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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Metadaten
Author details:Hans Gerhard StroheGND
URN:urn:nbn:de:kobv:517-opus-29498
Publication series (Volume number):Statistische Diskussionsbeiträge (01)
Publication type:Monograph/Edited Volume
Language:English
Publication year:1995
Publishing institution:Universität Potsdam
Release date:2009/04/16
Tag:PLS; dynamic models; path models
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
DDC classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
License (German):License LogoKeine öffentliche Lizenz: Unter Urheberrechtsschutz
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