Measurement in Variance

Project for Introduction to Multivariate Statistics:
Measurement Invariance
Lian Hortensius
May 10, 2012
Contents
1 Abstract
2 Introduction
3 Structural Equation Modeling

3.1 Parameters in SEM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2 Data as modeled by SEM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
5
6
4 Measurement Invariance
4.1 Introduction to Measurement Invariance
4.2 Configural Invariance . . . . . . . . . . .
4.3 Structural Invariance . . . . . . . . . . .
4.3.1 Invariance of factor loadings . . .
4.3.2 Invariance of intercepts . . . . .
4.3.3 Invariance of error terms . . . . .
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5 Fit statistics
5.1 The 2 test statistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.1.1 Specify two models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.1.2 Unspecified parameters are estimated with Maximum Likelihood Estimation
5.1.3 Calculate the Likelihood of both models . . . . . . . . . . . . . . . . . . . . .
5.1.4 Compare the Likelihood Ratio using the (approximate) 2 distribution . . . .
5.1.5 Detour: why is the Likelihood ratio test statistic distributed 2df ? . . . . . . .
5.1.6 Using the Likelihood ratio test for testing Measurement Invariance . . . . . .
5.2 Other GoF measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.2.1 CFI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.2.2 Gamma hat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.2.3 RMSEA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.2.4 McDonalds Non-Centrality Index . . . . . . . . . . . . . . . . . . . . . . . .
5.3 Comparing GoF measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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6 Limitations and other approaches

16
6.1 Limitations of Measurement Invariance Testing . . . . . . . . . . . . . . . . . . . . . . . 16
6.2 Comparing SEM and IRT methods for testing Measurement Invariance . . . . . . . . . . 16
7 My program in OpenMX
17
7.1 What it does . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
7.2 Lovely Little Demo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
8 Conclusion
18
9 Appendix - Measurement Invariance OpenMx program
21
Abstract
Structural Equation Modeling (SEM) is popular, and people want to test for Measurement Invariance,
which is whether the model is equal across groups. You test for Measurement Invariance by comparing
a model without certain restrictions with a model with certain restrictions (e.g. restricting the factor
loadings to be equal) and seeing whether the restrictions significantly decrease the fit of the model.
There are different types of Measurement Invariance (configural and structural). Testing for invariance
includes a series of comparisons, for which the tests of invariance of shape of the model, factor loadings,
intercepts, and residual variances are used most often. There are different ways to determine the fit of
models. A commonly used fit statistic is the 2 test statistic based on the Likelihood Ratio test, and
the mechanics of this statistic are explained. Other fit statistics include CFI, RMSEA, Gamma hat,
and Mc NCI. Monte Carlo studies suggest using CFI and Mc NCI. Limitations of the SEM approach
to Measurement Invariance are discussed and it is contrasted with the IRT approach to invariance.
Introduction
Structural Equation Modeling (SEM) has become a popular way to model psychological data. One
of the issues that users of SEM face is the problem of Measurement Invariance: does the model fit
different groups equally well, or is there some difference in the pathways between variables across
different groups. Initially, Measurement Invariance was seen as a requirement for a good model, or
at least as the preferred outcome. However, more recently some researchers have searched for a lack
of Measurement Invariance: for example, Spaan (2012) tested Measurement Invariance of a battery of
neuropsychological tests in elders with and without early-stage Alzheimer. She found that the factor
loadings were not invariant across groups and used that to support the hypothesis that cognitive decline
in elders with Alzheimer is substantively different from cognitive decline in elders without Alzheimer.
This paper will start with an introduction to Structrual Equation Modeling and an explanation of
the concept of Measurement Invariance, including the different types of Measurement Invariance that
can be tested for. The second part of the paper will focus on an explanation of different fit statistics,
most notably the 2 statistic based on the Likelihood Ratio test. It includes a literature review of
which fit statistics to use when testing for invariance, and how to decide whether there is significant
misfit. The fourth part focuses on limitations of the SEM approach to Measurement Invariance and
contrasts it with the IRT approach. The final part of the paper is a demonstration of the OpenMX
program I have written to test for Measurement Invariance.
Structural Equation Modeling
Structural Equation Modeling is a method for modeling the relationships between variables. Several
equations representing relationships are specified and then the coefficients in those equations are estimated simultaneously. SEM is a generalization of Factor Analysis (FA); in FA the common variance
of the observed variables is explained by underlying latent traits (common factors and unique factors),
and the factor loadings of those traits on the observed variables are estimated. In SEM, one can specify
connections between the latent traits. For example, in Figure 1 on the left is a path diagram representing a simple FA, and on the right is a path diagram representing a simple structural equation model
with a relationship between common factors.
12
22
32
X1
X2
X3
x2
x1
x1
x2 x3
x3
3
2
y1
X1
X2
X3
y1
y2
y3
y3
y2
2
e1
2
2 e2
2
e3
1
(a) A simple FA-model
Y1
Y2
Y3
21
22
23
(b) A simple SEM model with two related common latent variables
Figure 1: Two Path Diagrams

Usually, SEM is used to model the influence of some predictor variables on some dependent variables
through latent traits. An example of such a model is given in Figure 1 on the right. In this example, as
in the general SEM literature, let represent the endogenous common latent trait(s), where endogenous
3
means that this variable is predicted by other variables. Let represent the exogenous common latent
trait(s), where exogenous means that this variable is external to the model; it is a predictor and is
not predicted by any other variable. Let represent the structural coefficients/loadings of on , let y
be the vector of observed endogenous indicators, let y be the structural coefficients/loadings of on
y, let be the errors (or uniqueness) associated with y, let x be the structural coefficients/loadings
of on x, let x be the vector of observed exogenous indicators, let be the errors (or uniqueness)
associated with x, and let be the error (or uniqueness) associated with . The triangle is used to
model the means: for simplification we have set the latent trait means equal to 0 and use to represent
indicator intercepts, which because of this simplification will also be the indicator means.
These models can be expressed with path diagrams, as we have seen, but also with equations. The
example given earlier can be expressed as such:
= +
The endogenous latent trait is a function of the exogenous latent trait (with factor loading and
the error .

