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st: rolling PCA/factor analysis?

From   "Suran, Luciana @ CBRE EA" <>
To   "" <>
Subject   st: rolling PCA/factor analysis?
Date   Fri, 13 Apr 2012 17:27:58 +0000

Hello Stata-listers,

I was wondering if anyone has experience running a rolling PCA or factor analysis? In this case I am using the "factor ..., pcf" method rather than "pca".

I  have data on 45 cities over 20 years with quarterly periodicity. I'd like to examine how the largest eigennvalue varies over the time sample using a window of 10 years. I've tried the "rolling" command in Stata v12 which has the format:

rolling [exp_list] [if] [in] [, options] :  command  

...but I'm at a loss as to what to use in [exp_list]. 

Thank you very much in advance. 


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