Where Have the Persons Gone? – An Illustration of Individual Score Methods in Autoregressive Panel Models

Abstract

Much effort has been made to develop models for longitudinal data analysis, but comparably less attention has been paid to the use of individual specific values on latent variables in longitudinal models. In a tutorial style, this article introduces the reader to four common approaches to obtain individual scores – individual mean score, Bartlett method, regression method, Kalman filter – and reviews criteria commonly used to evaluate their performance. By means of simulated data, we mimic realistic scenarios and investigate in how far analytic results on the asymptotic performance of individual scores translate into practical situations. We end this article with a discussion of the use and usefulness of individual scores.