58

Statistica Neerlandica (2008) Vol. 62, nr. 1, pp. 58–82

doi:10.1111/j.1467-9574.2007.00386.x

Analyzing reciprocal relationships by means

of the continuous-time autoregressive
latent trajectory model
Marc J. M. H. Delsing*
Research Center Adolescent Development, Utrecht University,
PO Box 80140, 3508 FC Utrecht, The Netherlands

Johan H. L. Oud
Behavioural Science Institute, Radboud University Nijmegen,
PO Box 9104, 6500 HE Nijmegen, The Netherlands

Over the past decades, several analytic tools have become available
for the analysis of reciprocal relations in a non-experimental context
using structural equation modeling (SEM). The autoregressive latent
trajectory (ALT) model is a recently proposed model [BOLLEN and CUR-
RAN Sociological Methods and Research (2004) Vol. 32, pp. 336–383;
CURRAN and BOLLEN New Methods for the Analysis of Change (2001)
American Psychological Association, Washington, DC], which cap-
tures features of both the autoregressive (AR) cross-lagged model
and the latent trajectory (LT) model. The present article discusses
strengths and weaknesses and demonstrates how several of the prob-
lems can be solved by a continuous-time version: the continuous-time
autoregressive latent trajectory (CALT) model. Using SEM to estimate
the exact discrete model (EDM), the EDM/SEM continuous-time pro-
cedure is applied to a CALT model of reciprocal relations between anti-
social behavior and depressive symptoms.
Keywords and Phrases: continuous time modeling, ALT model,
exact discrete model, stochastic differential equation, reciprocal rela-
tions, structural equation modeling.

1 Introduction
Over the last decades, several tools have become available for the investigation of
reciprocal associations between variables. In the structural equation modeling (SEM)
literature, two models for the analysis of panel data have received increasing atten-
tion: autoregressive (AR) cross-lagged models (see, e.g. Jöreskog, 1979; Vuchinich,
Bank and Patterson, 1992; Deary, 1995; Finkel, 1995; Ge et al., 1995; Rueter and
Conger, 1998; Neiderhiser et al., 1999; Bui, Ellickson and Bell, 2000) and latent
trajectory (LT) models (see, e.g. McArdle, 1986, 1988; Meredith and Tisak, 1990;

*M.delsing@uu.nl
© 2008 The Authors. Journal compilation © 2008 VVS.
Published by Blackwell Publishing, 9600 Garsington Road, Oxford OX4 2DQ, UK and 350 Main Street, Malden, MA 02148, USA.
Continuous-time ALT model 59

Stoolmiller, 1994; MacCallum et al., 1997; Curran and Muthén, 1999; Curran
and Hussong, 2002; Kim and Cicchetti, 2006). AR models and LT models have
typically been viewed as competing analytic viewpoints. Bollen and Curran (2004)
and Curran and Bollen (2001), however, argued that, theoretically, there are many
instances when both the processes described by the AR model and the processes
described by the LT model are plausible. This led them to work toward a synthesis
of both approaches in the autoregressive latent trajectory (ALT) model, which cap-
tures key features of both.
Although all three longitudinal approaches for the analysis of reciprocal relations
clearly have important advantages over cross-sectional designs, they are still prob-
lematic in several ways. The present study describes several of these problems and
proposes a continuous-time autoregressive latent trajectory (CALT) model to solve
them. First, we give a short description of the AR cross-lagged model, the LT model
and the ALT model. Second, we discuss several limitations of these approaches.
Third, we present a continuous-time procedure to solve these problems. Fourth, the
procedure is applied to the analysis of reciprocal relations between antisocial behav-
ior and depressive symptoms. We conclude with a summary of the substantial find-
ings, and an evaluation and comparison of the different methods.

2 AR cross-lagged models
Reciprocal relations between variables have typically been analyzed by means of
autoregressive (AR) cross-lagged models (see, e.g. Vuchinich et al., 1992; Deary,
1995; Ge et al., 1995; Rueter and Conger, 1998; Neiderhiser et al., 1999; Bui
et al., 2000). AR cross-lagged models circumvent the difficult problem of assessing
causal direction in cross-sectional research. The causal direction in AR cross-lagged
models is not based on instantaneous relations between simultaneously measured
variables x and y. Instead different variables are used for opposite directions: x at
time point 1 affecting y at time point 2, y at time point 1 affecting x at time point
2. Within the AR cross-lagged model, each of the two variables at one measure-
ment time point is regressed on its own lagged score plus the lagged score of the
other variable at the previous measurement time point (Finkel, 1995; Hertzog and
Nesselroade, 2003). The resulting cross-lagged coefficients inform about the rela-
tions between both variables. The magnitude of the cross-lagged coefficients indi-
cates how much of the change in one variable measured later is predicted by the
other variable measured at the previous time point. Because of the control of both
the autoregression in each variable and the correlation between the variables at the
initial time point, the cross-lagged effects indicate the ‘pure’ influence of each
variable of interest. AR cross-lagged models may be formulated in terms of latent
variables with measurement error in the observed variables or build autoregressive
structures directly in terms of the observed variables without measurement error.
Autoregressive cross-lagged models have been used to investigate reciprocal asso-
ciations between, for example, job characteristics and psychological well-being
© 2008 The Authors. Journal compilation © 2008 VVS.
60 M. J. M. H. Delsing and J. H. L. Oud

(De Jonge et al., 2001); adolescent problem drug use, delinquent behavior, and emo-
tional distress (Bui et al., 2000); parental disciplinary behavior and child antisocial
behavior (Vuchinich et al., 1992); parent and adolescent psychological distress (Ge
et al., 1995); and auditory inspection time and intelligence (Deary, 1995).
The equations for the AR cross-lagged model in the bivariate case are:
x1ti = a11 x1ti−1 + a12 x2ti−1 + b1 + w1ti−1 , (1)

x2ti = a21 x1ti−1 + a22 x2ti−1 + b2 + w2ti−1 , (2)

where b1 and b2 represent the growth intercepts, a11 and a22 are autoregressive para
meters indicating prior influences of x1ti−1 on x1ti and of x2ti−1 on x2ti , while a12 and
a21 represent the cross-lagged coefficients. Stochastic errors are represented by w1ti−1
and w2ti−1 . The discrete time points are indicated by ti (i = 1, 2, . . ., T ), with t0 the
initial time point and T +1 the total number of time points in the dataset.
Two possibilities exist for the variables x1ti and x2ti . They may be latent or
observed. If they are latent, measurement equations need to be added to specify
their relation with the observed variables in vectors y1ti and y2ti (i = 0, 1, . . ., T )
y1ti = c1 x1ti + d1 + v1ti , (3)

y2ti = c2 x2ti + d2 + v2ti . (4)

Vectors d1 and d2 contain the measurement intercepts or origins for each of the
observed variables in y1ti and y2ti , c1 and c2 the loadings or measurement units, and
v1ti and v2ti the measurement errors. If they are observed (y1ti = x1ti and y2ti = x2ti ),
equations (1) and (2) can directly be written in terms of observed variables:
y1ti = a11 y1ti−1 + a12 y2ti−1 + b1 + w1ti−1 , (5)

y2ti = a21 x1ti−1 + a22 x2ti−1 + b2 + w2ti−1 . (6)

(For a more detailed description of the AR cross-lagged model, see, e.g. Jagodzin-
ski, Kühnel and Schmidt, 1987; Finkel, 1995; Ferrer and McArdle, 2003; Bol-
len and Curran, 2004.) Note that (5)–(6) is a special case of what in the time-series
literature is called a first-order vector autoregressive or VAR(1) model and that (1)–
(4) form a special case of the more general and much older state-space model (Jaz-
winski, 1970; Caines, 1988). A discussion of these models for panel data in discrete
and continuous time was given by Möbus and Nagl (1983) and a six-variable con-
tinuous-time VAR(1) model was estimated by Singer and Hautzinger (1988), using
Bergstrom’s trapezium method (Bergstrom, 1966, 1984). Figure 1 is a path diagram
of the bivariate AR cross-lagged model in (1)–(2) for four waves of data.

3 LT models
Reciprocal associations between variables have also been analyzed within a (linear)
latent trajectory (LT) framework (see, e.g. Stoolmiller, 1994; MacCallum et al.,
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 61

x1 x1 x1 x1

x2 x2 x2 x2

t0 t1 t2 t3

Fig. 1. Bivariate AR cross-lagged model for four waves of data.

