<< fac_pca_unbal Factor Analysis Qualitative Econometrics Functions >>
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fac_pca_unbal1

PCA for an unbalanced panel

CALLING SEQUENCE

res = fac_pca_unbal1(Z,meth)

PARAMETERS

Input

* Z = a (nobs x k) matrix, collecting the variables

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

Output

* res = a results tlist, with:

   - res('meth') = 'Factor estimation on an unbalanced panel'

   - res('y') = the (nobs x k) matrix collecting the variables

   - res('standardization') = a boolean, indicating whether variables have been standardized

   - res('extrapolated y') = the original panel, with missing values estimated using longitudinal common factor, by means of OLS

   - res('loadings') = a (k x 1) vector, collecting the factor loadings

   - res('factors') = a (n x 1) vector collecting the longitudinal common factor

DESCRIPTION

Principal component Factor estimation on an unbalanced panel.

EXAMPLE

global GROCERDIR; 
load(GROCERDIR+'\data\esp_yields_unb.dat')
// retieve the data values
X=esp_yields_unb('series')
// estimates the factor
res=fac_pca_unbal1(X,'stan');

AUTHOR

Éric Dubois 2022

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