y1
y1

1
y = y2 + y2 + 2
= y + y +
y3
y3
3
The observed endogenous indicators y are a function of the endogenous latent trait (with factor
loadings ) and the error . By estimating the coefficients, we can get information about the unobserved
latent traits (common and unique) using the observed indicators.

x1
x1
x=
+
+
x2 x2
2 = x + x +
x3
x3
3
The observed exogenous indicators x are a function of the exogenous latent trait (with factor loadings
) and the error .
The final generalization of this model involves expanding the single endogenous latent trait to a
vector of traits, and expanding the single exogenous latent trait to a vector of traits. Figure 2 shows
an example. In this example there are two exogenous common latent traits, each with three exogenous
observed indicators, and two endogenous common latent traits, each with three endogenous observed
indicators. The two endogenous latent traits are correlated, one endogenous latent trait is predicted
using both exogenous latent traits, and one endogenous latent trait is predicted using only one latent
trait. To keep the picture readable the triangle with a 1, and the pathways representing the means,
have been omitted. This example will help to show the final Structural Equation Modeling notation.
" #
1
2
"
=
12
12
#" #
1
2
"
+
11
12
21
22
#" #
1
2
" #
1
2
= = B + +
The endogenous latent traits are a function of the endogenous latent traits (with factor loading matrix
B), the exogenous latent traits (with factor loading matrix ), and the error . The covariances
among exogenous concepts are denoted by and the covariances among error terms are denoted
by .

y11
y1
y1

y2 y2 y21

y
3 y3 y31
= +
y4 y4 y41

y5 y5 y51
y6
y6
y61

1

y22
" # 2

y32 1
3
+ = y = y + y +
4
y42 2

y52
5
6
y62
y12
The observed endogenous indicators y are a function of the endogenous common latent traits (with
factor loading matrix y ) and the error/unique latent traits . The covariances among error terms
are denoted by .

x1
x1
x11

x2 x2 x21

x
3 x3 x31
=
+
x4 x4 x41

x5 x5 x51
x6
x6
x61

x22
" # 2

x32 1
3
+ = x = x + x +
4
x42

x52
5
x62
6
x12
The observed exogenous indicators x are a function of the exogenous latent trait (with factor loading
matrix x ) and the error/unique latent traits . The covariances among error terms are denoted by
. The matrices x , y , B, and contain structure coefficients.
3.1
Parameters in SEM
Now that we have seen how SEM works, we have seen which parameters are to be entered into the
model or estimated:
A configuration (which pathways are not 0).
Factor loadings from exogenous and endogenous latent to observed variables, given by x and
y respectively
Factor loadings from exogenous and endogenous latent to endogenous latent variables, given by
and B respectively
Means ()/intercepts ( ) for the indicator variables and common latent traits, if you wish to
model them
Covariances among exogenous latent variables, given by
12
22
32
42
52
62
X1
X2
X3
X4
X5
X6
x2
x5
x1
x3
x4
2
12
11
22
12
y1
x6
y3
y4
y2
2
y6
y5
Y1
Y2
Y3
Y4
Y5
Y6
21
22
23
24
25
26
Figure 2: An expanded SEM model
Error/uniqueness variances of observed exogenous and endogenous variables, given by and

respectively
Error variances in the conceptual models, i.e. error variances of the common latent variables,
given by
3.2
Data as modeled by SEM
The previously described Structural Equation Models are a way to model data. It is possible to run
a Structural Equation Model based solely on a covariance matrix (or SSCP matrix or correlation
matrix), such a matrix plus a mean vector, or on raw data. When doing Measurement Invariance, it is
important to use the covariance matrix rather than a correlation matrix, because by standardizing the
data a difference in scale between groups might be lost. The sample covariance matrix is denoted by
S.
In SEM, the predicted covariance matrix is given by the equation
= T + .
The intercepts are denoted by , with the predicted intercepts, which are themselves parameters in
the model, denoted by .