1997; Curran and Hussong, 2002; Kim and Cicchetti, 2006). In contrast to the
AR models in which prior values of variables determine the current value of the
same or other variables, the LT model specifies separate trajectories over time for
separate variables and separate cases. Each case in the sample can have a different
time trend as marked by a different intercept or slope when tracked over time (Rao,
1958; Tucker, 1958; Meredith and Tisak, 1990). The latent intercept corresponds
to the t = 0 value of the individual longitudinal curve, while the latent slope reflects
the individual change rate over time. LT models also inform about the variances of
the latent intercepts and slopes, indicating the amount of inter-individual differences
in the t = 0 values and in the longitudinal change process, respectively.
Importantly, LT models enable researchers to test for correlations between the
latent intercept and the latent slope. Thus, one may find out whether the change
in a given construct is related to its initial value (if t = 0 is located at the initial
time point). Reciprocal associations between variables are investigated by means of
the simultaneous specification and estimation of LT models for each of the vari-
ables. Latent trajectory factors (intercept and slope) for each variable and the rela-
tions between the intercepts of the variables, between the slopes, and between the
intercepts and slopes are evaluated. Somewhat similar to the AR cross-lagged design
in which a variable at one point in time is used to predict both the same and the
other variable at a later point in time, several authors use the intercept as a pre-
dictor of the change rate (slope) in both the same process and the other process.
Thus, reciprocal associations have been investigated between, for example, adoles-
cents’ and peer alcohol use (Curran, Stice and Chassin, 1997); delinquency and
depressed mood (Beyers and Loeber, 2003); adolescents’ personality characteris-
tics and perceived support within the family (Branje, van Lieshout and van Aken,
2004); antisocial behavior and depressive symptoms (Curran and Bollen, 2001);
marital problems and adolescent maladjustment (Cui, Conger and Lorenz, 2005);
and self-system processes (i.e. self-esteem and self-agency) and depressive symptoms
(Kim and Cicchetti, 2006).
Note that in LT models, relations across constructs are typically evaluated at the
level of the growth trajectories as a whole (i.e. time-unspecific), not at the level of
the repeated measures from time point to time point as is done in the AR model
© 2008 The Authors. Journal compilation © 2008 VVS.
62 M. J. M. H. Delsing and J. H. L. Oud

(i.e. time-specific; Curran and Bollen, 2001). The measurement equations for the
bivariate LT model are:
y1ti = ti x1 + d1 + 1ti , (7)

y2ti = ti x2 + d2 + 2ti . (8)

Combined with the latent model part:
d1 = 1 + 1 , (9)

d2 = 2 + 2 , (10)

x1 = 1 + 1 , (11)

x2 = 2 + 2 , (12)

this gives:
y1ti = 1 + 1 + (1 + 1 )ti + 1ti , (13)

y2ti = 2 + 2 + (2 + 2 )ti + 2ti . (14)

Clearly the latent variables d1 and d2 [random intercept variables in contrast to the
fixed intercepts in vectors d1 and d2 of (3) and (4)] and x1 and x2 (random slope
variables) are time-unspecific. The connection to the time points is made by the load-
ings ti of the slope variables at successive time points. The latent model in (9)–(12) is
particularly simple, as it decomposes the latent variables into their means 1 , 2 , 1 ,
2 and zero-mean deviation parts 1 , 2 , 1 , 2 . Importantly, however, it allows
the covariance and correlation matrices between 1 , 2 , 1 , 2 to be computed and
tested. (For a more detailed description of the LT model, see, e.g. Hancock, Kuo
and Lawrence, 2001; Ferrer and McArdle, 2003; Bollen and Curran, 2004.)
Figure 2 is a path diagram of the bivariate LT model for four waves of data.

4 ALT models
Recently, Bollen and Curran (2004) and Curran and Bollen (2001) have com-
bined the AR cross-lagged model with the LT model into the ALT model. The ALT
model incorporates key elements from both the AR and LT models: lagged influ-
ences of a variable on itself and another variable are combined with intercept and
slope parameters governing the developmental trajectories.
Bollen and Curran have proposed two versions of the ALT model in which
observations at the first time point are either treated as endogenous (Curran and
Bollen, 2001) or as predetermined (Bollen and Curran, 2004). Estimating the
endogenous ALT model requires nonlinear constraints on the loadings of the first
measurement point for the intercept and slope factors. This is done to account for
the fact that, when adding autoregressive and/or cross-effects to the LT model, as
is done in the ALT model, the first measurement with no lagged values becomes
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 63

1 1
1
1 1 1 1 2
3

y1 y1 y1 y1

t0 t1 t2 t3

y2 y2 y2 y2

1
1 1 3
2

2
1 1 2

Fig. 2. Bivariate LT model for four waves of data.

fundamentally different from the subsequent measurements, which are predictable

from their lagged values. Another way to deal with this problem is to use a pre-
determined version of the ALT model in which no loadings of the first measure-
ment point on the intercept and slope factors are specified at all but, instead,
values of the first measurement are allowed to covary with the intercept and slope
factors.
Although applications of both the endogenous and predetermined version of the
ALT model are still scarce, the predetermined ALT appears to be more popular,
probably because the nonlinear constraints easily lead to computational problems
when conventional SEM software is used to fit the endogenous ALT model
(Hamaker, 2005). The predetermined ALT model has been used to investigate re-
ciprocal relations between hostility and alcohol use at both the time-unspecific (i.e.
covariance between growth factors) and time-specific (i.e. cross-lagged effects) levels
(Hussong et al., 2001). Another application of the predetermined ALT model is an
investigation of the reciprocal relations between daily anxiety and panic expectancy
(Rodebaugh, Curran and Chambless, 2002). To our knowledge, the only study to
date applying the endogenous version of the ALT model is Curran and Bollen’s
(2001) own investigation of reciprocal influences between antisocial behavior and
depressive symptoms.
The basic bivariate ALT model adds random LT parts 1 + (1 + 1 )ti and 2 +
(2 + 2 )ti to equations (1) and (2) of the AR model:
© 2008 The Authors. Journal compilation © 2008 VVS.
64 M. J. M. H. Delsing and J. H. L. Oud

x1ti = a11 x1ti−1 + a12 x2ti−1 + b1 + 1 + (1 + 1 )ti + w1ti−1 , (15)

x2ti = a21 x1ti−1 + a22 x2ti−1 + b2 + 2 + (2 + 2 )ti + w2ti−1 . (16)
While the random slope variables 1 + 1 and 2 + 2 consist of means 1 and 2
as well as deviation parts 1 and 2 with zero mean, the means associated with ran-
dom intercept variables 1 and 2 are absorbed by the fixed intercepts b1 and b2 . As
explained above, the predetermined version of the model has no extra equations specified
to relate the latent LT parts 1 + (1 + 1 )ti and 2 + (2 + 2 )ti to the initial values
x1ti−1 = x1t0 and x2ti−1 = x2t0 , but just lets the LT parts covary with the initial values.
In the basic ALT model, the measurement equations are particularly simple:

y1ti = x1ti , (17)

y2ti = x2ti . (18)

However, in a more general version measurement errors as well as additional mea-

surement LT parts are added:

y1 ti = c1 x1ti + d1 + 1 + (1 + 1 )ti + v1ti , (19)

y2 ti = c2 x2ti + d2 + 2 + (2 + 2 )ti + v2ti . (20)

