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Re: st: PCA and Panel data
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: PCA and Panel data
Date
Tue, 15 Jun 2010 11:14:39 -0400
Pankaj,
You might want to check to see if the data are stationary.
If they are not, you might consider using a dynamic factor
model with deJong's diffuse Kalman filter to provide for the
transition model in the state space form.
Cheers,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Pankaj Vashisht <[email protected]>
Date: Tuesday, June 15, 2010 7:09 am
Subject: st: PCA and Panel data
To: [email protected]
> I want to do principal component analysis for a set of penal data that
> includes 18 time series observation on each 49 cross section. I am
> wondering whether I can use simple pca command ( pca followed by
> variable list) or is there any other command for panel pca.
>
> --
> Regards
> Pankaj
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