In this way, using the estimated parameters one can calculate the predicted covariance matrix and
mean structure, and compare those to the observed covariance matrix and mean structure.
6
Measurement Invariance
4.1
Introduction to Measurement Invariance
So far I have talked about single Structural Equation Models, and the parameters that are estimated
for them. Now I want to introduce Measurement Invariance and when you would want to test for it.
Meredith (1993) defined Measurement Invariance as the parameters of a model depending on group
membership. Say you have two samples, from two groups that might be different (male and female,
or French and Australian), and you want to know whether the test you have created can be used
equivalently and can be compared across groups, so you can compare these groups on some latent
trait(s) (MacCallum & Austin, 2000; e.g. Kim, K.H., Cramond, B. & Bandalos, D.L., 2006). Or say
you want to know whether the underlying factor structure for data from a neuropsychological test
battery is the same for healthy elders and Alzheimer patients, to find support for either the continuity
hypothesis (cognitive decline in Alzheimer patients is just a more extreme form of the cognitive decline
in normal aging) or the discontinuity hypothesis (there is a substantive difference in the form cognitive
decline takes across groups) (Spaan, 2012).
In all these examples testing for Measurement Invariance can tell you whether the same factor structure upholds in both groups, and also whether the factor loadings and the means and error distribution
of the groups are the same. By testing for Measurement Invariance, we test for equivalence of the
structural equation model across groups. Measurement Invariance is often tested for when using tests,
where the indicators are individual test items, but it can also be used with, for example, subtest scores
as indicator variables.
When comparing models, the typical approach is to compare a model to a more restricted version
of the same model. When testing Measurement Invariance, typically the fit of the model for the whole
data with specific parameters fixed to be equal across groups is compared to the model for the whole
data with those parameters free to vary. If the free-to-vary condition fits significantly better than the
fixed-to-be-equal condition, this parameter vector is not invariant across groups. It is important to
mention again that one must use the covariance matrix, not the correlation matrix, when testing for
Measurement Invariance in SEM. Because in the correlation matrix the metric has been standardized,
you cannot test whether the metrics were different initially.
There is not one single test that can be done - rather, one must do a series of tests, each designed to
test for a specific level of Measurement Invariance. In the next sections I will explain the comparisons
that are done most commonly: invariance of configuration, factor loadings, means, and error terms
(Chen, 2007). It is possible (and might be desirable) to test for more levels of invariance (a nice
overview is given in Cheung & Rensvold, 2002), but I have decided to stick to those that are at least
somewhat commonly performed.
4.2
Configural Invariance
In our earlier example of SEM, some parameters were presumed to be larger than 0 and some were
set to 0: not all endogenous observed indicators were indicators of each endogenous latent trait, for
7
example. The first test of Measurement Invariance tests whether the same configuration holds across
groups: whether in both groups the same pathways can be said to be 0. If a model exhibits configural
noninvariance, it is not possible to compare across groups at all: the observed variables are indicators
of different traits in different groups.
4.3
Structural Invariance
Once configural invariance has been established, the next step is to look at different aspects of structural
invariance: invariance of factor loadings, then intercepts, and finally error terms.
4.3.1
Invariance of factor loadings
The researcher will want to know whether the factor loadings are equal across groups: do the latent
traits have the same loadings on the indicators that they are associated with, and are the relationships
between latent traits equal across groups? This is a test of equality of structure coefficients. If factor
loading invariance is established, the groups can be said to have the same unit of measurement. This
is considered weak measurement invariance. If factor loading noninvariance is found, there are several
things one could do, but if one wants to discover which specific factor loading(s) are invariant the review
by Millsap and Meredith (2007) suggests using backwards elimination. One would release the factor
loadings one by one and check the reduction in fit for each released constraint, to determine which
factor loading(s) are noninvariant.
4.3.2
Invariance of intercepts
Now that equal unit of measurement has been established, the researcher will also want to know whether
the intercept (or mean structure) across groups is the same: whether the scores from different groups
have the same origin. If intercept noninvariance is found, the different groups have different means on
the indicators and thus individual scores cannot easily be compared across groups. On the other hand,
intercept noninvariance can be a substantive research finding. Presence of both factor loading invariance
and intercept invariance is considered strong measurement invariance. As with factor loadings, intercept
noninvariance can be explored more deeply by releasing constraints on the intercepts one by one.
4.3.3
Invariance of error terms
The final test is that of residual invariance. This answers the question of whether group differences
on the items are only due to group differences on the common factors. It can be difficult to achieve
residual invariance. Presence of all four types of invariance is considered strict measurement invariance
and indicates that group differences in the covariances, variances, and means for the indicator variables
(demonstrated by factor loading invariance, intercept invariance, and error term invariance respectively)
are due to group differences on the common factors (Millsap & Meredith, 2007).
Fit statistics
In the previous section I explained what Measurement Invariance is and which parameters we will want
to know invariance of. There are different ways of testing for invariance, which all involve model fit.
The most widely used of them is the 2 test statistic based on the Likelihood Ratio test. I will explain
this statistic in detail below.
5.1
The 2 test statistic
The most widely used test statistic for model fit in SEM is the classical likelihood ratio statistic 2t.s.
(which assumes a normal distribution of the data). If the data are truly normally distributed and the
model structure is correctly specified, 2t.s. approaches a chi-square distribution 2df as the sample size
N increases (Yuan, 2005).
When assessing for model fit, you calculate how similar the predicted covariance matrix (based on
is to the covariance matrix containing the relationships in the actual data (S), as well as
the model; )
the similarity of the predicted mean vector (
) and observed mean vector (). This is calculated using
the aforementioned Likelihood ratio statistic. The 2t.s. statistic is a function of the sample size and
how different the model covariance matrix and mean vector and observed data are. A more extreme
2t.s. means the predicted values are more different from the observed data, i.e. the model has a worse
fit. A significant p-value thus indicates bad model fit.
I will now first explain this procedure in general terms and then specify its use for SEM. The steps
taken when calculating the 2 test statistic are such:
Specify two models
Unspecified parameters are estimated with Maximum Likelihood Estimation
Calculate the Likelihood of both models
Compare the Likelihood Ratio using the (approximate) 2 distribution
Detour: why is the Likelihood Ratio test statistic distributed 2df ?
I will now explain each of these steps.

5.1.1
Specify two models
Say you have a parameter vector 0 = 1 , 2 , ..., p of length p, where (the parameter space).
In other words, the parameter vector can take values that are in the parameter space. The parameter
space is a subspace of p-dimensional Euclidian space Rp .
In order to specify two models, you can restrict some of the parameter values. For example, in
model 1 do not restrict any of the parameter values, and in model 2 specifcy 1 = 1 and 2 = 0 (but
leave 3 , ..., p free to vary). Model 2 (the more restricted model) is nested in Model 1 (the more general
model).
9
5.1.2
Unspecified parameters are estimated with Maximum Likelihood Estimation
In the next step we will want to calculate the Likelihood of both models, and we will want to have
the highest possible Likelihood given the constraints on parameter values. I will first explain what
Likelihood is and how to maximize the Likelihood for a single parameter.
The distribution for the data, x with length n, given the parameter , is a PDF given by
f (x|) =
n
Y
f (xi |) = Ln ().
i=1
The last term is the Likelihood function of the parameter given the data x. It is a function of the
parameter and represents how likely each possible parameter is, given the data. When calculating
the Likelihood, you can drop any terms that do not contain the parameter. The highest Likelihood is
at the value that is the Maximum Likelihood Estimate (MLE). In order to calculate the MLE, you
take the (natural) log of the Likelihood:
ln () = logL().
The next step is to take the derivative of the log likelihood function with respect to :
ln0 () =
ln ()
Finally, in order to find the MLE you set ln0 () equal to 0 and solve for :
=0
ln0 ()
Under certain conditions (e.g. concavity of the likelihood function) this value is the value that globally
maximizes the Likelihood. When finding a set of MLEs for multiple parameters the distribution for the
Qn
data, x with length n, given the parameters, , is a PDF given by f (x|) = i=1 f (xi |). The MLE
vector is a vector of parameter estimates which, combined, gives the highest possible likelihood for
the model.
5.1.3
Calculate the Likelihood of both models
We have seen how to obtain the Likelihood function, and how to find the parameter value(s) that will
maximize the Likelihood. Now we calculate the Likelihood given those parameter values. In our earlier
example Model 1 had no constraints on parameter values and Model 2 had constraints on the first two
parameters but not on the others. So for Model 1 the Likelihood is calculated with the MLEs for every
parameter value, and for Model 2 the Likelihood is calculated with the fixed values for parameter one
and two, and the MLEs for the other parameters.
Obviously, the Likelihood for Model 1 will be higher than for Model 2, since for Model 2 not every
parameter was estimated to be the value that maximizes the Likelihood.
10
5.1.4
Compare the Likelihood Ratio using the (approximate) 2 distribution
We have calculated the Likelihood of Model 1 (L(M odel1)) and the Likelihood of Model 2 (L(M odel2)).
We want to know whether Model 2 fits significantly less than Model 1 - we know it fits less, and we
want to determine whether it fits so much less that we can say the constraints on the parameters were
incorrect.
When comparing two (nested) models, the difference in (log) Likelihood test statistics given by:

L(model2)
= 2 lnL(M odel2) lnL(M odel1)
2t.s. = 2ln
L(model1)
is asymptotically distributed as a 2 with degrees of freedom that is the difference between the number
of free parameters of Model 1 and Model 2. This was demonstrated by Wilks in 1938. His proof is
beyond the scope of this paper, but I will demonstrate why a simpler likelihood ratio test is distributed
as 2 ; the more complicated tests are an expansion of this principle. Therefore it is possible to use 2t.s.
as a test statistic and compare it to a 2 distribution with the appropriate degrees of freedom to find
a p-value. I will now demonstrate why the Likelihood ratio test statististic is distributed 2 df for an
example with only one free parameter.
5.1.5
Detour: why is the Likelihood ratio test statistic distributed 2df ?
Say we have a sample X1 , ..., Xn from a normal distribution with known variance. We want to compare
Model 1, where is estimated freely, with Model 2, where is fixed at 0 .
We want to estimate the unspecified parameter in Model 1 using Maximum Likelihood Estimation.
First we find the PDF:
f (x|) =
n
Y
i=1
2 2
e(xi )
/2 2
The PDF is also the Likelihood function:

Ln () = (
1
2 2
)n
1
2 2
n
Y
e(xi )
/2 2
= (
i=1
)n en(xn )
/2 2
1
2 2
)n e
Pn
2
2
i=1 (xi ) /2
Pn
xn )2 /2 2
i=1 (xi
In order to calculate the MLE, you take the (natural) log of the Likelihood, dropping the terms that
do not contain for simplicity:
ln () =
n(
xn )2
2 2
The next step is to take the derivative of the log likelihood function with respect to :
ln0 () =
n(
xn )
2
11
Then we set the derivative equal to zero and solve for

:
ln0 (
) = 0 =
n(
xn
)
=x
n
And so we see that the MLE

=x
n . Now that we know the MLE, we can calculate the Likelihood of
Model 1 (where was estimated freely, with the MLE).
Ln (
) = (
1
2 2
)n en(xn )
/2 2
Pn
xn )2 /2 2
i=1 (xi
= (
1
2 2
)n e
Pn
xn )2 /2 2
i=1 (xi
because
=x
n . And the Likelihood for Model 2, with = 0 :
Ln (0 ) = (
1
2 2
)n en(xn 0 )
/2 2
Pn
xn )2 /2 2
i=1 (xi
Now we have the Likelihood for both models, so we can calculate the Likelihood ratio:
L(model2)
L(model1)
(
Pn
2
2
2
2
1
)n en(xn 0 ) /2 e i=1 (xi xn ) /2
2 2
Pn
2
2
1
)n e i=1 (xi xn ) /2
( 2
2
= en(xn 0 )
/2 2
So the Likelihood ratio test statistic 2t.s. is:

L(model2)
(
2
2
n(
xn 0 )2
xn 0 ) 2
n(
xn 0 )2
2ln
= 2ln(en(xn 0 ) /2 ) = 2
=
=
L(model1)
2 2
2
/ n
Under the hypothesis that = 0 , we know
(
xn 0 )
/ n
2
N (0, 1), and therefore
(
xn 0 )
/ n
2
is a squared
standard normal score, which is a score from a distribution with 1 degree of freedom - which is what
we claimed the Likelihood ratio test statistic is distributed as in this example with 1 parameter.
5.1.6
Using the Likelihood ratio test for testing Measurement Invariance
So far I have talked about fairly simple models, comparing fit with one free parameter. In SEM, there
are many more free parameters, but the idea is the same: calculate how likely the observed covariance
matrix is given the parameters (some fixed and some estimated freely to maximize the likelihood) and
then compare that to the likelihood of the observed covariance matrix when using only Maximum
likelihood estimates. Conceptually, this is the same as comparing the observed covariance matrix S to
So when using the Likelihood ratio test for model fit in SEM,
a model-specified covariance matrix .
the calculation of the Likelihood is more complicated than in the earlier examples (because there are
many more parameters), but the test statistic can be calculated in the same way.
When testing for Configural and Structural Invariance, four consecutive tests are done comparing
four models (and a baseline model with no constraints). See table 1 for the models and its constraints.
Each additional model is nested in the previous one. Table 2 shows the four tests that are done. Each
additional model is compared with the previous one, so that each test is only for the newly added set
of constraints (e.g. equal factor loadings).
12
The 2 test statistic has disadvantages that have been acknowledged in recent times. As mentioned
previously, it is sensitive to sample size - when the sample size is large, the test statistic will be
significant even for small differences between the observed covariance matrix and the model-specified
covariance matrix, i.e. it will reject models that fit reasonably well. Hayduk (1987) mentions that
in his experience this is a problem for sample sizes over 500. In addition, the 2 test is senstive to
non-normality, specifically kurtosis. Studies have shown that skewness does not impact the test too
much, but if there is kurtosis in the data the resulting 2 test statistics are not distributed as a 2
(Yuan, 2005). Because of these issues, additional Goodness of Fit (GoF) measures have been proposed
for testing how well a specific model fits data from one group, and recently they have also been applied
to testing for measurement invariance.
Table 1: Models used in testing for Measurement Invariance
Model
Model
Model
Model
Model
name
1
2
3
4
Constraints
Equal configuration
Equal factor loadings
Equal factor loadings and intercepts
Equal factor loadings, intercepts, and error variances
Table 2: Consecutive tests of Measurement Invariance