Notice the fundamental difference in the handling of LT parts by the latent state
equations (15)–(16) and by the measurement equations (19)–(20). In the latent state
equations they cumulate over time, each time point adding a new LT value to x1ti
and x2ti in addition to those already present in x1ti−1 and x2ti−1 . No such cumula-
tion takes place in the measurement equations, that put the LT values only once into
y1 ti and y2 ti at measurement time point ti . The specification of LT parts in the mea-
surement equation of an AR model is older than the ALT model and was already
proposed by Goodrich and Caines (1979), Jones (1993, p. 112) and Shumway and
Stoffer (2000, p. 380).
Although the LT parts greatly enhance the flexibility of the model, they should be
specified with care. Especially the complicated slope effects (1 + 1 )ti and (2 + 2 )ti
in (15)–(16), proposed by Curran and Bollen (2001), deserve to be used parsimo-
niously. Whereas the intercepts 1 and 2 in (15)–(16) only differentiate mean devel-
opmental curves of different subjects and cause each subject to regress towards its
own mean trajectory instead of towards a common population trajectory (Oud and
Jansen, 2000; Oud, 2004), the slope effects 1 ti and 2 ti in addition tend to com-
pete with the AR growth. Adding the slope effects to the AR model has another
drawback. The AR model in (1)–(6) is time invariant and this property is impor-
tant in a causal interpretation of the model, but time invariance is immediately lost
by the addition of the slope effects. Whereas time invariance defines the model re-
sults to be independent of shifts in the time scale, adding effects 1 ti and/or 2 ti
makes the results directly dependent on the time scale. In particular, the covariances
between the intercepts and slopes of the same and different variables move up and
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 65

down, depending on the location of the zero time point, and even the sign of their
value is not time-invariant.
The intercepts 1 and 2 in measurement equations (19)–(20) (associated means
are absorbed by measurement origins d1 and d2 ) should be specified, when there is
reason to believe that the levels of the measurement instruments differ for different
subjects; the slope effects (1 + 1 )ti and (2 + 2 )ti , when differential growth or
decay in the measurement instruments is plausible. Figure 3 is a path diagram of
the bivariate ALT model (15)–(18) for four waves of data.
Curran and Bollen (2001) applied all three models described above (i.e. the AR
model, the LT model, and the ALT model) to the analysis of reciprocal relations
between antisocial behavior and depressive symptoms. Results across procedures were
mixed. AR analyses revealed that earlier depressive symptoms did not predict later
antisocial behavior, but earlier antisocial behavior did significantly (p < 0.01) and
positively predict later depressive symptoms. Bivariate latent curve analyses indicated
a significant positive relation between the depressive symptoms intercept and the
antisocial slope, suggesting that individual differences in depressive symptoms pos-
itively affect antisocial behavior increases over time (in their final model, no slope
factor was specified for depressive symptoms because of nonsignificant estimates for
both the mean and the variance of this factor in a previous version of the model).
Analyses of the same data using the ALT model revealed that, again, a significant
positive relation was found between the depressive symptoms intercept and the anti-
social slope (as in the LT model, no slope factor was specified for depressive

κ1 κβ1
1
1 1 1 2
3

y1 y1 y1 y1

t0 t1 t2 t3

y2 y2 y2 y2

3
1 1 2
κ2 1 1 κβ2

Fig. 3. Bivariate ALT model for four waves of data.

© 2008 The Authors. Journal compilation © 2008 VVS.
66 M. J. M. H. Delsing and J. H. L. Oud

symptoms). Additionally, as in the AR cross-lagged model, earlier measures of

depression did not predict later levels of antisocial behavior, but earlier levels of
antisocial behavior significantly predicted later levels of depression.

5 CALT model
5.1 Problems of discrete-time modeling of cross-lagged effects and how to solve them
in continuous time
Within both the AR cross-lagged model and the ALT model, cross-lagged effects
are defined and estimated just and exclusively for the discrete time points that coin-
cide with the measurement points. In other words, the arrows representing the cross-
lagged effects jump from one point in time to the next with the implicit assumption
that between measurements nothing happens (see Figures 1 and 3). The ALT model
is therefore a hybrid in that the LT part is specified and in practice always presented
as a continuous function of time, whereas the cross-lagged effects are specified to
occur shockwise at the discrete measurement time points only.
Real-life processes, however, evolve in continuous time and the cross-lagged
effects should be considered the result of an ongoing process of variables influencing
each other continuously. In fact, discrete-time cross-lagged effects are complicated
mixtures of continuous-time cross- and auto-effects in a constant interchange over
and heavily dependent on the length of the observation interval chosen and should
be analyzed as such. It is true that discrete-time models applied to real-life
processes are often used as approximations. This need not be a problem, as long as
the discrete-time interval is sufficiently small. However, measurements in panel stud-
ies typically are taken not more often than one or two times a year, resulting in a
large time interval. As a consequence, discrete-time modeling in terms of the obser-
vation interval is typically a simplification and often a distortion of reality. Many
underlying continuous-time processes as, for example, oscillatory movements, go
unnoticed in discrete time, as they are masked by the discrete-time observation filter.
It can easily be proven that the strength of cross-lagged effects and even the sign
varies depending on the interval chosen by the researcher. Moreover, the order of
magnitude between opposite cross-lagged effects may reverse when passing from one
interval to the other (Delsing, Oud and De Bruyn, 2005; Oud, 2007). As a result,
outcomes pertaining to different intervals within and between studies are incompa-
rable and often appear to be contradictory (Gollob and Reichardt, 1987; Lorenz
et al., 1995; Sher et al., 1996).
Moreover, even when both intervals and discrete-time effects are equal across stud-
ies, this does not guarantee at all that the underlying continuous-time effects are
equal. Equality at a single point in time may be consistent with quite different cross-
lagged effect functions across time. For example, the cross-lagged effect functions
of a pair of reciprocal effects, although having equal values at one specific point
in time, may have quite different forms across time and different maxima found at
different points in time. In Figure 4, cross-lagged effect functions in opposite causal
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 67

0.25 x 1 to x 2

Coefficient value 0.20

x 2 to x 1
0.15

0.10

0.05

0.00
0 0.5 1 1.5 2 2.5 3 3.5
Observation interval

Fig. 4. A pair of cross-lagged effect functions in opposite causal directions.

directions, taken from an AR example explained more fully in Oud (2007), make
this clear. At interval 0.66, the cross-lagged effect from x1 to x2 is equal to the
effect from x2 to x1 . However, researchers choosing the interval between 0 and 0.66
year as well as analysts in continuous time will come to the conclusion that x2 has
a larger effect on x1 than conversely (maximum difference reached at interval 0.27),
whereas researchers choosing the interval larger than 0.66 will arrive at the oppo-
site conclusion (maximum difference reached at interval 2.74). For the effect from
x1 to x2 , the maximum value is found at interval 1.70, for the effect in the opposite
direction from x2 to x1 earlier at interval 1.42.
Oud (2007) demonstrated that a continuous-time version of the AR model using
stochastic differential equations resolves the problems explained above. In partic-
ular, continuous-time modeling enables an accurate comparison, both within and
across studies, of differently spaced models of the same real-life process. In addition
to the underlying continuous-time parameters, it generates the complete cross-lagged
effect functions. So, it enables the evaluation of the direct and indirect combined
effects of the continuous-time parameters over all intervals, both at and between the
observation intervals. In the following section, we describe the CALT model, which
analogously solves the problems of the ALT model. Later on the CALT model will
be applied to the analysis of the reciprocal relations between antisocial behavior and
depressive symptoms.

5.2 Elements of the CALT model

Although the AR and ALT models in the previous sections were formulated only
for two latent variables x1ti and x2ti , the CALT model in this section will be spec-
ified in a general fashion for an arbitrary number of latent variables. It consists of
the stochastic differential equation (21), describing the evolution of the latent vari-
ables in x(t) in continuous time, and measurement equation (22), describing for all
observed variables in yti , how the latent variables become manifest at the discrete
observation time points ti .
© 2008 The Authors. Journal compilation © 2008 VVS.
68 M. J. M. H. Delsing and J. H. L. Oud

dx(t) dW(t)
= Ax(t) + Bu(t) +  + ( +  )t + G , (21)
dt dt

yti = Cx(ti ) + Du(ti ) +  + ( +  )ti + vti . (22)

