Continuous Time Structural Equation Modeling with R Package ctsem
Author
Abstract
Suggested Citation
DOI: http://hdl.handle.net/10.18637/jss.v077.i05
Download full text from publisher
References listed on IDEAS
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2012.
"Do institutional changes affect business cycles? Evidence from Europe,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1520-1533.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2009. "Do institutional changes affect business cycles? Evidence from Europe," Working Papers 0921, Banco de España.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2009. "Do institutional changes affect business cycles? Evidence from Europe," Economics Working Papers 1158, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2012.
- David Rindskopf, 1984. "Using phantom and imaginary latent variables to parameterize constraints in linear structural models," Psychometrika, Springer;The Psychometric Society, vol. 49(1), pages 37-47, March.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
OUP Catalogue,
Oxford University Press,
edition 2, number 9780199641178, December.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Brouste, Alexandre & Fukasawa, Masaaki & Hino, Hideitsu & Iacus, Stefano & Kamatani, Kengo & Koike, Yuta & Masuda, Hiroki & Nomura, Ryosuke & Ogihara, Teppei & Shimuzu, Yasutaka & Uchida, Masayuki & Y, 2014. "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 57(i04).
- King, Aaron A. & Nguyen, Dao & Ionides, Edward L., 2016. "Statistical Inference for Partially Observed Markov Processes via the R Package pomp," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(i12).
- Wang, Zhu, 2013. "cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 53(i05).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Soriano, José Luis & Mejía-Trejo, Juan, 2022. "Modelado de Ecuaciones Estructurales en el campo de las Ciencias de la Administración [Structural Equations Modeling in the Management Sciences]," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 33(1), pages 242-263, June.
- Oliver Weigelt & Petra Gierer & Christine J. Syrek, 2019. "My Mind is Working Overtime—Towards an Integrative Perspective of Psychological Detachment, Work-Related Rumination, and Work Reflection," IJERPH, MDPI, vol. 16(16), pages 1-27, August.
- Oliver Weigelt & Antje Schmitt & Christine J. Syrek & Sandra Ohly, 2021. "Exploring the Engaged Worker over Time—A Week-Level Study of How Positive and Negative Work Events Affect Work Engagement," IJERPH, MDPI, vol. 18(13), pages 1-27, June.
- Oscar García, 2019. "Estimating reducible stochastic differential equations by conversion to a least-squares problem," Computational Statistics, Springer, vol. 34(1), pages 23-46, March.
- Øystein Sørensen & Anders M. Fjell & Kristine B. Walhovd, 2023. "Longitudinal Modeling of Age-Dependent Latent Traits with Generalized Additive Latent and Mixed Models," Psychometrika, Springer;The Psychometric Society, vol. 88(2), pages 456-486, June.
- Nicolas Pellerin & Michael Dambrun & Eric Raufaste, 2022. "Selflessness Meets Higher and More Stable Happiness: An Experience Sampling Study of the Joint Dynamics of Selflessness and Happiness," Journal of Happiness Studies, Springer, vol. 23(6), pages 3127-3142, August.
- Oisín Ryan & Ellen L. Hamaker, 2022. "Time to Intervene: A Continuous-Time Approach to Network Analysis and Centrality," Psychometrika, Springer;The Psychometric Society, vol. 87(1), pages 214-252, March.
- Driver, Charles C, 2022. "Inference With Cross-Lagged Effects - Problems in Time and New Interpretations," OSF Preprints xdf72, Center for Open Science.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Oscar García, 2019. "Estimating reducible stochastic differential equations by conversion to a least-squares problem," Computational Statistics, Springer, vol. 34(1), pages 23-46, March.
- Stefano Iacus & Lorenzo Mercuri, 2015. "Implementation of Lévy CARMA model in Yuima package," Computational Statistics, Springer, vol. 30(4), pages 1111-1141, December.
- Victor Bystrov, 2018.
