Background Childhood psychiatric disorders and their symptoms evince both within‐disorder (homotypic) and between‐disorder (heterotypic) continuities. These continuities may be due to earlier symptoms causing later symptoms or, alternatively, that the same (unknown) causes (e.g., genetics) are operating across time. Applying a novel data analytic approach, we disentangle these two explanations. Methods Participants in a Norwegian community study were assessed biennially from 4 to 10 years of age with clinical interviews (n = 1,042). Prospective reciprocal relations between symptoms of disorders were analyzed with a dynamic panel model within a structural equation framework, adjusting for all unmeasured time‐invariant confounders and time‐varying negative life‐events. Results Homotypic continuities in symptoms characterized all disorders; strongest for attention‐deficit/hyperactivity disorder (ADHD) (r = .32–.62), moderate for behavioral disorders (r = .31–.48) and for anxiety and depression (r = .15–.40), and stronger between 8 and 10 than between 4 and 6 years. Heterotypic continuity also characterized all disorders. A dynamic panel model showed that most continuities were due to unmeasured time‐invariant factors rather than effects of earlier symptoms on later symptoms, although symptoms of behavioral disorders, which evinced two‐year homotypic continuity (B = .14, 95% CI: .04, .25), did influence later symptoms of ADHD (B = .13, CI: .03, .23), and earlier ADHD symptoms influenced later anxiety disorder symptoms (B = .07, CI: .01, .12). Conclusions Homotypic and heterotypic continuities of symptoms of childhood psychiatric disorders are mostly due to unobserved time‐invariant factors. Nonetheless, symptoms of earlier behavioral disorders may affect later symptoms of such disorders and of ADHD, and ADHD may increase the risk of later anxiety. Thus, even if interventions do not alter basic etiological factors, symptom reduction may itself cause later symptom reduction.