Models compared:
Model 1 vs Baseline model
Model 1 vs Model 2
Model 2 vs Model 3
Model 3 vs Model 4
5.2
Type of invariance tested for:

Configural invariance
Weak invariance
Strong invariance
Strict invariance
Testing equality of:

Configuration
Factor loadings
Intercepts
Error variances
Other GoF measures
In this section I will explain some of the common Goodness of Fit indices. As can be seen in the next
subsection, simulation studies have focused on the Comparative Fit Index (CFI), Gamma hat, Root
mean square error or approximation (RMSEA), and/or McDonalds Non-Centrality Index (McD NCI)
as potential GoF indices to use.
5.2.1
CFI
The Comparative Fit Index is calculated by

CFI = 1
X 2 df
t
Xn2 dfn
13
where 2t is the chi-square for the tested model, dft is its associated degrees of freedom, 2n is the
chi-square for the null model, and dfn is its associated degrees of freedom (Bentler, 1990).
5.2.2
Gamma hat
This fit index is proposed by Steiger (1989), although he actually proposed two Gamma indices and
the later Monte Carlo studies do not specify which one they used. They do reference Hu and Bentler
(1998) who only discuss one of the two Gamma hat indices:
Gamma hat =
p
p + 2[(TT dfT )/(N 1)]
where TT is the T-statistic for the target model (with dfT its associated defrees of freedom), p is the
number of parameters, and N is the sample size. Hu and Bentler recommended against using Gamma
hat in practice.
5.2.3
RMSEA
The Root mean square error of approximation is calculated such:

s
RMSEA =
2t dft
dft (N 1)
where 2t is the chi-square for the tested model, dft is its associated degrees of freedom, and N is the
sample size. When using the RMSEA for testing for Measurement Invariance, it is adjusted by taking
the square root of the overall population discrepancy function divided by the average number of degrees
of freedom per sample. The population discrepancy function is the value of the discrepancy function we
would get if we fit the model to the (actually unknown) true population covariance matrix (Steiger,
1998).
5.2.4
McDonalds Non-Centrality Index
In 1989 McDonald proposed his Non-Centrality Index (McD NCI) as an alternative to other GoF indices
which are usually sensitive to sample size. It is an adaptation of the Akaike Information Criterion which
depends on sample size as well: for a small sample size the simplest model will result in the smallest
AIC, whereas as sample size increases eventually the saturated model will result in the smallest AIC.
As an alternative to this, McDonald proposed using the Non-Centrality Parameter rescaled to not be
a function of sample size: =
n.
This value can be estimated by = f ( np ) where f =
(2logL)
n
and
p = the order of the sample covariance matrix. This results in a measure of misfit, so to change that
to a goodness of fit index McDonald proposed the final transformation:
1
mc = exp d .
2
14
This results in a consistent estimator of the asymptotic Likelihood ratio, adjusted for sample size. It
can take values between 0 and 1.
5.3
Comparing GoF measures
As explained in the previous section, there are a number of Goodness of Fit indices that can be used
to test for model fit (and thus can be used to test for Measurement Invariance). In recent years a
few Monte Carlo studies have been done to compare the effectiveness of these methods when testing
for Measurement Invariance. In this section I will briefly summarize these studies and compare their
results regarding recommendations for which method to use and what cut-off values to use. The general
recommendation is to use several fit-indices rather than just one, because of the different strengths and
weaknesses of the methods.
Cheung and Rensvold (2002) ran a Monte Carlo study to compare the changes in Goodness of Fit
indices when invariance constraints were added to models. However, they only compared simulations
where there was no actual noninvariance - so the study gives insight into what cut-off should be used to
not reject true invariance too often, but it gives no sense of the power of the GoF indices for detecting
noninvariance. Their final recommendations were to use McDonalds Non-Centrality index (Mc NCI),
Gamma hat, and Comparative Fit Index (CFI). The cutoff points recommended for retaining the null
hypothesis of invariance are given in table 3. The values are the difference between the value for the
more free model and the value for the more constrained model.
Table 3: Cut-off points for rejection of Measurement Invariance for four GoF measure types (Cheung
& Rensvold, 2002; Chen, 2007)
Type
CFI
RMSEA
Gamma hat
McD NCI
Cut-off point (.05) (Chen)

change of -.005
change of .010
change of -.005
change of -.010
Cut-off point (.01) (Chen)

change of -.010
change of .015
change of -.008
change of -.015
Cut-off point (Cheung & Rensvold)