The elements of W(t) contain the Wiener process (see, e.g. Jazwinski, 1970; Arnold,
1974). In addition to the Wiener process, which by definition is normally distrib-
uted, the initial state variables in x(t0 ) are also assumed to be normally distributed,
x(t0 ) ∼ N(xt , xt ), as well as the measurement errors, vti ∼ N(0, Rti ). Drift matrix
0 0
A is analogous to the autoregression matrix in discrete time. In fact, the autore-
gression matrix will be derived as a functional of the drift matrix for each of the
discrete time points ti separately. Important properties of the model depend on the
drift matrix. For example, if all eigenvalues of A have a negative real part, the model
is asymptotically stable. If complex eigenvalues turn up, oscillating movements are
implied.
By means of matrix G, the standard multivariate Wiener process W(t), having
covariance matrix I for t = 1, is transformed into general Wiener process with arbi-
trary covariance matrix (Ruymgaart and Soong, 1984, pp. 68–75). In practice, the
so-called diffusion matrix Q = GG , which is interpretable as the error covariance
matrix in continuous time, is evaluated. Analogous to the relation between autore-
gression matrix and drift matrix, the discrete-time error covariance matrix is derived
as a functional of the diffusion matrix.
Effects Bu(t) =/ 0 and Du(ti ) =/ 0 for fixed input variables in u(t) accommodate for
nonzero and nonconstant mean trajectories E[x(t)] and E(yti ) that are frequently
observed even in the case of an asymptotically stable model. By means of vector ,
state equation (21) introduces constant (over time) random-subject effects
 ∼ N(0,  ), which are referred to as intercept variables. They enable to distinguish
intercept variance (unobserved heterogeneity between subjects) clearly from stabil-
ity, avoiding the artifact of instability or high autoregression to keep the subject
trajectories apart. Note that the covariance matrix ,xt0 between initial state and
intercept cannot, in general, be assumed zero, because the intercept variables  are
modeled to influence x(t) continuously, after but also before t0 . Analogously, the
slope variables  +  with means  and covariance matrices  ,  ,xt0 , and  ,
are introduced.
Although we will formulate the EDM directly in terms of (21), it should be noted
that all four types of random-subject effects could be added to the state vector x(t),
thus making the continuous-time CALT model and analogously the discrete-time
CALT model and its submodels (AR and LT) accessible for basic state-space model
estimation procedures (e.g. LSDE by Singer, 1991). This is immediately clear for 
and  +  , which in E[x(t0 )] would get 0 and  , in successive time-varying matrices
Cti specifications 1 and ti , and in A both 0 (no change), because

d d( +  )
= = 0.
dt dt
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 69

In contrast,  and slope effects ( +  )t would get 0 and  t0 in E[x(t0 )], and
both 0 in C (unobserved heterogeneity). However, whereas  also gets 0 in A because
of d/dt = 0, the situation with regard to (t) ≡ ( +  )t in the dynamic state equa-
tion is more complicated:

d(t) 1
= (t) =  +  .
dt t

In the present paper, we describe the EDM/SEM continuous-time procedure that,

for estimating the CALT model, in addition to the EDM uses SEM (Oud and Jan-
sen, 2000). The EDM/SEM procedure will be applied to the analysis of reciprocal
relations between antisocial behavior and depressive symptoms.

5.3 Estimating the CALT model by means of the EDM/SEM procedure

To estimate a stochastic differential equation model in the case of a sample of multi-
ple subjects, Arminger (1986) employed the so-called ‘indirect’ method, which con-
sists of two steps. In the first step, one estimates the discrete-time parameters by
means of an SEM program. In the second step, one derives the continuous-time
parameter values using the EDM. Hamerle, Nagl and Singer (1991) criticized the
indirect method and the use of SEM programs like LISREL (Jöreskog and Sör-
bom, 1996), because the necessary matrix exponential nonlinear constraints between
continuous-time and discrete-time parameters cannot be imposed. Oud and Jansen
(2000), however, showed how nonlinear SEM software packages like Mx (Neale
et al., 1999) can be employed for maximum likelihood estimation of the continu-
ous-time model parameters, using the direct method. In this method one applies
the nonlinear constraints of the EDM directly during estimation.
The EDM, introduced in 1961–1962 by Bergstrom (1988), links in an exact way
the discrete-time model parameters to the underlying continuous-time model param-
eters by means of nonlinear restrictions. The link is made by solving the stochastic
differential equation as given for the CALT model in equation (21) for the correct
observation intervals ti = ti − ti−1 and thus relating the discrete-time parameters in
the discrete-time equation (23)

xti = Ati xti −ti + Bti uti −ti + Hti  + Fti  + Fti  + wti −ti
with cov(wti −ti ) = Qti (23)

to the underlying ones in (21) by the following highly nonlinear restrictions on the
discrete-time parameters:

Ati = eAti ,

Bti = A−1 (Ati − I)B,

© 2008 The Authors. Journal compilation © 2008 VVS.
70 M. J. M. H. Delsing and J. H. L. Oud

Hti = A−1 (Ati − I),

ti = Hti  Hti ,

ti ,xt0 = Hti ,xt0 for ti = Hti ,

Fti = Hti ti−1 + A−1 (Hti − ti I), (24)

, ti = Fti  Fti ,

, ti ,ti = Fti  , Hti ,

, ti ,xt0 = Hti  ,xt0 for ,ti = Fti  ,

 
Qti = irow (A ⊗ I + I ⊗ A)−1 (Ati ⊗ Ati − I ⊗ I)row(GG ) .

All expressions in (24) are derived in Oud and Jansen (2000) and Singer (1990) (see
especially Appendix A in the former for the derivation of the integrals Bti , Hti ,
Fti , and Qti ). A detailed explanation of how the constrained parameter matrices
in (24) are put into SEM matrices to get the SEM estimates is found in Oud and
Jansen (2000) and Oud (2004, 2007).

6 Empirical example: CALT model for reciprocal influence between antisocial behav-
ior and depressive symptoms
There has been quite some interest recently in the relation between antisocial behav-
ior and depressive symptoms, both in terms of the development over time of each
of these variables as well as in the potential influences between them over time.
Past empirical research suggests that antisocial behavior and depressive symptoms
in childhood are related to one another, both cross-sectionally (e.g. Capaldi, 1991)
and longitudinally (e.g. Capaldi, 1992). However, the direction of the causal relation
between both is still controversial: antisocial behavior may lead to depressive symp-
toms (failure perspective, see, e.g. Capaldi, 1992; Burke et al., 2005), depressive
symptoms may lead to antisocial behavior (acting out perspective, see, e.g. Carl-
son and Cantwell, 1980; Gold, Mattlin and Osgood, 1989), both variables may
influence each other reciprocally (mutual influence perspective, see Overbeek et al.,
2001), or there may be no direct effects between antisocial behavior and depressive
symptoms at all (see, e.g. Fergusson, Lynskey and Horwood, 1996; Krueger et al.,
1998; Krueger, 1999).
The purpose of our illustrative application was to examine to what extent in
continuous time depressive symptoms influence antisocial behavior and antisocial
behavior influences depressive symptoms. Furthermore, we wanted to examine the
problem behaviors’ stability and change in continuous time. Next, the autoregres-
sion functions and cross-lagged effect functions are assessed. Finally, the model is
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 71

applied to find the mean development, subject-specific mean development and indi-
vidual latent trajectories by means of the Kalman smoother.
The empirical data used in this study are the same as used in Curran and Bollen
(2001) and come from the National Longitudinal Survey of Youth (NLSY). The
data analyzed are collected from a sample of 180 children (57% male) biennially in
the years 1986, 1988, 1990 and 1992. Our analyses were based on the means and
covariances for the four repeated measures of antisocial behavior and depressive
symptoms reported in Curran and Bollen (2001, p. 111). Antisocial behavior was
operationalized using the mother’s report on six items that assessed the child’s anti-
social behavior. The three possible response options were ‘not true’ (scored 0),
‘sometimes true’ (scored l), or ‘often true’ (scored 2). The six items were summed to
compute an overall measure of antisocial behavior that ranged from 0 to 12. Depres-
sive symptoms were operationalized using the mother’s report on five items that
assessed the child’s internalizing and depression symptoms using the same response
options as for antisocial behavior. The five items were summed to compute an over-
all measure of depressive symptoms with a range from 0 to 10. (For a more detailed
description of the sampling and data collection procedure, see Curran and Bollen,
2001.)

