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Comparisons of Four Methods for Estimating a Dynamic Factor Model
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Zhang, Zhiyong; Hamaker, Ellen L.; Nesselroade, John R. – Structural Equation Modeling: A Multidisciplinary Journal, 2008
Four methods for estimating a dynamic factor model, the direct autoregressive factor score (DAFS) model, are evaluated and compared. The first method estimates the DAFS model using a Kalman filter algorithm based on its state space model representation. The second one employs the maximum likelihood estimation method based on the construction of a…
Descriptors: Structural Equation Models, Simulation, Computer Software, Least Squares Statistics