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Home > Comparisons of Four Methods for Estimating a Dynamic Factor Model
Comparisons of Four Methods for Estimating a Dynamic Factor Model
2005-05-10    Zhang, Z., Hamaker, E. L., & Nesselroade, J. R       Read: 9231 times
Cite this page: Zhang, Z., Hamaker, E. L., & Nesselroade, J. R (2005). Comparisons of Four Methods for Estimating a Dynamic Factor Model. Retrieved November 21, 2024, from https://www.psychstat.org/us/article.php/32.htm.
Comparisons of Four Methods for Estimating a Dynamic Factor Model

The full paper is available by request.

Four methods for estimating a dynamic factor model, the direct autoregressive factor
score (DAFS) model, are evaluated and compared. The ¯rst method estimates the DAFS
model using a Kalman filter algorithm based on its state space model representation. The
second one employs the maximum likelihood estimation method based on the construction
of a block-Toeplitz covariance matrix in SEM the framework. The third method is built in
the Bayesian framework and implemented using Gibbs sampling. The fourth one is the
least square method which also employs the block-Toeplitz matrix. All four methods are
implemented in currently available software. The simulation study shows that all four
methods reach appropriate parameter estimates with comparable precision. Differences
between the four estimation methods and related software are discussed.

R codes to simulate data

Codes for MKFM6 using Kalman filter method

Codes for Mplus using MLE based on block-Toeplitz

Codes for WinBUGS using Bayesian method

Codes for DyFA using least square method

A copy of the manuscripts can be obtained by email.

Suggestion or comment can be sent to zz5m@virginia.edu.

Submitted by: johnny
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