(Stock Data): Principal Factor Method with Varimax Rotation
The FACTOR Procedure
Initial Factor Method: Principal Components
Prior Communality Estimates: ONE
Eigenvalues of the Correlation Matrix: Total = 5 Average = 1
Eigenvalue
Difference
Proportion
Cumulative
1
2.43761478
1.03135359
0.4875
0.4875
2
1.40626120
0.90607546
0.2813
0.7688
3
0.50018573
0.10015292
0.1000
0.8688
4
0.40003281
0.14412732
0.0800
0.9488
5
0.25590548
0.0512
1.0000
2 factors will be retained by the NFACTOR criterion.
Factor Pattern
Factor1
Factor2
x1
0.73258
-0.43614
x2
0.83096
-0.28039
x3
0.72635
-0.37403
x4
0.60474
0.69375
x5
0.56317
0.71850
Variance Explained by Each Factor
Factor1
Factor2
2.4376148
1.4062612
Final Communality Estimates: Total = 3.843876
x1
x2
x3
x4
x5
0.72689087
0.76910539
0.66748055
0.84699821
0.83340095
Residual Correlations With Uniqueness on the Diagonal
x1
x2
x3
x4
x5
x1
0.27311
-0.09903
-0.18424
-0.02545
0.05580
x2
-0.09903
0.23089
-0.13444
0.01401
-0.05352
x3
-0.18424
-0.13444
0.33252
0.00323
0.00568
x4
-0.02545
0.01401
0.00323
0.15300
-0.15603
x5
0.05580
-0.05352
0.00568
-0.15603
0.16660
Root Mean Square Off-Diagonal Residuals: Overall = 0.09645329
x1
x2
x3
x4
x5
0.10898520
0.08794901
0.11408265
0.07937147
0.08711316
Partial Correlations Controlling Factors
x1
x2
x3
x4
x5
x1
1.00000
-0.39436
-0.61137
-0.12448
0.26158
x2
-0.39436
1.00000
-0.48518
0.07452
-0.27286
x3
-0.61137
-0.48518
1.00000
0.01434
0.02414
x4
-0.12448
0.07452
0.01434
1.00000
-0.97729
x5
0.26158
-0.27286
0.02414
-0.97729
1.00000
Root Mean Square Off-Diagonal Partials: Overall = 0.43410706
x1
x2
x3
x4
x5
0.39153754
0.34311832
0.39049831
0.49405058
0.52405910
(Stock Data): Principal Factor Method with Varimax Rotation
The FACTOR Procedure
Initial Factor Method: Principal Components
Plot of Factor Pattern for Factor1 and Factor2
Factor1
1
.9
B
.8
A C
.7
.6 D
E
.5
.4
.3
.2
F
.1 a
c
-1 -.9-.8-.7-.6-.5-.4-.3-.2-.1 0 .1 .2 .3 .4 .5 .6 .7 .8 .9 1.0t
o
-.1 r
2
-.2
-.3
-.4
-.5
-.6
-.7
-.8
-.9
-1
x1=A x2=B x3=C x4=D x5=E
(Stock Data): Principal Factor Method with Varimax Rotation
The FACTOR Procedure
Rotation Method: Varimax
Orthogonal Transformation Matrix
1
2
1
0.84070
0.54150
2
-0.54150
0.84070
Rotated Factor Pattern
Factor1
Factor2
x1
0.85205
0.03002
x2
0.85042
0.21424
x3
0.81318
0.07886
x4
0.13275
0.91070
x5
0.08440
0.90900
Variance Explained by Each Factor
Factor1
Factor2
2.1352041
1.7086719
Final Communality Estimates: Total = 3.843876
x1
x2
x3
x4
x5
0.72689087
0.76910539
0.66748055
0.84699821
0.83340095
(Stock Data): Principal Factor Method with Varimax Rotation
The FACTOR Procedure
Rotation Method: Varimax
Plot of Factor Pattern for Factor1 and Factor2
Factor1
1
.9
A B
.8 C
.7
.6
.5
.4
.3
.2
D F
.1 E a
c
-1 -.9-.8-.7-.6-.5-.4-.3-.2-.1 0 .1 .2 .3 .4 .5 .6 .7 .8 .9 1.0t
o
-.1 r
2
-.2
-.3
-.4
-.5
-.6
-.7
-.8
-.9
-1
x1=A x2=B x3=C x4=D x5=E
#3b (Stock Data): Maximum Likelihood Method (k=2 factor)
The FACTOR Procedure
Initial Factor Method: Maximum Likelihood
Prior Communality Estimates: SMC
x1
x2
x3
x4
x5
0.45156689
0.53347907
0.36655825
0.51643642
0.47767780
Preliminary Eigenvalues: Total = 4.52808758 Average = 0.90561752
Eigenvalue
Difference
Proportion
Cumulative
1
3.67372695
1.95722570
0.8113
0.8113
2
1.71650125
1.86845966
0.3791
1.1904
3
-.15195842
0.07024376
-0.0336
1.1568
4
-.22220217
0.26577786
-0.0491
1.1078
5
-.48798003
-0.1078
1.0000
2 factors will be retained by the NFACTOR criterion.
Iteration
Criterion
Ridge
Change
Communalities
1
0.0979665
0.0313
0.4836
0.52461
0.64776
0.42439
1.00000
0.23287
2
0.0195937
0.0000
0.2349
0.58313
0.72449
0.45774
1.00000
0.46775
3
0.0195920
0.0000
0.0010
0.58408
0.72379
0.45854
1.00000
0.46756
Convergence criterion satisfied.
