H. ( 1993 ). Continuous-time dynamical systems with sampled data, errors of measurement and unobserved components . Journal of Time Series Analysis , 14 , 527 – 545 .
  • Singer , H. ( 1995 ). Analytical score function for irregularly sampled continuous time stochastic processes with control variables and missing values . Econometric Theory , 11 , 721 – 735 .
  • Singer , H. ( 2007 ). Stochastic differential equation models with sampled data . In K. van Montfort , H. Oud , & A. Satorra (Eds.). The European Association of Methodology (EAM) Methodology and Statistics Series: Vol. 2. Longitudinal Models in the Behavioral and Related Sciences (pp. 73 – 106 ). Mahwah , NJ : Lawrence Erlbaum Associates .
  • Singer , H. ( 2008 ). Nonlinear continuous time modeling approaches in panel research . Statistica Neerlandica , 62 ( 1 ), 29 – 57 .
  • Singer , H. ( 2009 ). SEM modeling with singular moment matrices. Part II: ML-estimation of sampled stochastic differential equations (Diskussions-beiträge Fakultät Wirtschaftswissenschaft Nr. 442). Hagen, Germany: FernUniversität. Retrieved August 25, 2010, from http://www.fernuni-hagen.de/FBWIWI/forschung/beitraege/pdf/db442.pdf
  • Söderström , T. & Stoica , P. (1989). System Identification . New York : Prentice Hall.
  • Watson , M. & Engle , R. ( 1983 ). Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models . Journal of Econometrics , 23 , 385 – 400 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.