Hi Users,
In below is an example of my data. ISIN is the indicator of each company and year is time variable. Spread_ Return_ Price_Imp_ are three factors I am using in my study. I want to aggregate the three factors into a single factor employing factor analysis, and use the first (and only) factor with Egenvalue greater than one as a new variable.
I am not sure how to conduct this with the factor analysis. I would be grateful if one could help me.
Kind regards,
Mahmoud
input str12 ISIN int year float(Spread_ Return_ Price_Imp_)
"AT00000AMAG3" 2015 .00988468 3 .00028884035
"AT00000AMAG3" 2016 .01122273 8 .0003419403
"AT00000VIE62" 2015 .004159926 1 .00001977634
"AT00000VIE62" 2016 .0036591955 2 .00006386997
"AT0000644505" 2015 .004734315 0 .00005941276
"AT0000644505" 2016 .0018357 1 .00003649672
"AT0000652250" 2015 .005987245 3 .00002703284
"AT0000652250" 2016 .0026310235 3 .000019829313
"AT0000720008" 2015 .003333136 0 2.800705e-06
"AT0000720008" 2016 .0016145187 2 3.615905e-06
"AT0000743059" 2015 .0015612802 0 2.5493464e-06
"AT0000743059" 2016 .0012313747 1 2.2139432e-06
"AT0000746409" 2015 .0031229085 0 7.464143e-06
"AT0000746409" 2016 .0018918787 0 5.01424e-06
"AT0000758305" 2015 .007752709 7 .0001329921
"AT0000758305" 2016 .002970338 0 .00005479738
"AT0000785555" 2015 .007911653 1 .00014836127
"AT0000785555" 2016 .0033432434 1 .000061143655
"AT0000815402" 2015 .010627603 0 .0003362452
"AT0000815402" 2016 .008164085 8 .00018838877
"AT0000831706" 2015 .002849003 1 4.3330574e-06
"AT0000831706" 2016 .001567256 1 3.378487e-06
"AT0000938204" 2015 .004311377 2 .00016624657
"AT0000938204" 2016 .003715749 8 .00019655575
"AT0000946652" 2015 .00531797 0 .00005522828
"AT0000946652" 2016 .0019775336 2 .00004944079
"AT0000A00XX9" 2015 .012964678 10 .00011166516
"AT0000A00XX9" 2016 .004417472 2 .000027482565
"AT0000A00Y78" 2015 .016869852 3 .00015133058
"AT0000A00Y78" 2016 .009267841 2 .00006580275
end
In below is an example of my data. ISIN is the indicator of each company and year is time variable. Spread_ Return_ Price_Imp_ are three factors I am using in my study. I want to aggregate the three factors into a single factor employing factor analysis, and use the first (and only) factor with Egenvalue greater than one as a new variable.
I am not sure how to conduct this with the factor analysis. I would be grateful if one could help me.
Kind regards,
Mahmoud
input str12 ISIN int year float(Spread_ Return_ Price_Imp_)
"AT00000AMAG3" 2015 .00988468 3 .00028884035
"AT00000AMAG3" 2016 .01122273 8 .0003419403
"AT00000VIE62" 2015 .004159926 1 .00001977634
"AT00000VIE62" 2016 .0036591955 2 .00006386997
"AT0000644505" 2015 .004734315 0 .00005941276
"AT0000644505" 2016 .0018357 1 .00003649672
"AT0000652250" 2015 .005987245 3 .00002703284
"AT0000652250" 2016 .0026310235 3 .000019829313
"AT0000720008" 2015 .003333136 0 2.800705e-06
"AT0000720008" 2016 .0016145187 2 3.615905e-06
"AT0000743059" 2015 .0015612802 0 2.5493464e-06
"AT0000743059" 2016 .0012313747 1 2.2139432e-06
"AT0000746409" 2015 .0031229085 0 7.464143e-06
"AT0000746409" 2016 .0018918787 0 5.01424e-06
"AT0000758305" 2015 .007752709 7 .0001329921
"AT0000758305" 2016 .002970338 0 .00005479738
"AT0000785555" 2015 .007911653 1 .00014836127
"AT0000785555" 2016 .0033432434 1 .000061143655
"AT0000815402" 2015 .010627603 0 .0003362452
"AT0000815402" 2016 .008164085 8 .00018838877
"AT0000831706" 2015 .002849003 1 4.3330574e-06
"AT0000831706" 2016 .001567256 1 3.378487e-06
"AT0000938204" 2015 .004311377 2 .00016624657
"AT0000938204" 2016 .003715749 8 .00019655575
"AT0000946652" 2015 .00531797 0 .00005522828
"AT0000946652" 2016 .0019775336 2 .00004944079
"AT0000A00XX9" 2015 .012964678 10 .00011166516
"AT0000A00XX9" 2016 .004417472 2 .000027482565
"AT0000A00Y78" 2015 .016869852 3 .00015133058
"AT0000A00Y78" 2016 .009267841 2 .00006580275
end
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