The most obvious composite index is precisely the first PC, which you
can get with -predict-.
Nick
[email protected]
[email protected]
I am attempting to create a composite index using a number of variables
in my panel data set. I have undergone "panel normalization" and have
conducted a PCA on relevant variables. Next I wish to weight my
variables using the main component of the PCA and find an average which
will hopefully create a numerical score for each country and year in my
dataset. I was hoping that someone may be able to suggest some resources
for me to learn how to do these last couple of steps as I cannot find
any detailed information on methodology myself. Any suggestions on how I
have undergone this process are also very welcome.
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