6.1 Parameter estimation results by the EDM/SEM procedure

The EDM for the CALT model relates the continuous-time parameter matrices in
(21) to the discrete-time parameter matrices in (23) by means of the constraints in
(24). The special case of (21) to be estimated for the CALT model of the reciprocal
relations between antisocial behavior Ant and depressive symptoms Dep reads
dx1 (t) dW1 (t)
= a11 x1 (t) + a12 x2 (t) + b1 + 1 + (1 + 1 )t + g11 , (25)
dt dt
dx2 (t)
= a21 x1 (t) + a22 x2 (t) + b2 + 2 + (2 + 2 )t
dt
dW1 (t) dW2 (t)
+ g21 + g22 . (26)
dt dt
It contains the state variables Ant x1 (t) and Dep x2 (t), that are allowed to enter-
tain both auto-effects (a11 and a22 ) as well as cross-effects (a12 and a21 ), and the
intercept and slope factors Ant-Int (1 ), Ant-Slo (1 + 1 ), Dep-Int (2 ), and Dep-
Slo (2 + 2 ). In addition there are the fixed growth intercepts b1 and b2 and
the Wiener process contributions g11 dW1 /dt, g22 dW2 /dt, g21 dW1 /dt. By means of
Q = GG , g11 , g22 , g21 define the diffusion coefficients q11 , q22 , q21 in symmetric diffu-
sion matrix Q, where g21 = / 0 → q21 =/ 0 allows Q to be nondiagonal and the diffu-
sion processes to be correlated. As in Curran and Bollen (2001), the model is
observed: y1ti = x1ti and y2ti = x2ti , meaning that there are only two observed vari-
ables, connected to the state variables without measurement error. So the model does
not contain any measurement parameters.
© 2008 The Authors. Journal compilation © 2008 VVS.
72 M. J. M. H. Delsing and J. H. L. Oud

Because the time intervals between the measurements were 2 years, t = 2.00 for
each of the three observation intervals t1 − t0, t2 − t1, and t3 − t2 and the model is
evaluated on the actual time scale. We started with the full CALT model as the
initial model. The model fitted the data moderately well: χ2 (12) = 33.7, p < 0.001;
RMSEA = 0.10. However, because the variances of the slope factors (i.e. Ant-Slo
and Dep-Slo) did not significantly differ from zero, these factors were eliminated
from the initial model. The reduced model did not fit significantly worse than the
initial model, χ2dif (11) = 22.8, p > 0.02, and was therefore retained as our final model.
In total, 21 parameters had to be estimated:
• four drift coefficients (a11 , a22 , a12 , a21 ),
• two fixed growth intercepts (b1 and b2 ),
• three Wiener process contribution coefficients (g11 , g22 , g21 ),
• two initial state means (x1t , x2t ),
0 0
• three initial state variances and covariance (x1t , x2t , x1t x2t ),
0 0 0 0
• three random intercept variances and covariance (1 , 2 , 1 2),
• four covariances between intercepts and initial states (1 x1t , 1 x2t , 2 x1t ,
0 0 0
2 x2t ).
0

There are eight observed variables or eight observed means and 36 (distinct) ele-
ments in the observed covariance matrix, resulting in (36 + 8) − 21 = 23 degrees of
freedom for the SEM model. The model fits the data slightly better than the initial
model, χ2 (23) = 56.5, p < 0.001; RMSEA = 0.09.
In Table 1, the estimation results for the EDM by the Mx program are given
(Mx input and output files can be downloaded from the second author’s website
http://www.socsci.ru.nl/∼hano/). Instead of the EDM parameters g11 , g22 , g21 , which
were all significant, the diffusion coefficients q11 , q22 , q21 are reported. Because the
diffusion coefficients themselves are no parameters in the EDM, no standard errors
are computed for them by Mx.
The eigenvalues of√ the estimated EDM drift matrix A are −0.912 ± j0.191 (j the
imaginary number −1). Because the real part of this pair of conjugate complex
eigenvalues is negative, the model is stable, meaning that after disturbance away
from the subject-specific mean curves E[x(t) | ], the two state variables quite rap-
idly tend to return to E[x(t) | ]. Because of the small nonzero imaginary part 0.191
some oscillation is implied. However, the rather strong stability and the extreme long
time period of the oscillation of Tp = 2 /0.191 = 32.9 years indeed make the oscilla-
tion difficult to observe directly from the data. It will be made visible graphically in
the next section. As is well known (e.g. Phillips, 1973; Priestley, 1981; Hamerle
et al., 1991; Singer, 1992a; Oud, 2000), complex eigenvalues could be the source
for nonidentification. Adding ± k2 t−1 for arbitrary integer k to  in the conju-
gate eigenvalue pair
1,2 =  ± j leads to a different drift matrix (so-called ‘alias’),
which, however, may be observationally equivalent to the original A. Fortunately,
the requirement of a positive-definite Q makes the number of observationally equiv-
alent structures finite. For the estimated A no observationally equivalent structure
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 73

Table 1. Parameter estimates for the EDM (standard errors in

parentheses).
Parameter Estimate
Drift coefficients (standardized)
a11 Ant → Ant −0.780 (0.235)
a12 Dep → Ant −0.191 (0.257) n.s.
a21 Ant → Dep 0.282 (0.251) n.s
a22 Dep → Dep −1.044 (0.348)
Fixed growth intercepts
b1 Ant 2.082 (0.644)
b2 Dep 1.839 (0.689)
Diffusion coefficients
q11 Ant 4.094
q22 Dep 5.135
q12 Ant × Dep 1.522
Initial state means
x1t mean initial-Ant 1.750 (0.128)
0
x2t mean initial-Dep 2.178 (0.134)
0
Initial state variances and covariance
x1t variance initial-Ant 2.926 (0.309)
0
x2t variance initial-Dep 3.208 (0.339)
0
x1t x2t covariance initial-Ant × initial-Dep 1.240 (0.247)
0 0
Intercept variances and covariance
1 variance intercept-Ant 1.973 (1.168) n.s.
2 variance intercept-Dep 0.627 (0.706) n.s.
1 2 covariance intercept-Ant × intercept-Dep 0.533 (0.746) n.s.
Covariances between intercepts and initial states
1 x1t covariance intercept-Ant × initial-Ant 1.279 (0.452)
0
1 x2t covariance intercept-Ant × initial-Dep 1.064 (0.457)
0
2 x1t covariance intercept-Dep × initial-Ant 0.238 (0.405) n.s.
0
2 x2 covariance intercept-Dep × initial-Dep 1.086 (0.501)
t0

n.s.: p > 0.05.

existed. The extra restriction of − <  < for  in

1,2 =  ± j was used to identify
the model.
With regard to the drift coefficients, an important difference in interpretability is
between the auto-effects on the one hand and the cross-effects on the other hand.
The auto-effects a11 and a22 are scale-free in the sense that they do not change under
arbitrary linear transformations of depressive symptoms and antisocial behavior,
and so are directly interpretable. In particular, in Table 1, both antisocial behavior
and depressive symptoms show negative auto-effects (−0.780 and −1.044, respec-
tively), again indicating stability or a tendency for the variables to converge quickly
to the subject-specific mean trajectories. These continuous-time auto-effects trans-
form for discrete time interval t = 2 in the EDM into autoregressions of 0.192
and 0.108 (for t = 1 to 0.447 and 0.342), respectively, which indeed are rather low,
strongly stabilizing values.
To become comparable, the cross-effects a12 and a21 (which are not scale free)
were standardized by multiplying them with the ratios of the initial standard devia-
© 2008 The Authors. Journal compilation © 2008 VVS.
74 M. J. M. H. Delsing and J. H. L. Oud
   
tions x2t x1t and x1t x2t , respectively. The standardized nonsignifi-
0 0 0 0
cant cross-effects of −0.191 and 0.282 in Table 1 indicate no cross-effects between
antisocial behavior and depressive symptoms. Our results in continuous time are
different from those of Curran and Bollen (2001), who found in their discrete-
time analysis evidence for a small, but significant cross-lagged effect of antisocial
behavior on depressive symptoms.
It should be noted that the intercept variable 2 did not have a variance 2 that
was even close to significance, but was included on the basis of a significant covari-
ance 2 x2t (Oud, 2004).
0

6.2 Autoregression and cross-lagged effect functions for the CALT model example
By means of (23)–(24) one derives for the CALT model (25)–(26) without slope vari-
ables the following mean development over time:

E[x(t)] = eA(t−t0 ) E[x(t0 )] + A−1 (eA(t−t0 ) − I)b (27)

and the following subject specific mean development:

