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Re: st: PCA and Panel data


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: PCA and Panel data
Date   Tue, 15 Jun 2010 11:14:39 -0400

Pankaj,
  You might want to check to see if the data are stationary.
If they are not, you might consider using a dynamic factor 
model with deJong's diffuse Kalman filter to provide for the 
transition model in the state space form.
   Cheers,
    Robert
   

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Pankaj Vashisht <pankaj212@gmail.com>
Date: Tuesday, June 15, 2010 7:09 am
Subject: st: PCA and Panel data
To: statalist@hsphsun2.harvard.edu


> I want to do principal component analysis for a set of penal data that
> includes 18 time series observation on each 49 cross section. I am
> wondering whether I can use simple pca command ( pca followed by
> variable list) or is there any other command for panel pca.
> 
> -- 
> Regards
> Pankaj
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