"Measuring the Natural Rates of Interest in Germany and Italy,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(4), pages 333-353, December.
- Bystrov Victor, 2018. "Measuring the Natural Rates of Interest in Germany and Italy," Lodz Economics Working Papers 7/2018, University of Lodz, Faculty of Economics and Sociology.
- Yukai Yang & Luc Bauwens, 2018.
"State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering,"
Econometrics, MDPI, vol. 6(4), pages 1-22, December.
- Yukai Yang & Luc Bauwens, 2018. "State-space models on the Stiefel Manifold with a new approach to nonlinear filtering," LIDAM Reprints CORE 2985, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers 2018-30, Department of Economics and Business Economics, Aarhus University.
- Fernández-Macho, Javier, 2008. "Spectral estimation of a structural thin-plate smoothing model," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 189-195, September.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
- Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard, 2020. "A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 50-71.
- François R. Velde, 2009.
"Chronicle of a Deflation Unforetold,"
Journal of Political Economy, University of Chicago Press, vol. 117(4), pages 591-634, August.
- Francois R. Velde, 2006. "Chronicles of a deflation unforetold," Working Paper Series WP-06-12, Federal Reserve Bank of Chicago.
- Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
- repec:zbw:bofitp:2019_008 is not listed on IDEAS
- Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
- Wen Xu, 2016. "Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters," Econometrics, MDPI, vol. 4(4), pages 1-13, October.
- Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
- Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
- repec:spo:wpmain:info:hdl:2441/1904 is not listed on IDEAS
- Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April.
- Brave, Scott A. & Gascon, Charles & Kluender, William & Walstrum, Thomas, 2021.
"Predicting benchmarked US state employment data in real time,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1261-1275.
- Scott Brave & Charles S. Gascon & William Kluender & Thomas Walstrum, 2019. "Predicting Benchmarked US State Employment Data in Realtime," Working Paper Series WP 2019-11, Federal Reserve Bank of Chicago.
- Scott A. Brave & Charles S. Gascon & William Kluender & Thomas Walstrum, 2019. "Predicting Benchmarked US State Employment Data in Real Time," Working Papers 2019-037, Federal Reserve Bank of St. Louis, revised 11 Mar 2021.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014.
"Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
- Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
- Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
- Alejandro Rodriguez & Esther Ruiz, 2009.
"Bootstrap prediction intervals in state–space models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
- Rodríguez, Alejandro & Ruiz Ortega, Esther, 2008. "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS ws081104, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.
- Jean-Luc Gaffard, 2014.
"Crise de la théorie et crise de la politique économique. Des modèles d'équilibre général stochastique aux modèles de dynamique hors de l'équilibre,"
Revue économique, Presses de Sciences-Po, vol. 65(1), pages 71-96.
- Jean-Luc Gaffard, 2012. "Crise de la théorie et crise de la politique économique : des modèles d'équilibre général stochastique aux modèles de dynamique hors de l'équilibre," SciencePo Working papers Main hal-01070291, HAL.
- Jean-Luc Gaffard, 2014. "Crise de la théorie et crise de la politique économique : des modèles d'équilibre général stochastique aux modèles de dynamique hors de l'équilibre," SciencePo Working papers Main halshs-00931247, HAL.
- Jean-Luc Gaffard, 2014. "Crise de la théorie et crise de la politique économique : des modèles d'équilibre général stochastique aux modèles de dynamique hors de l'équilibre," Post-Print halshs-00931247, HAL.
- Jean Luc Gaffard, 2012. "Crise de la theorie et crise de la politique économique : des modèles d'équilibre général stochastique aux modèles de dynamique hors de l'équilibre," Documents de Travail de l'OFCE 2012-10, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jean-Luc Gaffard, 2012. "Crise de la théorie et crise de la politique économique : des modèles d'équilibre général stochastique aux modèles de dynamique hors de l'équilibre," Working Papers hal-01070291, HAL.
- Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jss:jstsof:v:077:i05. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.jstatsoft.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.