Structural Equation Modeling of Multivariate Time Series.

  title={Structural Equation Modeling of Multivariate Time Series.},
  author={Stephen du Toit and Michael W. Browne},
  journal={Multivariate behavioral research},
  volume={42 1},
The covariance structure of a vector autoregressive process with moving average residuals (VARMA) is derived. It differs from other available expressions for the covariance function of a stationary VARMA process and is compatible with current structural equation methodology. Structural equation modeling programs, such as LISREL, may therefore be employed to fit the model. Particular attention is given to assumptions concerning the process before the first observation. An application to a… CONTINUE READING