Panel PCA: How to apply Panel PCA?

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jm856
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Joined: Wed Feb 24, 2021 3:31 pm

Panel PCA: How to apply Panel PCA?

Postby jm856 » Thu Feb 25, 2021 5:25 am

I want to apply Principal Components Analysis (PCA) in Eviews on panel data. In Eviews, the option for PCA are different for time series data and Panel data. The help file of Eviews states that when you have panel data, then you should use the option of Panel Principal Components Analysis in Eviews. I have opened the data in Eviews as panel data which is confirmed by the Range (which appears as Range: 1984 2015 x 37 – 1184 obs). When I open the 10 variables "as Group" and click on View, there appears only the option of Principal Components Analysis but no option of Panel Principal Components Analysis (using Eviews 10 and 11 version).

Kindly guide me, how to get the option of Panel Principal Components Analysis and apply it?

EViews Gareth
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Re: Panel PCA: How to apply Panel PCA?

Postby EViews Gareth » Thu Feb 25, 2021 10:17 am

Panel PCA is available from a single series only (it computes the components between dimensions of the panel on a single series).
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jm856
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Joined: Wed Feb 24, 2021 3:31 pm

Re: Panel PCA: How to apply Panel PCA?

Postby jm856 » Thu Feb 25, 2021 3:54 pm

Thanks alot for the help. I opened a single series and the option of panel principal components analysis appeared. But in that case it will not help me by applying on a single series.
I have 10 institutions variables for 37 countries from 1984 to 2015. i want to make a composite index for institutions. i wanted to apply PCA to get that.

Should i apply PCA to each country's 10 institutions variable separately to get principal components and the scores?
Or
Any other suitable method to get a composite index?


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