I have a question related to PCA. I am trying to make an index based on the first principal component. Apparently, Eviews has a nice built-in function for that in "Proc>Make principal components" but I have a couple of questions before I can proceed with the output analysis.
1) I wonder if I need to normalize my data before it or the option "Normalize loadings" does it automatically? I am trying to avoid double normalization.
2) Another question is how to find a linear representation of the new index by the factors? I tried to reestimate it manually by taking PC1 loadings of each factor from the "View>Principal components" but the two do not match.
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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