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st: RE: explanation of earlier email: generating new var using principal components eigen


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: explanation of earlier email: generating new var using principal components eigen
Date   Mon, 12 Jan 2009 13:38:14 -0000

The most obvious composite index is precisely the first PC, which you
can get with -predict-. 

Nick 
[email protected] 

[email protected]

I am attempting to create a composite index using a number of variables
in my panel data set. I have undergone "panel normalization" and have
conducted a PCA on relevant variables. Next I wish to weight my
variables using the main component of the PCA and find an average which
will hopefully create a numerical score for each country and year in my
dataset. I was hoping that someone may be able to suggest some resources
for me to learn how to do these last couple of steps as I cannot find
any detailed information on methodology myself. Any suggestions on how I
have undergone this process are also very welcome.

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