In this—partly—expository paper the parameter identifiability and estimation of a general dynamic structural model under indirect observation will be considered from a system theoretic perspective. The general dynamic model covers (dynamic) factor analytic models, (dynamic) MIMIC models and Jöreskog's linear structural model as special cases. Its reduced form is—under a slightly different specification—known in system theory and econometrics as the stochastic, stationary version of the state-space model. By using concepts and methods from system theory, such as the observability and controllability concept, the (steady-state) Kalman filter and a general nonlinear ML-estimation procedure known as prediction-error estimation the general dynamic model will be identified. It will be shown that Jöreskog's LISREL-procedure is a special case of the prediction-error estimation procedure.
