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Re: st: pca and predict--confusion about what it does


From   Israel Pearce <ra.frbsf@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: pca and predict--confusion about what it does
Date   Sat, 20 Oct 2012 12:17:38 -0700

Thank you. I can't seem to find any options on Stata that do not scale
the PC's to have mean 0. Do you know of an option that could allow for
this or is it not a feature in Stata?

On Sat, Oct 20, 2012 at 11:02 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> The first predicted variable is the first PC, and so on. It's
> conventional that PCs are scaled to have mean 0.
>
> The absence of a response or outcome variable is irrelevant here. If
> you're confused a good reason is because Stata is stretching the
> meaning of -predict- here to include these constructed variables. (A
> bad reason is not reading the documentation...)
>
> Nick
>
> On Sat, Oct 20, 2012 at 6:32 PM, Israel Pearce <ra.frbsf@gmail.com> wrote:
>> I am confused about the principal component scores one gets from pca
>> postestimation. Let's say I wanted the first principal component
>> scores from a set of explanatory variables. I could do a pca on my x
>> variables getting eigen values and vectors then use predict pc1 (a
>> newly created var), focusing only on the first eigenvector. However,
>> if one does not have a y variable what is the score actually giving us
>> for individual observations? What is it a predicted value for? Also,
>> in theory I do not see why the sum of these observations must add to 0
>> but they are. If someone understands this I would greatly appreciate
>> an explanation. Thanks!
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