Johan Lyhagen: The small sample performance of estimators of the standard errors of structural equation models. Forthcoming Journal of Statistical Computation and Simulation.

In this paper we compare five asymptotically, under a correctly specified likelihood, equivalent estimators of the standard errors for parameters in structural equation models. The estimators are evaluated under different conditions regarding (i) sample size, varying between N=50 and N=3200, (ii) distributional assumption of the latent variables and the disturbance terms, namely normal, and heavy tailed (t), and (iii) the complexity of the model. For the assessment of the five estimators we use overall performance, relative bias, MSE, and coverage of confidence intervals. The analysis reveals substantial differences in the performance of the five asymptotically equal estimators. Most diversity was found for t distributed, i.e. heavy tailed, data.

In collaboration with K. Kraus.