Thanks again, Nick. I've downloaded -cpcorr-. It will be helpful for
this project and elsewhere.
I now have a different but related problem that could be a bug but could
also represent a gap in my understanding of PCA (which would not be a
surprise).
Checking the correlations between the observed variables and the
extracted components requires the estimation of component scores using
-predict-. Once the component scores are estimated, it's easy to check
the correlation between components. There should be no correlation
between the initially-extracted components, and none between components
after orthogonal rotation. I found the former but not the latter; in
fact, my rotated components are all moderately correlated! The
correlations between components for a three-component model extracted
from the auto.dta data (program at end of this message) look like this:
| c1 c2 c3
-------------+---------------------------
c1 | 1.0000
c2 | 0.6248 1.0000
c3 | -0.4571 -0.4338 1.0000
What's going on? When I the same (give or take) factors using -factor,
pcf- and do the same orthogonal (varimax) rotation, the rotated factors
are, as expected, uncorrelated.
Does this indicate a bug in one or more of the relevant programs (-pca-,
-rotate-, or -predict-), or is there some aspect of PCA that I'm not
taking into account?
Thanks.
Re. Jay's response: Thanks to you also. I wasn't suggesting that the
results of -pca- and -factor- should look the same; I am/was only
looking to have results from the two be on comparable scales, which, as
both of you observed, is a function of the normalization used.
Michael
// ----- program to
// - extract components/factors
// - show correlations between vars and components/factors
// - show correlations between components/factors
// - compare -pca- results to -factor- results
sysuse auto
pca price mpg rep78 headroom trunk weight length displacement, mineigen(1)
predict c1 c2 c3
cpcorr price mpg rep78 headroom trunk weight length displacement \ c1-c3
corr c1-c3
rotate, varimax
drop c1-c3
predict c1 c2 c3
cpcorr price mpg rep78 headroom trunk weight length displacement \ c1-c3
corr c1-c3
factor price mpg rep78 headroom trunk weight length displacement, pcf
predict f1 f2 f3
cpcorr price mpg rep78 headroom trunk weight length displacement \ f1-f3
corr f1-f3
rotate, varimax
drop f1-f3
predict f1 f2 f3
cpcorr price mpg rep78 headroom trunk weight length displacement \ f1-f3
corr f1-f3
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