change of -.01
n.a.
change of -.001
change of -.02
Chen (2007) also ran a Monte Carlo study to compare the effectiveness of several fit indices for
detecting the four previously described types of Measurement Invariance. They compared Root mean
square error of approximation (RMSEA), Standardized root mean square residual (SRMR), Comparative fit index (CFI), Gamma hat, and McDonalds Non-Centrality index (Mc NCI). They concluded
that SRMR is more sensitive to noninvariance in loadings than in intercepts or residual variances. CFI,
RMSEA and Mc were comparable to the results from Cheung and Rensvold, 2002. These indices (and
Gamma hat) are equally sensitive to all types of invariance tests. The cutoff points recommended for
CFI, RMSEA, Gamma hat and Mc NCI are given in table 3. Chen recommends using CFI and not
Gamma hat (these two correlate highly). CFI was chosen as the main criterion because RMSEA and
SRMR tend to over-reject an invariant model when sample size is small, and RMSEA is affected by
model complexity.
15
Limitations and other approaches
6.1
Limitations of Measurement Invariance Testing
In previous sections I explained how, using a SEM approach, one can test for Measurement Invariance.
In this section I will present a critical view of the SEM approach to testing for Invariance.
A problem that has been discussed rarely in the literature is that of sequential testing. In testing
for invariance one does a sequence of tests, each designed for testing for a specific type of invariance. In
other words, one considers a set of statistical tests based on one dataset. This leads to an inflated type I
error rate, which should be corrected for (e.g. Benjamini & Hochberg, 1995). However, no correction for
multiple comparisons is discussed in the Measurement Invariance literature. Not correcting for multiple
testing leads to an inflated Type I error rate, i.e. too often one concludes there is a significant difference
when in truth the samples are from the same population, which in this context means one too often
incorrectly diagnoses Measurement Noninvariance. Therefore, not correcting for multiple comparisons
leads to a more conservative set of tests of Measurement Invariance.
Reise, Waller, and Comrey (2000) discuss testing Measurement Invariance in the context of scale
revision. They point out that using the standard Comfirmatory Factor Analysis method to compare
the factor loadings of dichotomous items can be inappropriate, because these methods are designed to
be used on continuous interval-level measurement of the indicators. In addition, they warned that a
lack of simple structure can lead to an incorrect conclusion of Measurement Noninvariance.
6.2
Comparing SEM and IRT methods for testing Measurement Invariance
A different approach than the SEM approach to invariance, i.e. the multiple group CFA approach, is
the Item Response Theory (IRT) approach. This is appropriate when testing the factor loadings of
individual items, so when looking at the structure of a scale/test. In IRT the item response is modeled as
a logistic function of item discrimination (analogous to factor loadings), item location (the difficulty
of the item), and potentially a lower and upper asymptote. It is useful for modeling responses to
dichotomous or polytomous items. Measurement Invariance in the IRT context can be conceptualized
as invariance of the item parameters - are the same item parameters applicable to the two groups, and
thus, do the items have the same relation to the latent trait in both groups (Reise, Widaman & Pugh,
1993). In IRT, Measurement Noninvariance is often called differential item functioning: one or more
items function differently in the two groups.
Reise, Widaman, and Pugh (1993) compared multiple group CFA (i.e. SEM) and Item Response
Theory (IRT) as methods to test for Measurement Invariance. They concluded that both methods
have advantages. Multiple group CFA is more user friendly, i.e. simpler to implement, and has more
varied options to determine model fit, i.e. a combination of the likelihood ratio test and additional
other goodness of fit indices, which the IRT model lacks. The issue they address of multiple group CFA
disregarding the difficulty parameter of IRT can be circumvented by testing for intercept invariance in
addition to structural coefficients invariance. However, the more serious criticism of the SEM approach
16
is that it is a linear model which is generally not appropriate for dichotomous or polytomous responses,
unlike IRT which uses a logistic model.
Gl
ockner-Rist and Hoijtink (2003) took an in-depth look at the similarities and differences of SEM
and IRT approaches to Measurement Invariance. They proposed an integrated framework where IRT
properties are added to a SEM approach. They first demonstrate that the normal ogive two parameter
IRT model is a type of (nonlinear) factor analysis, and because this model is equivalent to the logistic
IRT model the latter is also comparable to factor analysis. They run a non-linear confirmatory factor
analysis using the normal ogive structure, hence they run an IRT model in a SEM framework. This
approach can be helpful for bringing IRT and SEM literature closer together, and using the SEM
approach for dichotomous or polytomous data.
My program in OpenMX
7.1
What it does
In order to write a program to test Measurement Invariance, I used OpenMx (Boker et al., 2011),
a package in R (R Development Core Team, 2011). My program, called measInvTest takes two raw
datasets as its argument (with the option to specify the number of common latent factors, set to 1 by
default). It specifies four models in succession - Model 1 through 4 from table 1, with no constraints
on which factor loadings should be 0. It would be possible to add this, but the details would depend
on the number of indicators, common factors, and the model that one wishes to specify.
Each model is tested using the Likelihood ratio test against the model with one fewer set of constraints on the parameters. The first comparison tests a model with no constraints (other than the
basic constraints of common factor means being 0, and common factor variances being 1 to identify
the model) versus a model with the constraint that factor loadings must be equal across group. The
second comparison tests the latter model against a model with the additional constraint that indicator
means must be equal across groups. The third comparison tests the latter model against a model with
the additional constraint that uniqueness factors variances must be equal across groups.
The output of the program is a table showing the results from these three comparisons, with (among
other, less relevant output) the diffLL (i.e. 2t.s. ), the associated degrees of freedom (diffdf) and the
p-value.
7.2
Lovely Little Demo
For this demo of the program I will compare two raw datasets used as an example by Michael Neale,
one of the creators of OpenMx. Here I will just use the function - in the Appendix I provide the full
code for the function.
First, I load the relevant packages and read in the data:
> ## First the necessary preamble:
> .libPaths(new="C:\\Lian\\R Packages")
17
> require(OpenMx)
> require("mvtnorm")
> ## Let's use Michael Neale's data:
> data(myFADataRaw)
> group1 <- myFADataRaw[, 1:6]
> group2 <- read.table("C:/Users/horte005/Desktop/MV - Measurement invariance/FADataGroup2.txt", heade

