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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/

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