In virtually all areas of psychology, the question of whether a particular construct has a prospective effect on another is of fundamental importance. For decades, the cross-lagged panel model (CLPM) has been the model of choice for addressing this question. However, CLPMs have recently been critiqued, and numerous alternative models have been proposed. Using the association between low self-esteem and depression as a case study, we examined the behavior of seven competing longitudinal models in 10 samples, each with at least four waves of data and sample sizes ranging from 326 to 8,259. The models were compared in terms of convergence, fit statistics, and consistency of parameter estimates. The traditional CLPM and the random intercepts cross-lagged panel model (RI-CLPM) converged in every sample, whereas the other models frequently failed to converge or did not converge properly. The RI-CLPM exhibited better model fit than the CLPM, whereas the CLPM produced more consistent cross-lagged effects (both across and within samples) than the RI-CLPM. We discuss the models from a conceptual perspective, emphasizing that the models test conceptually distinct psychological and developmental processes, and we address the implications of the empirical findings with regard to model selection. Moreover, we provide practical recommendations for researchers interested in testing prospective associations between constructs and suggest using the CLPM when focused on between-person effects and the RI-CLPM when focused on within-person effects. (PsycInfo Database Record (c) 2021 APA, all rights reserved).