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st: Factor analysis and idiosyncretic component

From   Mahir Binici <[email protected]>
To   [email protected]
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
[email protected]
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