It is possible to use other raw data. Both groups must have the same number of observed variables
and they must be in the same order (with the same column names) in both groups. Now lets run the
function:
> measInvTest(group1, group2)
Running Model1
Running Model2
Running Model3
Running Model4
base comparison ep minus2LL
df
AIC
diffLL diffdf
1 Model1
<NA> 36 13737.65 5964 1809.652
NA
2 Model1
Model2 30 13743.66 5970 1803.661
6.009412
3 Model2
<NA> 30 13743.66 5970 1803.661
NA
4 Model2
Model3 24 13750.24 5976 1798.237
6.575737
5 Model3
<NA> 24 13750.24 5976 1798.237
NA
6 Model3
Model4 18 13772.02 5982 1808.019 21.782247
NA
p
NA
6 0.422136584
NA
NA
6 0.361868610
NA
NA
6 0.001325933
These results show that these data pass the first two comparisons: there is weak and strong invariance.
However, the constraint that error variances must be equal leads to a significant reduction in fit, and
therefore there is no strict invariance.
Conclusion
In this paper I have explained the basic mechanics of Structural Equation Modeling. Comparing
whether two groups have the same factor structure is called testing for Measurement Invariance. You
test for invariance by comparing a model without certain restrictions to a model with certain restrictions,
and seeing whether the constraints lead to a significant reduction in fit. There are different types of
Measurement Invariance and the most commonly tested types are configural invariance, invariance of
factor loadings, invariance of means, and invariance of error variances. The most commonly used fit
statistic is the Likelihood ratio based 2t.s. . However, using this requires multivariate normal data, and
the test is sensitive to sample size. Based on Monte Carlo studies, scholars recommend using the CFI
and Mc NCI in addition to the 2t.s. .
The Measurement Invariance literature neglects to address the issue of multiple comparisons, which
leads to an inflated Type I error rate (i.e. the tests will too often incorrectly perceive Measurement
18
Noninvariance). Another limitation of the (linear) SEM based approach to Measurement Invariance
is that often this will be used with dichotomous items as indicators, which leads to decidedly noncontinuous data - a violation of the assumptions. A combination of IRT and SEM might be more
appropriate for testing Measurement Invariance in the future.
References
[1] Benjamini, Y. & Hochberg, Y. (1995). Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing. Journal of the Royal Statistical Society, Series B (Methodological), 57(1), 289-300.
[2] Bentler, P.M. (1990). Comparative Fit Indexes in Structural Models. Psychological Bulletin,
107(2), 238-246.
[3] Boker, S.M., Neale, M.C., Maes, H.H., Wilde, M.J., Spiegel, M., Brick, T.R., Spies, J., Estabrook,
R., Kenny, S., Bates, T.C., Mehta, P., & Fox, J. (2011). OpenMx: An Open Source Extended
Structural Equation Modeling Framework. Psychometrika, 76(2), 306-317.
[4] Byrne, B.M. & Watkins, D. (2003). The Issue of Measurement Invariance Revisited. Journal of
Cross-Cultural Psychology, 34, 155-175.
[5] Chen, F.F. (2007). Sensitivity of Goodness of Fit Indexes to Lack of Measurement Invariance.
Structural Equation Modeling, 14(3), 464-504.
[6] Cheung, G.W. & Rensvold, R.B. (2002). Evaluating Goodness-of-Fit Indexes for Testing Measurement Invariance. Structural Equation Modeling, 9(2), 233-255.
[7] Gl
ockner-Rist, A. & Hoijtink, H. (2003). The Best of Both Worlds: Factor Analysis of Dichotomous Data Using Item Response Theory and Structural Equation Modeling. Structural Equation
Modeling, 10(4), 544-565.
[8] Hayduk, L.A. (1987). Structural Equation Modeling with LISREL: Essentials and Advances. The
John Hopkins University Press: Baltimore, Maryland.
[9] Kim, K.H., Cramond, B., & Bandalos, B.L. (2006). The Latent Structure and Measurement Invariance of Scores on the Torrance Tests of Creative Thinking-Figural. Educational and Psychological
Measurement, 66(3), 459-477.
[10] MacCallum, R.C. & Austin, J.T. (2000). Applications of Structural Equation Modeling in Psychological Research. Annual Review of Psychology, 51, 201-226.
[11] McDonald, R.P. (1989). An Index of Goodness-of-Fit Based on Noncentrality. Journal of Classification, 6, 97-103.
[12] Meredith, W. (1993). Measurement Invariance, Factor Analysis and Factorial Invariance. Psychometrika, 58(4), 525-543.
[13] Millsap, R.E. & Meredith, W. (2007). Factorial Invariance: Historical Perspectives and New Problems. In Cudeck, R. & MacCallum, R.C. (Eds.) Factor Analysis at 100: Historical Developments
and Future Directions. Lawrence Erlbaum Associates: Mahwah, New Jersey.
[14] R Development Core Team (2011). R: A language and environment for statistical computing. R
Foundation for Statistical Computing: Vienna, Austia.
19
[15] Reise, S.P., Waller, N.G. & Comrey, A.L. (2000). Factor Analysis and Scale Revision. Psychological
Assessment, 12(3), 287-297.
[16] Reise, S.P., Widaman, K.F., & Pugh, R.H. (1993). Confirmatory Factor Analysis and Item Response Theory: Two Approaches for Exploring Measurement Invariance. Psychological Bulletin,
114(3), 552-566.
[17] Spaan, P.E.J. (2012). Cognitieve achteruitgang bij normale veroudering en de ziekte van Alzheimer:
Een continue of discontinue overgang? Tijdschrift voor Neuropsychologie, 7(1), 3-15.
[18] Steiger, J.H. (1989). EzPATH: A supplementary module for SYSTAT and SYGRAPH. SYSTAT:
Evanston, Il.
[19] Steiger, J.H. (1998). A note on multiple sample extensions of the RMSEA fit index. Structural
Equation Modeling, 5(4), 411-419.
[20] Wilks, S.S. (1938). The Large-Sample Distribution of the Likelihood Ratio for Testing Composite
Hypotheses. Annals of Mathematical Statistics, 9, 60-62.
[21] Yuan, K. (2005). Fit Indices Versus Test Statistics. Multivariate Behavioral Research, 40(1), 115148.
20
Appendix - Measurement Invariance OpenMx program
Here I will provide the entire program used to test for Measurement Invariance:
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
## First the necessary preamble:

.libPaths(new="C:\\Lian\\R Packages")
require(OpenMx)
require("mvtnorm")
options(continue=" ")
############
## Data
##
############
## Let's use Michael Neale's data:

data(myFADataRaw)
group1 <- myFADataRaw[, 1:6]
group2 <- read.table("C:/Users/horte005/Desktop/MV - Measurement invariance/FADataGroup2.txt", heade
############################################
## THE FUNCTION
##
############################################
measInvTest <- function(group1, group2, commonfactors = 1) {
s.nrvar <- dim(group1)[2]

s.nrlatent <- commonfactors
#############
## Model 1 ##
#############
noConstraintModel <- mxModel("Model1",
mxModel("group1",
mxData(observed=group1, type="raw"),
mxMatrix("Full", s.nrvar, s.nrlatent, values=0.2,
free=TRUE, labels=paste("l1",1:(s.nrvar*s.nrlatent),sep=""),
name="A"),
# A matrix of factor loadings (free)
mxMatrix("Symm", s.nrlatent, s.nrlatent, values=diag(s.nrlatent),
free=FALSE, name="L"),
# A matrix of factor variances (orthogonal model)(fixed to 1)
mxMatrix("Diag", s.nrvar, s.nrvar, values=1, free=TRUE,
labels=paste("e1",1:s.nrvar, sep=""), name="U"),
# A matrix of Uniqueness variances (free)
mxMatrix("Full", 1, s.nrvar, free=TRUE, labels=paste("mean1",
1:s.nrvar, sep=""), values=rep(1, s.nrvar), name="meanMatrix"),
# A vector of means on observed variables (free)
mxAlgebra(A %*% L %*% t(A) + U, name="R"),
# The algebra to calculate Sigma
mxFIMLObjective(covariance="R", means="meanMatrix", dimnames=
colnames(group1))
# The objective
),
21
mxModel("group2",
free=TRUE, labels=paste("l2",1:(s.nrvar*s.nrlatent),sep=""),
name="A"),
colnames(group2))
# The objective
),
mxAlgebra(group1.objective + group2.objective, name="h12"),
mxAlgebraObjective("h12")
)
noConstraintFit <- mxRun(noConstraintModel)
#############
## Model 2 ##
#############
## Restrain the factor loadings and see if it negatively affects fit
## (restrain factor loadings by giving them the same name)
facLoadModel <- mxModel("Model2",
mxModel("group1",
free=TRUE, labels=paste("l",1:(s.nrvar*s.nrlatent),sep=""),
name="A"),
22

