Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Factor analysis and idiosyncretic component


From   Mahir Binici <mbinici@ucsc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Factor analysis and idiosyncretic component
Date   Sun, 5 Dec 2010 02:27:43 -0800

Dear Statalist Member,

I have two variables (X and Y as time series) and want to run factor
analysis to get a common factor and idiosyncretic factors (components)
for each series.
My questions:
1) Is "factor score" under predict what I need for common factor?
2) How do I construct idiosyncretic factors for X and Y?
If I do construct 'epsilon_x =  'X - mu_x - L*F', where epsilon_x  is
idio. com. for X, L is factor leading coefficient, and F is factor
score, then I don not get 'epsilon_x' and F being orhogonal.

Thanks for your help.

M. Binici
mbinici@ucsc.edu
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index