Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Charles C. Driver, Johan H. L. Oud, Manuel C. Voelkle
Title: Continuous Time Structural Equation Modeling with R Package ctsem
Abstract: We introduce ctsem, an R package for continuous time structural equation modeling of panel (N > 1) and time series (N = 1) data, using full information maximum likelihood. Most dynamic models (e.g., cross-lagged panel models) in the social and behavioural sciences are discrete time models. An assumption of discrete time models is that time intervals between measurements are equal, and that all subjects were assessed at the same intervals. Violations of this assumption are often ignored due to the difficulty of accounting for varying time intervals, therefore parameter estimates can be biased and the time course of effects becomes ambiguous. By using stochastic differential equations to estimate an underlying continuous process, continuous time models allow for any pattern of measurement occasions. By interfacing to OpenMx, ctsem combines the flexible specification of structural equation models with the enhanced data gathering opportunities and improved estimation of continuous time models. ctsem can estimate relationships over time for multiple latent processes, measured by multiple noisy indicators with varying time intervals between observations. Within and between effects are estimated simultaneously by modeling both observed covariates and unobserved heterogeneity. Exogenous shocks with different shapes, group differences, higher order diffusion effects and oscillating processes can all be simply modeled. We first introduce and define continuous time models, then show how to specify and estimate a range of continuous time models using ctsem.

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Paper: Continuous Time Structural Equation Modeling with R Package ctsem     Download PDF (Downloads: 2850)
ctsem_2.3.1.tar.gz: R source package Download (Downloads: 208; 2MB)
v77i05.R: R replication code Download (Downloads: 308; 14KB)

DOI: 10.18637/jss.v077.i05

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.