Personality psychology has traditionally focused on stable between-person differences. Yet, recent theoretical developments and empirical insights have led to a new conceptualization of personality as a dynamic system (e.g., Cybernetic Big Five Theory). Such dynamic systems comprise several components that need to be conceptually distinguished and mapped to a statistical model for estimation. In the current work, we illustrate how common components from these new dynamic personality theories may be implemented in a continuous-time modeling framework. As an empirical example, we use experience sampling data from N = 180 persons (with on average T = 40 [SD = 8] measurement occasions) to investigate four different effects between momentary happiness, momentary extraverted behavior, and the perception of a situation as social: (1) between-person effects, (2) contemporaneous effects,(3) autoregressive effects, and (4) cross-lagged effects. We highlight that these four effects must not necessarily point in the same direction, which is in line with assumptions from dynamic personality theories.