E[x(t) | ] = eA(t−t0 ) E[x(t0 )] + A−1 (eA(t−t0 ) − I)b

−1 A(t−t0 )
+ eA(t−t0 ) −1
,xt   + A (e − I). (28)
0

As is clear from equations (27) and (28), the matrix exponential eA(t−t0 ) plays a cen-
tral role in all parts of the developmental dynamics. It defines the autonomous devel-
opment of the state disregarding external influences, x(t) = eA(t−t0 ) x(t0 ), its diagonal
elements describing the autoregression functions and its off-diagonal elements the
cross-lagged effect functions. In fact, eA(t−t0 ) depicts the consequences of the inter-
play between the continuous-time auto- and cross-effects in drift matrix A for arbi-
trary discrete-time intervals t = t − t0 , at but also between and after the measure-
ment time points ti . As noted before, in contrast to Curran and Bollen (2001),
we did not find a significant cross-effect in A, let alone significant reciprocal effects.
Nevertheless, for illustrative reasons, we will analyze the matrix exponential eA(t−t0 )
for the full nondiagonal A with the EDM estimates of both a12 and a21 included.
If we diagonalize A as follows
 
  + j 0
A = FF = F F (29)
0  − j
with F the eigenvector matrix of A and  the matrix with the eigenvalues on the
diagonal, the matrix exponential can be written
 ( + j) (t−t ) 
e 0
0
eA(t−t0 ) = Fe(t−t0 ) F = F F
0 e(−j) (t−t0 )
 (t−t )j 
e 0
0
=e (t−t 0 )
F F . (30)
0 e−(t−t0 )j
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 75

Because of Euler’s formula, e±tj = cos( t) ± j sin(t),

 
e(t−t0 )j 0
F F
0 e−(t−t0 )j

is the oscillating part of the matrix exponential, defining the four oscillators in the
autoregression functions and the cross-lagged effect functions, and e(t−t0 ) the sta-
bilizing part or stabilizer. In Figure 5A the stabilizer and oscillators are shown, in
Figure 5B the full autoregression functions and in Figure 5C the full cross-lagged
effect functions. The figure clarifies how the two autoregression functions are based
on oscillators starting from 1.00 (Auto-Ant and Auto-Dep) and the two cross-lagged
effect functions on oscillators starting from 0.00 (Cross-Ant to Dep and Cross-Dep
to Ant), and how multiplication with the strong stabilizer (solid line in Figure 5A)
in combination with the long oscillation time period of Tp = 32.9 years dampens
the oscillation almost immediately and makes the oscillating movement difficult to
recognize in the autoregression and cross-lagged effect functions. Nevertheless, the
form of the autoregression and cross-lagged effect functions in Figure 5B and C,
based on complex eigenvalues, is different from those based on real eigenvalues.
The resulting autoregression functions in Figure 5B show that a unit increase at
t0 indeed dies out very quickly: after 2.7 years for Ant hardly 10% is left and for
Dep less than 5%, after 6 years (the period between wave 1 and wave 4) virtually 0
is left. The cross-lagged effect functions show a very quick build up of the effects in
both directions until the maximum value is reached already after 1.1 year for both
Ant to Dep and Dep to Ant. The standardized maximum values are low, however:
0.11 for Ant to Dep and −0.07 for Dep to Ant. After the maximum is reached, the
effects die out more slowly than they were built up.

6.3 Interpolated and predicted mean trajectories, subject-specific mean trajectories and
Kalman smoother trajectories of antisocial behavior and depressive symptoms
After reporting and evaluating the model estimates and recommending other and
better models, many studies in economics and the social sciences finish. Not less
important from a practical standpoint is, however, the application of the model by
reporting on the basis of the model the interpolated and predicted mean trajecto-
ries E[x(t)] (27), subject-specific mean trajectories E[x(t) | ] (28) and optimally esti-
mated sample trajectories of subjects by means of the Kalman smoother E[x(t) | y]
(Rauch, Tung and Striebel, 1965; Singer, 1992b; Oud et al., 1998). For estimat-
ing E[x(t) | ], one needs, in addition to the model parameter estimates, an estimate
of the subject’s latent intercept values in . This is obtained as part of the Kalman
smoother E[x(t) | y]. The application of the Kalman smoother is based on a subject’s
data vector y. We took a subject that had as raw scores for Ant at the successive four
waves: 2, 4, 5, 5 and for Dep: 3, 4, 4, 4. All three curves are displayed in Figure 6
for antisocial behavior and depressive symptoms.
© 2008 The Authors. Journal compilation © 2008 VVS.
76 M. J. M. H. Delsing and J. H. L. Oud

A 2.00 Stabilizer (solid line) and oscillators (dashed lines)

1.50

1.00

0.50
Value

0.00
0 5 10 15 20 25 30 35
–0.50

–1.00
Cross-Dep to Ant
–1.50 Auto-Ant Auto-Dep
Cross-Ant to Dep
–2.00
t – t0

B 1.00 Autoregression functions

0.80

0.60
Value

0.40

Ant
0.20

Dep
0.00
0 5 10 15 20 25 30 35
t – t0

C 0.15 Cross-lagged effect functions

0.10

Ant to Dep
0.05
Value

0.00
0 5 10 15 20 25 30 35 40
Dep to Ant
–0.05

–0.10
t – t0

Fig. 5. Stabilizer and oscillators (A), combining into the autoregression functions (B) and cross-lagged
effect functions (C).

It turns out that the mean increases slightly over the observation period 1986–1992
for Ant but less so for Dep. Because of the model’s stability both mean curves con-
verge to a stable equilibrium value in the prediction period. The child’s estimated
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 77

6.00
Antisocial Behavior

5.00 E [x 1(t )|y]

4.00
value

E [x 1(t )| ]
3.00

2.00
E [x 1(t )]
1.00

0.00
1986 1988 1990 1992 1994 1996 1998
time

6.00 Depressive
Symptoms
5.00
E [x 2 (t )|y]
4.00
value

3.00 E [x 2 (t )| ]

2.00 E [x 2 (t )]

1.00

0.00
1986 1988 1990 1992 1994 1996 1998
time

Fig. 6. Means, subject-specific means and Kalman smoother trajectories for antisocial behavior and
depressive symptoms.

intercept values for Ant and Dep of 1.582 and 0.561 with standard errors of 0.712
and 0.438, respectively, turn out to be significant for Ant but not for Dep. As the
mean trajectories and subject-specific mean trajectories differ only in the effect of the
intercept [compare equations (27) and (28)], one could conclude that the child’s mean
curve differs significantly from the unconditional mean for Ant but not for Dep.
It is clearly seen in both graphs that the child’s sample (Kalman smoother) tra-
jectories have the tendency to regress towards the subject-specific mean and not to
the unconditional mean. It is an important advantage of the intercept variable that
by only varying this single variable, one specifies in a sense for each subject its own
model.
Figure 6 also shows the typical cloud-like confidence interval bands (±1 se) for the
Kalman smoother, the estimates becoming less certain, the larger the distance from
the measurement time points. They show that the child’s sample trajectory differs
for Ant at many places significantly or almost significantly from the unconditional
mean but not from the subject-specific mean. As in Curran and Bollen (2001),
© 2008 The Authors. Journal compilation © 2008 VVS.
78 M. J. M. H. Delsing and J. H. L. Oud

a model without measurement errors was specified. This has the drawback that the
sample trajectory accounts for explanation error but not for measurement error and
that at the measurement time points no uncertainty is left. Finally, the confidence
intervals also show the predictions to become increasingly uncertain.

