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st: Finding the largest positive definite submatrix
I'm using Stas Kolenikov's -polychoric- on data from a 70-item questionnaire
(102 respondents with complete responses) to obtain the matrix of polychoric
correlation coefficients to feed to Stata's -factormat-.
Alas, -factormat- complains that the correlation matrix is not positive
definite. I would like to retain a subset of as many of the questionnaire
items as possible in the factor analysis. What is the best way to return
the largest positive-definite submatrix from the correlation matrix?
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