TY - JOUR

T1 - Time series factor analysis model

T2 - Factors generated by autoregression and moving average process

AU - Toyoda, Hideki

PY - 1997/12/1

Y1 - 1997/12/1

N2 - The dynamic factor analysis model (Molenaar, 1985) which is one of the generalizations of the p-technique factor analysis model, can explain the lagged covariance structure among observed variables. Hershberger, Corneal, and Molenaar (1994) showed that the dynamic factor model can be easily evaluated within a structural equation modeling (SEM) program such as LISREL. In this paper, an alternative time series model containing the latent factors which are generated by the autoregression and moving average (ARMA) process is proposed. This model, which has been named the time series factor analysis model, can also be easily evaluated with a SEM program. The application of this model to the leading index, the coincident index and the lagging index of the Japanese economy revealed a latent common factor series generated by considerable autoregression.

AB - The dynamic factor analysis model (Molenaar, 1985) which is one of the generalizations of the p-technique factor analysis model, can explain the lagged covariance structure among observed variables. Hershberger, Corneal, and Molenaar (1994) showed that the dynamic factor model can be easily evaluated within a structural equation modeling (SEM) program such as LISREL. In this paper, an alternative time series model containing the latent factors which are generated by the autoregression and moving average (ARMA) process is proposed. This model, which has been named the time series factor analysis model, can also be easily evaluated with a SEM program. The application of this model to the leading index, the coincident index and the lagging index of the Japanese economy revealed a latent common factor series generated by considerable autoregression.

KW - Autoregression and Moving Average

KW - Dynamic Factor Analysis Model

KW - Lagged Covariance Structure

KW - P-technique Factor Analysis Model

KW - Structural Equation Modeling

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M3 - Article

AN - SCOPUS:4143070378

VL - 12

SP - 1

EP - 14

JO - Sociological Theory and Methods

JF - Sociological Theory and Methods

SN - 0913-1442

IS - 1

ER -