Dynamic latent variables path models : an alternative PLS estimation

  • In this paper a partial least squares (PLS) approach to dynamic modelling with latent variables is proposed. Let Y be a matrix of manifest variables and H the matrix of the corresponding latent variables. And let H = BH+ε be a structural PLS model with a coefficient matrix B. Then this model can be made a dynamic one by substituting for B a matrix F = B + CL containing the lag operator L. Then the structural dynamic model H = FH+ε is formally estimated like an ordinary PLS model. In an exploratory way the model can be used for forecasting purposes. The procedure is being programmed in ISP.

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Author:Hans Gerhard Strohe
Series (Serial Number):Statistische Diskussionsbeiträge (01)
Document Type:Book
Date of Publication (online):2009/04/16
Year of Completion:1995
Publishing Institution:Universität Potsdam
Release Date:2009/04/16
Tag:PLS; dynamic models; path models
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht