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.
| Identifer | oai:union.ndltd.org:Potsdam/oai:kobv.de-opus-ubp:2949 |
| Date | January 1995 |
| Creators | Strohe, Hans Gerhard |
| Publisher | Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät. Wirtschaftswissenschaften |
| Source Sets | Potsdam University |
| Language | English |
| Detected Language | English |
| Type | Book |
| Format | application/pdf |
| Rights | http://opus.kobv.de/ubp/doku/urheberrecht.php |
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