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1 results

  • Rotation in the Dynamic Factor Modeling of Multivariate Stationary Time Series

  • Peter C. M. Molenaar, John R. Nesselroade
  • Journal:
    Psychometrika / Volume 66 / Issue 1 / March 2001
    Published online by Cambridge University Press:
    01 January 2025, pp. 99-107

  • A special rotation procedure is proposed for the exploratory dynamic factor model for stationary multivariate time series. The rotation procedure applies separately to each univariate component series of a q-variate latent factor series and transforms such a component, initially represented as white noise, into a univariate moving-average. This is accomplished by minimizing a so-called state-space criterion that penalizes deviations of the rotated solution from a generalized state-space model with only instantaneous factor loadings. Alternative criteria are discussed in the closing section. The results of an empirical application are presented in some detail.