I have a panel data. There are three alternative proxies (i.e. IndVar1, IndVar2, IndVar3) that basically measure the same concept. I was wondering how I can use principal component analysis to somehow combine these three proxies into one proxy so that the subsequent analysis/table can be cleaner.
Main model in my research: reghdfe DepVar IndVar Controls, absorb() cluster()
See below for the data on DepVar and IndVar. I assume no control variables will be used for the principal component analysis, correct? Thank you in advance for the help!
Main model in my research: reghdfe DepVar IndVar Controls, absorb() cluster()
See below for the data on DepVar and IndVar. I assume no control variables will be used for the principal component analysis, correct? Thank you in advance for the help!
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long gvkey double(fyear DepVar) float IndVar1 double IndVar2 float IndVar3 12994 1992 -.56 .00540844 . .6532383 12994 1993 -.28 .004935834 . .6034814 12994 1994 -.33 .004775097 . .6251687 12994 1995 -.2 .004983093 . .6231105 12994 1996 -.15 .004461602 . .6325336 12994 1997 -.24 .003900709 . .6226345 12994 1998 -.16 .0029155216 . .578259 12994 1999 -.23 .003016023 . .58972865 12994 2000 -.2 .0030279916 . .59530157 12994 2001 . .002729808 . .4891296 12994 2002 -.64 .0021383914 . .58651394 12994 2003 -.22 .002304107 .07442265412013015 .6755146 12994 2004 -.79 .0018747656 .062054743157105366 .664766 12994 2005 -.84 .001843272 .055298161709759375 .489827 12994 2006 -1.18 .0017245542 .058979753733659865 .4455284 12994 2007 -.63 .0013577248 .043039874231813637 .4127912 12994 2008 -.11 .0022961204 .0738202692003167 .3696525 12994 2009 -.63 .0022685607 .07338793706063122 .4201931 12994 2010 -.55 .002429222 .07591318393406761 .4039361 12994 2011 -.57 .001742565 .06081552044609666 .4516295 12994 2012 -.53 .0015599926 .04406979048788129 .476481 12994 2013 -.95 .0016679754 .044451545599926624 .44745025 12994 2014 -.26 .0011239594 .025345286241558036 .5163922 12994 2015 -.22 .0009625988 .027145287003981236 .4973588 12994 2016 -.19 .0009307549 .02531653253342371 .51517814 19049 1992 . . . . 19049 1993 . . . . 19049 1994 . . . . 19049 1995 . . . . 19049 1996 . . . . 19049 1997 . . . . 19049 1998 . . . . 19049 1999 . .0005279381 . . 19049 2000 . .0004776801 . .52466106 19049 2001 . .00044878325 . .54433024 19049 2002 . .0005047504 . . 19049 2003 . .0006503357 . .6144845 19049 2004 . .0003528647 . . 19049 2005 . .00033243175 . .4410313 19049 2006 . .00032095055 . . 19049 2007 . .00050686934 . .6006066 19049 2008 . .0002772205 . . 19049 2009 . .00027057092 . . 19049 2010 . .00028201297 . .54251695 19049 2011 . .00025021454 . .7300749 16950 1994 . . . . 16739 1992 . . . . 16739 1993 . . . . 16739 1994 . . . . 16739 1995 . . . . 16739 1996 . . . . 16739 1997 . . . . 16739 1998 . . . . 16739 1999 . .0003397757 . . 4641 1999 -.75 .0039060125 .01679585385129795 .6458617 4641 2000 -.48 .0045971 .013331589564619169 .6057627 11908 1992 -.2 .015568634 .1712549838617809 .8920395 11908 1993 -.13 .015002538 .11551954946221668 .9201134 11908 1994 -.09 .014272025 .11274899586111282 .8750779 11908 1995 -.06 .01522486 .12788881948782013 .861227 11908 1996 -.1 .01369816 .08492859833567344 .8307174 11908 1997 -.09 .01317675 .10014329715217499 .8125359 11908 1998 -.08 .02582409 .17818623727783686 .7449759 11908 1999 -.18 .006290726 .035857137614871276 .9388587 11908 2000 . .007939343 .03255130800682783 .8582537 13073 1992 . .0005427379 . .54051685 12115 1992 -1.58 .0027985075 .024067164179104476 .4264534 12115 1993 -1.89 .002607562 .021382007822685786 .6258829 12115 1994 . .003222836 .02707182320441989 .4209149 12825 1992 -.09 .009577443 .2767881086465157 .7387033 12825 1993 -.06 .009337733 .2960061184380197 .6722038 12825 1994 -.07 .01399246 .37359869623191266 .7162285 12825 1995 -.11 .011777083 .3627341676742616 .7804794 12825 1996 -.13 .012164562 .34304065396686373 .759369 12825 1997 -.14 .01380677 .443197323110909 .7223861 12825 1998 -.12 .013886148 .42075029051283735 .6724367 12825 1999 -.12 .009612634 .290301555371118 .6642201 12825 2000 -.3 .01029577 .26974915761886936 .6841277 12825 2001 -.32 .009998227 .1909661469103205 .6845236 12825 2002 -.31 .010245856 .20081877753573799 .6544336 12825 2003 -.18 .010452835 .1604510171062917 .6696278 12825 2004 -.1 .00971764 .14965164375979684 .6465802 12825 2005 -.2 .008470789 .12452058942268873 .6323833 12825 2006 -.17 .007518207 .11765994168486289 .611187 12825 2007 -.06 .007628929 .09993896856881294 .6062316 12825 2008 -.15 .00736284 .08651337933355771 .6536069 12825 2009 -.08 .006611036 .08991008991008992 .5995871 12825 2010 -.09 .006138777 .08103186025414538 .55019194 12825 2011 -.09 .006405038 .0925528002413253 .55718964 12825 2012 -.12 .005809563 .0720385754952652 .5646573 12825 2013 -.08 .005638063 .058072047810773346 .5540121 12825 2014 -.13 .005265921 .05055284429445174 .53680456 12825 2015 -.11 .004824248 .06247401645636254 .5315951 12825 2016 -.09 .004845646 .04942558904884008 .5211627 12825 2017 -.05 .00531318 . .5373825 12096 1992 . .00945335 .014180024660912454 1.0209436 12096 1993 -1.16 .01277275 .015327301756253327 .6785985 12096 1994 -.61 .009256304 .02036386849664858 .7435537 12096 1995 -.74 .00730953 .012426201855496203 .8320454 12096 1996 -.33 .004839531 .010163015792154865 .9697902 end
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