Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order moments
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- dc.contributor.author Satorra, Albertca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:49:53Z
- dc.date.available 2017-07-26T10:49:53Z
- dc.date.issued 1992-06-01
- dc.date.modified 2017-07-23T02:00:22Z
- dc.description.abstract In moment structure analysis with nonnormal data, asymptotic valid inferences require the computation of a consistent (under general distributional assumptions) estimate of the matrix $\Gamma$ of asymptotic variances of sample second--order moments. Such a consistent estimate involves the fourth--order sample moments of the data. In practice, the use of fourth--order moments leads to computational burden and lack of robustness against small samples. In this paper we show that, under certain assumptions, correct asymptotic inferences can be attained when $\Gamma$ is replaced by a matrix $\Omega$ that involves only the second-- order moments of the data. The present paper extends to the context of multi--sample analysis of second--order moment structures, results derived in the context of (simple--sample) covariance structure analysis (Satorra and Bentler, 1990). The results apply to a variety of estimation methods and general type of statistics. An example involving a test of equality of means under covariance restrictions illustrates theoretical aspects of the paper.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=16
- dc.identifier.citation Statistical Modelling and Latent Variables Elsevier, North Holland. K. Haagen, D. J.Bartholomew and M. Deistler (eds.), pp. 283-298.] Special issue Vernon L. Smith Experimental Methods in Economics. (June 1992)
- dc.identifier.uri http://hdl.handle.net/10230/20848
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 16
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- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title Multi-sample analysis of moment-structures: Asymptotic validity of inferences based on second-order momentsca
- dc.type info:eu-repo/semantics/workingPaper