Significance Tests Based on 10000 Observations
Test
DF
Chi-Square
Pr > ChiSq
H0: No common factors
10
17393.6805
<.0001
HA: At least one common factor
H0: 2 Factors are sufficient
1
195.8253
<.0001
HA: More factors are needed
Chi-Square without Bartlett's Correction
195.90039
Akaike's Information Criterion
193.90039
Schwarz's Bayesian Criterion
186.69005
Tucker and Lewis's Reliability Coefficient
0.88793
Squared Canonical Correlations
Factor1
Factor2
1.0000000
0.8149733
Eigenvalues of the Weighted Reduced Correlation Matrix: Total = 4.40462521 Average = 1.1011563
Eigenvalue
Difference
Proportion
Cumulative
1
Infty
Infty
2
4.40462638
4.26529969
1.0000
1.0000
3
0.13932669
0.13939470
0.0316
1.0316
4
-.00006801
0.13919184
-0.0000
1.0316
5
-.13925985
-0.0316
1.0000
Factor Pattern
Factor1
Factor2
x1
0.11500
0.75555
x2
0.32200
0.78747
x3
0.18300
0.65195
x4
1.00000
-0.00000
x5
0.68300
0.03281
Variance Explained by Each Factor
Factor
Weighted
Unweighted
Factor1
1.34516012
1.61688700
Factor2
4.40462638
1.61708744
Final Communality Estimates and Variable Weights
Total Communality: Weighted = 5.749786 Unweighted = 3.233974
Variable
Communality
Weight
x1
0.58408551
2.40432917
x2
0.72379091
3.62045851
x3
0.45853266
1.84686184
x4
1.00000000
Infty
x5
0.46756536
1.87813579
Residual Correlations With Uniqueness on the Diagonal
x1
x2
x3
x4
x5
x1
0.41591
-0.00000
-0.00263
0.00000
0.05167
x2
-0.00000
0.27621
0.00168
0.00000
-0.03276
x3
-0.00263
0.00168
0.54147
0.00000
-0.00038
x4
0.00000
0.00000
0.00000
0.00000
0.00000
x5
0.05167
-0.03276
-0.00038
0.00000
0.53243
Root Mean Square Off-Diagonal Residuals: Overall = 0.01937176
x1
x2
x3
x4
x5
0.02586691
0.01640214
0.00157232
0.00000000
0.03058965
Partial Correlations Controlling Factors
x1
x2
x3
x4
x5
x1
1.00000
-0.00001
-0.00554
0.00000
0.10979
x2
-0.00001
1.00000
0.00435
0.00000
-0.08543
x3
-0.00554
0.00435
1.00000
0.00000
-0.00070
x4
0.00000
0.00000
0.00000
0.00000
0.00000
x5
0.10979
-0.08543
-0.00070
0.00000
1.00000
Root Mean Square Off-Diagonal Partials: Overall = 0.04404878
x1
x2
x3
x4
x5
0.05496674
0.04276996
0.00353966
0.00000000
0.06955812
#3b (Stock Data): Maximum Likelihood Method (k=2 factor)
The FACTOR Procedure
Initial Factor Method: Maximum Likelihood
Plot of Factor Pattern for Factor1 and Factor2
Factor1
D
.9
.8
.E
.6
.5
.4
.3 B
.2 C
F
.1 A a
c
-1 -.9-.8-.7-.6-.5-.4-.3-.2-.1 0 .1 .2 .3 .4 .5 .6 .7 .8 .9 1.0t
o
-.1 r
2
-.2
-.3
-.4
-.5
-.6
-.7
-.8
-.9
-1
x1=A x2=B x3=C x4=D x5=E
#3b (Stock Data): Maximum Likelihood Method (k=2 factor)
The FACTOR Procedure
Rotation Method: Varimax
Orthogonal Transformation Matrix
1
2
1
0.11841
0.99297
2
0.99297
-0.11841
Rotated Factor Pattern
Factor1
Factor2
x1
0.76385
0.02473
x2
0.82006
0.22649
x3
0.66904
0.10452
x4
0.11841
0.99297
x5
0.11345
0.67431
Variance Explained by Each Factor
Factor
Weighted
Unweighted
Factor1
4.68843713
1.73046567
Factor2
1.06134937
1.50350876
Final Communality Estimates and Variable Weights
Total Communality: Weighted = 5.749786 Unweighted = 3.233974
Variable
Communality
Weight
x1
0.58408551
2.40432917
x2
0.72379091
3.62045851
x3
0.45853266
1.84686184
x4
1.00000000
Infty
x5
0.46756536
1.87813579
#3b (Stock Data): Maximum Likelihood Method (k=2 factor)
The FACTOR Procedure
Rotation Method: Varimax
Plot of Factor Pattern for Factor1 and Factor2
Factor1
1
.9
.8 B
A
.7
C
.6
.5
.4
.3
.2
F
.1 E D a
c
-1 -.9-.8-.7-.6-.5-.4-.3-.2-.1 0 .1 .2 .3 .4 .5 .6 .7 .8 .9 1.0t
o
-.1 r
2
-.2
-.3
-.4
-.5
-.6
-.7
-.8
-.9
-1
x1=A x2=B x3=C x4=D x5=E