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st: Factor analysis and winsorizing/Outlier


From   "Florian Christian Esser" <[email protected]>
To   [email protected]
Subject   st: Factor analysis and winsorizing/Outlier
Date   Mon, 25 Nov 2013 09:26:00 +0100

Hi everyone,

I am using an exploratory factor analysis with three factors to derive a
strategy construct based on secondary data.

If I am winsorizing ma data, how should I proceed? Do I winsorize the
input factors, do I winsorize the resulting construct, do I winsorize at
both stages?

Thanks a lot
Florian

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