[R] Factor Analysis

From: Krish Krishnan <rkrishnan8216_at_yahoo.com>
Date: Sat 28 Jan 2006 - 07:13:30 EST

 I am very new to factor analysis as well as R. I am trying to run a factor analysis on the residual returns on common stock (residual to some model) and trying to determine if there are any strong factors remaining. After running factanal, I can obtain the factor loadings but how do I get the values of the factor returns themselves? In other words if the relationship is

r = lambda * f

I prrovide r, factanal estimates the lambdas (factor loadings). But how do I get the f values? Am I looking at this too much from a multivariate regression angle?



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