GENERALIZED PATH ANALYSIS AND GENERALIZED SIMULTANEOUS EQUATIONS MODEL FOR RECURSIVE SYSTEMS WITH RESPONSES OF MIXED TYPES
Resource
STRUCTURAL EQUATION MODELING-A MULTIDISCIPLINARY JOURNAL v.13 n.2 pp.229-251
Journal
STRUCTURAL EQUATION MODELING-A MULTIDISCIPLINARY JOURNAL
Journal Volume
v.13
Journal Issue
n.2
Pages
229-251
Date Issued
2006
Date
2006
Author(s)
SHAU, WEN-YI
HU, FU-CHANG
Abstract
This article generalizes linear path analysis (PA) and simultaneous equations models (SiEM) to deal with mixed responses of different types in a recursive or triangular system. An efficient instrumental variable (IV) method for estimating the structural coefficients of a 2-equation partially recursive generalized path analysis (GPA) model and equivalently generalized simultaneous equations model ( GSiEM) is developed. The 1st equation is of a generalized linear model form for any responses from the exponential family of distributions, and the 2nd one is a linear equation for continuous responses. The consistency and asymptotic normality of the proposed IV estimator is proved, and its finite sample properties are examined in simulations. Finally, how the IV estimator can be applied to more complicated GSiEM/GPA models is discussed.
Subjects
MAXIMUM-LIKELIHOOD METHODS
LEAST-SQUARES
LINEAR-MODELS
VARIABLES
Type
journal article