colnames(group1))
# The objective
),
mxModel("group2",
name="A"),
colnames(group2))
# The objective
),
)
facLoadFit <- mxRun(facLoadModel)
#############
## Model 3 ##
#############
## Restrain the intercepts and see if it negatively affects fit
## (restrain intercepts by giving them the same name)
#interceptModel <- facLoadFit
#interceptModel$group2.meanMatrix@labels[] <- paste("mean1", 1:s.nrvar, sep="")
#interceptFit <- mxRun(interceptModel)
interceptModel <- mxModel("Model3",
mxModel("group1",
name="A"),
23

mxMatrix("Full", 1, s.nrvar, free=TRUE, labels=paste("mean",
1:s.nrvar, sep=""), name="meanMatrix"),
colnames(group1))
# The objective
),
mxModel("group2",
name="A"),
colnames(group2))
# The objective
),
)
interceptFit <- mxRun(interceptModel)
#############
## Model 4 ##
#############
errorsModel <- mxModel("Model4",
mxModel("group1",
name="A"),
24

labels=paste("e",1:s.nrvar, sep=""), name="U"),
colnames(group1))
# The objective
),
mxModel("group2",
name="A"),
labels=paste("e",1:s.nrvar, sep=""), name="U"),
colnames(group2))
# The objective
),
)
errorsFit <- mxRun(errorsModel)
############################
## Now for the output, comparing all models:
print(mxCompare(list(noConstraintFit, facLoadFit, interceptFit), list(facLoadFit, interceptFit, error

}
> ##########################
> ## Running the function ##
> ##########################
>
> measInvTest(group1, group2)
25
Running Model1
Running Model2
Running Model3
Running Model4
base comparison
1 Model1
<NA>
2 Model1
Model2
3 Model2
<NA>
4 Model2
Model3
5 Model3
<NA>
6 Model3
Model4
ep
36
30
30
24
24
18
minus2LL
13737.65
13743.66
13743.66
13750.24
13750.24
13772.02
df
5964
5970
5970
5976
5976
5982
AIC
diffLL diffdf
p
1809.652
NA
NA
NA
1803.661 6.009412
6 0.422136584
1803.661
NA
NA
NA
1798.237 6.575737
6 0.361868610
1798.237
NA
NA
NA
1808.019 21.782247
6 0.001325933
26

Measurement in Variance

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Measurement in Variance

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Project for Introduction to Multivariate Statistics:

3 Structural Equation Modeling

6 Limitations and other approaches

9 Appendix - Measurement Invariance OpenMx program

Structural Equation Modeling

Figure 1: Two Path Diagrams

A configuration (which pathways are not 0).

Covariances among exogenous latent variables, given by

Figure 2: An expanded SEM model

Error/uniqueness variances of observed exogenous and endogenous variables, given by and

Data as modeled by SEM

the model, denoted by .

Introduction to Measurement Invariance

Invariance of factor loadings

Invariance of error terms

The 2 test statistic

Specify two models

Unspecified parameters are estimated with Maximum Likelihood Estimation

Calculate the Likelihood of both models

Compare the Likelihood Ratio using the (approximate) 2 distribution

Detour: why is the Likelihood Ratio test statistic distributed 2df ?

I will now explain each of these steps.

Specify two models

Unspecified parameters are estimated with Maximum Likelihood Estimation

Calculate the Likelihood of both models

Compare the Likelihood Ratio using the (approximate) 2 distribution

Detour: why is the Likelihood ratio test statistic distributed 2df ?

The PDF is also the Likelihood function:

Then we set the derivative equal to zero and solve for

And so we see that the MLE

So the Likelihood ratio test statistic 2t.s. is:

N (0, 1), and therefore

Using the Likelihood ratio test for testing Measurement Invariance

Table 2: Consecutive tests of Measurement Invariance

Type of invariance tested for:

Testing equality of:

Other GoF measures

The Comparative Fit Index is calculated by

The Root mean square error of approximation is calculated such:

McDonalds Non-Centrality Index

This value can be estimated by = f ( np ) where f =

Comparing GoF measures

Cut-off point (.05) (Chen)

Cut-off point (.01) (Chen)

Cut-off point (Cheung & Rensvold)

Limitations and other approaches

Limitations of Measurement Invariance Testing

Comparing SEM and IRT methods for testing Measurement Invariance

Lovely Little Demo

> group2 <- read.table("C:/Users/horte005/Desktop/MV - Measurement invariance/FADataGroup2.txt", heade

<NA> 36 13737.65 5964 1809.652

Model2 30 13743.66 5970 1803.661

<NA> 30 13743.66 5970 1803.661

Model3 24 13750.24 5976 1798.237

<NA> 24 13750.24 5976 1798.237

Model4 18 13772.02 5982 1808.019 21.782247

Appendix - Measurement Invariance OpenMx program

## First the necessary preamble:

## Let's use Michael Neale's data:

s.nrvar <- dim(group1)[2]

mxFIMLObjective(covariance="R", means="meanMatrix", dimnames=

mxMatrix("Diag", s.nrvar, s.nrvar, values=1, free=TRUE,

# A matrix of factor variances (orthogonal model)(fixed to 1)

print(mxCompare(list(noConstraintFit, facLoadFit, interceptFit), list(facLoadFit, interceptFit, error