SEM modeling with singlar moment matrices : Part III: GLS estimation

Singer, Hermann GND

We discuss Generalized Least Squares (GLS) and Maximum Likelihood (ML) estimation for structural equations models (SEM), when the sample moment matrices are possibly singular. This occurs, e.g., for panel data when there are more panel waves than independent replications, or for time series data, where the number of time points is large, but only one unit is observed. In preceeding papers, it was shown that ML estimation of the SEM is possible by using a correct gaussian likelihood function. In this article, the usual GLS fit function is modified so that it is defined for singular sample moment matrices.

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Singer, Hermann: SEM modeling with singlar moment matrices. Part III: GLS estimation. Hagen 2015. FernUniversität in Hagen.

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