Robust principal component analysis in Stata

Vincenzo Verardi

United Kingdom Stata Users' Group Meetings 2009 from Stata Users Group

Abstract: When some observations are outlying (in one or several dimensions) PCA is distorted an may lead to incorrect results. We therefore propose a simple solution to deal with this problem by providing a short ado file. To illustrate the importance of outliers in PCA I would like to present a simple analysis identifying the underlying factors of academic excellence calling both the classical PCA and the robust PCA and relying on the rankings of Universities.

Date: 2009-09-16
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