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fac_pca1

Static factor analysis

CALLING SEQUENCE

res=fac_pca1(x,snum,pnum,baing,meth)

PARAMETERS

Input

* x = a matrix of data

* snum = a vector of factors to keep (e.g. [1,...,k]) or the maximum number of factor to test (here k) if the Bai-Ng information criteria is used

* pnum = number of factors to keep for the printing of results

* baing = 'Icp1', 'ICp2', 'ICp3' or 'no' type of Bai-Ng criteria to use

* meth = 'stan' if the user wants to perform the analysis on standardized variables

 

Output

* res = a results tlist with

  - res('meth') = 'static factor'

  - res('namex') = vector of names of the x variables

  - res('x') = matrix of x data

  - res('fi') = first factor selected by the user (in TS format when working with TS) it's the factor i i.e the i-th most important contributor to total variance

  - res('fj') = second factor selected by the user it's the factor j i.e the j-th most important contributor to total variance and so on

  - res('propor') = proportion of variance explained by each factor

  - res('corr_x_f') = matrix of correlations between variables and factors default is the first five factors)

  - res('loadings') = matrix of loadings (variables are in rows) (default is the first five factors)

  - res('snum') = number of selected factor by the user of Bai-Ng (default is the first factor)

  - res('pnum') = number of selected factor for printing results (default is the first five factors)

  - res('bai_ng')= 'no','ICp1','ICp2', 'ICp3'

  - res('ICpk') = value of information criteria selected for each of the number of factor tested

DESCRIPTION

Performs the estimation of a Static factor analysis with the selection of the number of factors according to one of the information criteria proposed by Bai-Ng.

NOTE: can also be used as an approximate dynamic factor analysis (see Stock, J. H. and M. Watson (1998), "Diffusion Indexes", NBER Working Paper, n. 6702).

EXAMPLE

load(GROCERDIR+'/data/BusinessSurvey.dat');
y=explone(['pp','fp','gpp','gob','fob','in'])
r=fac_pca1(y,1:2,2,'no','stan')
// With French business survey variables, on standardized variables (option 'stan'),
// calculates the first 2 factors, stores all results for these 2 factors.
// The # of factors being imposed by the user, the Bai-Ng option is set to 'no'.

AUTHOR

Emmanuel Michaux 2006

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