7 Conclusion
The aim of this article was to present the CALT model and the EDM/SEM pro-
cedure for estimating it. The procedure was applied to the analysis of reciprocal
relations between antisocial behavior and depressive symptoms. The empirical data
used in this study were the same as used in Curran and Bollen (2001) and come
from the National Longitudinal Survey of Youth (NLSY).
Although Curran and Bollen (2001) found evidence for small, but significant,
lagged effects of antisocial behavior on depressive symptoms across the 2-year mea-
surement intervals, and for a positive relation between the depressive symptoms inter-
cept and the antisocial behavior slope, our EDM analyses revealed no significant
continuous-time effects between antisocial behavior and depressive symptoms
The contradictory findings of Curran and Bollen’s (2001) study and our own
study are obviously due to several crucial differences between their and our
approach. To begin with, we dropped the slope components for both antisocial behav-
ior and depressive symptoms, whereas Curran and Bollen only dropped the slope
component for depressive symptoms. Both slope components were dropped from
our model because their variances were not significantly different from zero. As
already noted, there are other reasons for parsimony with the introduction of slope
components. By introducing slope components, the model loses its time invariance
because its results become dependent on shifts in the time scale (see, e.g. Biesanz
et al., 2004; Mehta and West, 2000). This complicates both a causal interpretation
of the model and comparisons across studies using a different time scale. It should
be noted that the time-unspecific intercept-slope covariances also lack the time spec-
ificity of lagged effects that is often considered crucial in a causal interpretation.
Other differences between Curran and Bollen’s (2001) model and our own model
that may account for different results between the studies are that we used the pre-
determined version of the ALT model, whereas Curran and Bollen used the endo-
genous version. In addition, Curran and Bollen did not estimate AR effects in their
final model whereas we did, because in our model the continuous-time auto-effects
were highly significant. It should be noted that autoregressions go down, the longer
the time interval between the measurements.
As a final fundamental difference, of course, Curran and Bollen (2001) esti-
mated discrete-time cross-lagged effects pertaining exclusively to the 2-year time inter-
vals between measurements, whereas we estimated the underlying continuous time
effects. We have demonstrated that discrete-time parameters provide us with only a
snapshot of what happens in continuous time. These snapshots may lead to totally
different conclusions in the case of different observation intervals. The stochastic
© 2008 The Authors. Journal compilation © 2008 VVS.
Continuous-time ALT model 79

differential equations approach does not only provide estimates of change, stabil-
ities and reciprocities for the given time intervals like the discrete-time AR cross-
lagged and ALT models do, it also enables to interpolate between observation time
points and predict change, cross-lagged effects and stabilities as a function of time,
putting processes in a continuous-time framework. In such a way it frees the model
from the arbitrary choice of time points in the data collection and allows for a
comparison of results for different time intervals between measurements within and
between studies, which may be especially useful for meta-analyses. In meta-analy-
ses, the comparability of results is a key concern for the documentation of studies.
Another important benefit of continuous-time analysis is that it may also reveal
interesting underlying continuous-time processes like oscillatory movements which
easily go unnoticed in discrete time. As the application has demonstrated, the sto-
chastic differential equation approach in the CALT model offers researchers a pow-
erful technique for estimating change, relationships and stabilities over time and for
interpolation and prediction using panel data and SEM.

Acknowledgements
We thank Hermann Singer for his helpful comments in the preparation of the paper.

References
Arnold, L. (1974), Stochastic differential equations, Wiley, New York.
Arminger, G. (1986), Linear stochastic differential equations for panel data with unobserved
variables, in: N. B. Tuma (ed.), Sociological methodology, Jossey-Bass, Washington, DC
187–212.
Bergstrom, A. R. (1966), Nonrecursive models as discrete approximations to systems of sto-
chastic differential equations, Econometrica 34, 173–182.
Bergstrom, A. R. (1984), Continuous time stochastic models and issues of aggregation over
time, in: Z. Griliches and M. D. Intriligator (eds.), Handbook of econometrics, North-
Holland, Amsterdam, 1145–1212.
Bergstrom, A. R. (1988), The history of continuous-time econometric models, Econometric
Theory 4, 365–383.
Beyers, J. M. and R. Loeber (2003), Untangling developmental relations between depressed
mood and delinquency in male adolescents, Journal of Abnormal Child Psychology 31, 247–
266.
Biesanz, J. C., N. Deeb-Sossa, A. M. Aubrecht, K. A. Bollen and P. J. Curran (2004), The
role of coding time in estimating and interpreting growth curve models, Psychological Meth-
ods 9, 30–52.
Bollen, K. A. and P. J. Curran (2004), Autoregressive latent trajectory (ALT) models: a syn-
thesis of two traditions, Sociological Methods and Research 32, 336–383.
Branje, S. J. T., C. F. M. van Lieshout and M. A. G. van Aken (2004), Relations between
Big Five personality characteristics and perceived support in adolescents’ families, Journal
of Personality and Social Psychology 86, 615–628.
Bui, K. V. T., P. L. Ellickson and R. M. Bell (2000), Cross-lagged relationships among
adolescent problem drug use, delinquent behavior, and emotional distress, Journal of Drug
Issues 30, 283–303.
Burke, J. D., R. Loeber, B. B. Lahey and P. J. Rathouz (2005), Developmental transitions
among affective and behavioral disorders in adolescent boys, Journal of Child Psychology
and Psychiatry 46, 1200–1210.
© 2008 The Authors. Journal compilation © 2008 VVS.
80 M. J. M. H. Delsing and J. H. L. Oud

Caines, P. E. (1988), Linear stochastic systems, Wiley, New York.

Capaldi, D. M. (1991), Co-occurrence of conduct problems and depressive symptoms in early
adolescent boys: I. Familial factors and general adjustment at Grade 6, Development and
Psychopathology 3, 277–300.
Capaldi, D. M. (1992), Co-occurrence of conduct problems and depressive symptoms in early
adolescent boys: II. A 2-year follow-up at grade 8, Development and Psychopathology 4, 125–
144.
Carlson, G. A. and D. P. Cantwell (1980), Unmasking masked depression in children and
adolescents, American Journal of Psychiatry 137, 445–449.
Cui, M., R. D. Conger and F. O. Lorenz (2005), Predicting change in adolescent adjustment
from change in marital problems, Developmental Psychology 41, 812–823.
Curran, P. and K. Bollen (2001), The best of both worlds: combining autoregressive and
latent curve models, in: A. Sayer and L. Collins (eds.), New methods for the analysis of
change, American Psychological Association, Washington, DC, 107–135.
Curran, P. J. and A. M. Hussong, (2002), Structural equation modeling of repeated measures
data, in: D. Moskowitz and S. Hershberger (eds.), Modeling intraindividual variability with
repeated measures data: methods and applications, Erlbaum Associates, New York, 59–86.
Curran, P. J. and B. O. Muthén (1999), The application of latent curve analysis to testing
developmental theories in intervention research, American Journal of Community Psychol-
ogy 27, 567–595.
Curran, P. J., E. Stice and L. Chassin (1997), The relation between adolescent alcohol use
and peer alcohol use: a longitudinal random coefficients model, Journal of Consulting and
Clinical Psychology 65, 130–140.
Deary, I. J. (1995), Auditory inspection time and intelligence: what is the direction of causa-
tion? Developmental Psychology 31, 237–250.
De Jonge, J., C. Dormann, P. P. M. Janssen, M. F. Dollard, J. A. Landeweerd and F. J. N.
Nijhuis (2001), Testing reciprocal relationships between job characteristics and psychologi-
cal well-being: a cross-lagged structural equation model, Journal of Occupational and Orga-
nizational Psychology 74, 29–46.
Delsing, M. J. M. H., J. H. L. Oud and E. E. J. De Bruyn (2005), Assessment of bidirec-
tional influences between family relationships and adolescent problem behavior: discrete ver-
sus continuous time analysis, European Journal of Psychological Assessment 21, 226–231.
Fergusson, D. M., M. T. Lynskey and L. J. Horwood (1996), Origins of comorbidity between
conduct and affective disorders, Journal of the American Academy of Child and Adolescent
Psychiatry 35, 451–460.
Ferrer, E. and J. J. McArdle (2003), Alternative structural models for multivariate longitu-
dinal data analysis, Structural Equation Modeling 10, 493–524.
Finkel, S. (1995), Causal analysis with panel data, Sage, Thousand Oaks, CA.
Ge, X., R. D. Conger, F. O. Lorenz, M. Shanahan and G. H. Elder (1995), Mutual influ-
ences in parent and adolescent psychological distress, Developmental Psychology 31, 406–
419.
Gold, M., M. Mattlin and D. W. Osgood (1989), Background characteristics and response to
treatment of two types of institutionalized delinquent boys, Criminal Justice and Behaviour
16, 5–33.
Gollob, H. F. and C. S. Reichardt (1987), Taking account of time lags in causal models, Child
Development 58, 80–92.
Goodrich, R. L. and P. E. Caines (1979), Linear system identification from nonstationary
cross-sectional data, IEEE Transactions on Automatic Control 24, 403–411.
Hamaker, E. L. (2005), Conditions for the equivalence of the autoregressive latent trajectory
model and a latent growth curve model with autoregressive disturbances, Sociological Meth-
ods & Research 33, 404–416.
Hamerle, A., W. Nagl and H. Singer (1991), Problems with the estimation of stochastic
differential equations using structural equations models, Journal of Mathematical Sociology
16, 201–220.

