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st: Factor Analysis for Panel Data


From   Markus Schimmer <mschimmer@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Factor Analysis for Panel Data
Date   Mon, 27 Aug 2012 12:39:01 +0200

Dear Statalisters:

I currently try to reduce the number of performance variables in a
panel dataset, starting from 17 variables. Theoretically, there should
be three factors (profitability, efficiency, growth). However, when
doing a factor analysis per year, I receive between 3 and 5 factors,
depending on the year.

If I would do the factor analysis in a fashion that considers the
panel character of the dataset (which would enforce an equal number of
factors for all years), I believe I should receive variable weights
that lead to a stable 3 factor solution over all years.

The factor command of STATA (11) seems not to support this feature.
Does anyone have a suggestion on how to resolve the issue?

Thank you and best,
Markus
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