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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.

Identiferoai:union.ndltd.org:Potsdam/oai:kobv.de-opus-ubp:2949
Date January 1995
CreatorsStrohe, Hans Gerhard
PublisherUniversität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät. Wirtschaftswissenschaften
Source SetsPotsdam University
LanguageEnglish
Detected LanguageEnglish
TypeBook
Formatapplication/pdf
Rightshttp://opus.kobv.de/ubp/doku/urheberrecht.php

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