© 2008 The Authors. Journal compilation © 2008 VVS.

Continuous-time ALT model 81

Hancock G. R., W. L. Kuo and F. R. Lawrence (2001), An illustration of second order latent
growth models, Structural Equation Modeling 8, 470–489.
Hertzog, C. and J. R. Nesselroade (2003), Assessing psychological change in adulthood: an
overview of methodological issues, Psychology and Aging 8, 639–657.
Hussong, A. M., R. E. Hicks, S. A. Levy and P. J. Curran (2001), Specifying the relations
between affect and heavy alcohol use among young adults, Journal of Abnormal Psychology
110, 449–461.
Jagodzinski, W., S. Kühnel and P. Schmidt (1987), Is there a “Socratic Effect” in nonexperi
mental panel studies? Sociological Methods and Research 15, 1259–1302.
Jazwinski, A. H. (1970), Stochastic processes and filtering theory, Academic Press, New York.
Jones, R. H. (1993), Longitudinal data with serial correlation: a state space approach. Chapman
and Hall, London.
Jöreskog, K. G. (1979), Statistical models and methods for the analysis of longitudinal data,
in: J. Madgison (ed.), Advances in factor analysis and structural equation models, Abt Books,
Cambridge, MA, 129–171.
Jöreskog, K. G. and D. Sörbom (1996), LISREL 8: user’s reference guide, Scientific Software
International, Chicago, IL.
Kim, J. and D. Cicchetti (2006), Longitudinal trajectories of self-system processes and depres-
sive symptoms among maltreated and nonmaltreated children, Child Development 77, 624–
639.
Krueger, R. F. (1999), The structure of common mental disorders, Archives of General Psy-
chiatry 56, 921–926.
Krueger, R. F., A. Caspi, T. E. Moffitt and P. A. Silva (1998), The structure and stability
of common mental disorders (DSM-III-R): a longitudinal-epidemiological study, Journal of
Abnormal Psychology 107, 216–227.
Lorenz, F. O., R. D. Conger, R. L. Simons and L. B. Whitbeck (1995), The effects of unequal
variances and covariances in simultaneous inference: the case of hostility and marital qual-
ity, Journal of Marriage and the Family 574, 1049–1064.
MacCallum, R. C., C. Kim, W. Malarkey and J. Kielcolt-Glaser (1997), Studying multi-
variate change using multilevel models and latent curve models, Multivariate Behavioral
Research 32, 215–253.
McArdle, J. J. (1986), Latent variable growth within behavior genetic models, Behavior Genet-
ics 16, 163–200.
McArdle, J. J. (1988), Dynamic but structural equation modeling of repeated measures data,
in: R. B. Cattel and J. Nesselroade (eds.), Handbook of multivariate experimental psychol-
ogy (2nd edn), Plenum, New York, 561–614.
Mehta, P. D. and S. G. West (2000), Putting the individual back in individual growth curves,
Psychological Methods 5, 23–43.
Meredith, W. and J. Tisak (1990), Latent curve analysis, Psychometrika 55, 107–122.
Möbus, C. and W. Nagl (1983), Messung, Analyse und Prognose von Veränderungen, in: J.
Bredenkamp and H. Feger (eds.), Enzyklopädie der Psychologie: Band V.9, Multivariate
“Zeitreihen“- und Panelanalyse mit zeitkontinuierlichen Modellen, Hogrefe, Göttingen, 419–
470.
Neale, M. C., S. M. Boker, G. Xie and H. H. Maes (1999), Mx: statistical modeling (4th
edn), Department of Psychiatry, Richmond, VA.
Neiderhiser, J. M., D. Reiss, E. M. Hetherington and R. Plomin (1999), Relationships
between parenting and adolescent adjustment over time: genetic and environmental contri-
butions, Developmental Psychology 35, 680–692.
Oud, J. H. L. (2004), SEM state space modeling of panel data in discrete and continuous time
and its relationship to traditional state space modeling, in: K. Van Montfort, J. Oud and
A. Satorra (eds.), Recent developments on structural equation models: theory and applica-
tions, Kluwer Academic Publishers, Dordrecht, 13–40.
Oud, J. H. L. (2007), Continuous time modeling of reciprocal effects in the cross-lagged panel
design, in: S. M. Boker and M. J. Wenger (eds.), Data analytic techniques for dynamical
systems in the social and behavioral sciences, Lawrence Erlbaum Associates, Mahwah, NJ.

© 2008 The Authors. Journal compilation © 2008 VVS.

82 M. J. M. H. Delsing and J. H. L. Oud

Oud, J. H. L. and R. A. R. G. Jansen (2000), Continuous time state space modeling of panel
data by means of SEM, Psychometrika 65, 199–215.
Oud, J. H. L., R. A. R. G. Jansen, J. F. J. Van Leeuwe, C. A. J. Aarnoutse and M. J. M.
Voeten (1998), Monitoring pupil development by means of the Kalman filter and smoother
based upon SEM state space modeling. Learning and Individual Differences 10, 103–119.
Overbeek, G. J., W. A. M. Vollebergh, W. H. J. Meeus, E. T. H. Luijpers and R. C. M.
E. Engels (2001), Course, co-occurrence and longitudinal associations between emotional
disturbance and delinquency from adolescence to young adulthood: a six-year three-wave
study, Journal of Youth and Adolescence 30, 401–426.
Phillips, P. C. B. (1973), The Problem of identification in finite parameter continuous time
models, Journal of Econometrics 1, 351–362.
Priestley, M. B. (1981), Spectral analysis and time series, vol. 2: multivariate series, prediction
and control, Academic Press, London.
Rao, C. R. (1958), Some statistical models for comparison of growth curves, Biometrics 14,
1–17.
Rauch, H. E., F. Tung and C. T. Striebel (1965), Maximum likelihood estimates of linear
dynamic systems, AIAA Journal 3, 1445–1450.
Rodebaugh, T. L., P. J. Curran and D. L. Chambless (2002), Expectancy of panic in the main-
tenance of daily anxiety in panic disorder with agoraphobia: a longitudinal test of competing
models, Behavior Therapy 33, 315–336.
Rueter, M. A. and R. D. Conger (1998), Reciprocal influences between parenting and ado-
lescent problem-solving behavior, Developmental Psychology 34, 1470–1482.
Ruymgaart, P. A. and T. T. Soong (1985), Mathematics of Kalman-Bucy filtering, Springer,
Berlin.
Sher, K. J., M. D. Wood, P. K. Wood and G. Raskin (1996), Alcohol outcome expectancies
and alcohol use: a latent variable cross-lagged panel study, Journal of Abnormal Child Psy-
chology 105, 561–574.
Shumway, R. H. and D. S. Stoffer (2000), Time series analysis and its applications, Springer,
New York.
Singer, H. (1990), Parameterschätzung in zeitkontinuierlichen dynamischen Systemen, Hartung-
Gorre, Konstanz.
Singer, H. (1991), LSDE – a program package for the simulation, graphical display, optimal
filtering and maximum likelihood estimation of linear stochastic differential equations: user’s
guide, Author, Meersburg.
Singer, H. (1992a), The aliasing phenomenon in visual terms, Journal of Mathematical Soci-
ology 17, 39–49.
Singer, H. (1992b), Zeitkontinuierliche Dynamische Systeme, Campus, Frankfurt.
Singer, H., and M. Hautzinger (1988), Kausalattributionen, Depressivität und kritische Leb-
ensereignisse als stochastischer Prozess, in: D. Kammer and M. Hautzinger (eds.), Kognitive
Depressionsforschung, Hans Huber, Stuttgart.
Stoolmiller, M. (1994), Antisocial behavior, delinquent peer association, and unsupervised
wandering for boys: Growth and change from childhood to early adolescence, Multivariate
Behavioral Research 29, 263–288.
Tucker, L. R. (1958), Determination of parameters of a functional relation by factor analysis,
Psychometrika 23, 19–23.
Vuchinich, S., L. Bank and G. R. Patterson (1992), Parenting, peers, and the stability of
antisocial behavior in preadolescent boys, Developmental Psychology 38, 510–521.

Received: July 2007. Revised: October 2007.

© 2008 The Authors. Journal compilation © 2008 VVS.