Principal component analysis with panel data

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

Principal component analysis with panel data

bolezy
This post has NOT been accepted by the mailing list yet.
I am trying to reduce an index containing around 40 variables to one containing 4 or 5 principal components. However the data is in a panel format with a much larger N than T. I was essentially wondering how to do this in stata or is it done automatically with the –pca command??

Many thanks

Tom