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Factor Analysis example

The data for this example are in Table 9.12 in Johnson and Wichern. They consist of 3 measurements on the sales performance of 50 salespeople for a large firm and 4 test scores.

The data begin:

tabular7

I used SAS to carry out Factor Analysis of these variables several different ways.

SAS code for first run, requesting principal components factor analysis, no rotation, all output printed and allowing SAS to select m the number of factors:

data sales;
 infile "T9-12.DAT";
 input growth profit new create mech abst math;
proc factor method=prin rotate=none all;
run;
The (edited) output is
Initial Factor Method: Principal Components
                      Inverse Correlation Matrix
         GROWTH   PROFIT     NEW   CREATE    MECH     ABST    MATH
GROWTH  35.1412  -8.2675  15.7402 -13.9069 -1.5588 -13.8694 -23.7101
PROFIT  -8.2675  31.6239  -2.7059   1.4128 -8.1820   6.5890 -19.5028
NEW     15.7402  -2.7059  21.6934 -13.2468 -0.1384 -10.4680 -19.0616
CREATE -13.9069   1.4128 -13.2468  10.5387 -0.1251   7.6430  14.2502
MECH    -1.5588  -8.1820  -0.1384  -0.1251  4.5610  -0.8843   7.2216
ABST   -13.8694   6.5890 -10.4680   7.6430 -0.8843   8.6865   7.9984
MATH   -23.7101 -19.5028 -19.0616  14.2502  7.2216   7.9984  43.0948

           Partial Correlations Controlling all other Variables

             GROWTH    PROFIT       NEW    CREATE   MECH      ABST      MATH
 GROWTH     1.00000   0.24800  -0.57008   0.72265  0.12312   0.79383   0.60927
 PROFIT     0.24800   1.00000   0.10331  -0.07739  0.68127  -0.39755   0.52829
 NEW       -0.57008   0.10331   1.00000   0.87610  0.01392   0.76257   0.62342
 CREATE     0.72265  -0.07739   0.87610   1.00000  0.01805  -0.79882  -0.66868
 MECH       0.12312   0.68127   0.01392   0.01805  1.00000   0.14049  -0.51510
 ABST       0.79383  -0.39755   0.76257  -0.79882  0.14049   1.00000  -0.41340
 MATH       0.60927   0.52829   0.62342  -0.66868 -0.51510  -0.41340   1.00000

     Kaiser's Measure of Sampling Adequacy: Over-all MSA = 0.61609232

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.662688  0.782579  0.629694  0.409556  0.749798  0.417191  0.631877

             Prior Communality Estimates: ONE

Eigenvalues of the Correlation Matrix:  Total = 7  Average = 1

                   1      2     3        4     5        6        7
 Eigenvalue   5.0346  0.9335  0.4979  0.4212 0.0810  0.0203  0.0113
 Difference   4.1011  0.4356  0.0767  0.3402 0.0607  0.0090
 Proportion   0.7192  0.1334  0.0711  0.0602 0.0116  0.0029  0.0016
 Cumulative   0.7192  0.8526  0.9237  0.9839 0.9955  0.9984  1.0000

           1 factors will be retained by the MINEIGEN criterion.
                               Eigenvectors
                            GROWTH     0.43367
                            PROFIT     0.42021
                            NEW        0.42105
                            CREATE     0.29429
                            MECH       0.34909
                            ABST       0.28917
                            MATH       0.40740

                              Factor Pattern
                                       FACTOR1
                            GROWTH     0.97307
                            PROFIT     0.94287
                            NEW        0.94475
                            CREATE     0.66032
                            MECH       0.78329
                            ABST       0.64883
                            MATH       0.91413

                     Variance explained by each factor
                                   FACTOR1
                                  5.034598

               Final Communality Estimates: Total = 5.034598

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.946864  0.889006  0.892553  0.436018  0.613542  0.420981  0.835633

               Scoring Coefficients Estimated by Regression

      Squared Multiple Correlations of the Variables with each Factor

                                   FACTOR1
                                  1.000000

                     Standardized Scoring Coefficients

                                       FACTOR1
                            GROWTH     0.19328
                            PROFIT     0.18728
                            NEW        0.18765
                            CREATE     0.13116
                            MECH       0.15558
                            ABST       0.12887
                            MATH       0.18157

           Residual Correlations With Uniqueness on the Diagonal

          GROWTH    PROFIT      NEW    CREATE   MECH      ABST      MATH
GROWTH   0.05314   0.00860  -0.03531  -0.07050 -0.05412   0.04305   0.03780
PROFIT   0.00860   0.11099  -0.04825  -0.08109  0.00737  -0.14638   0.08239
NEW     -0.03531  -0.04825   0.10745   0.07653 -0.10254   0.02811  -0.01106
CREATE  -0.07050  -0.08109   0.07653   0.56398  0.07352  -0.28153  -0.19098
MECH    -0.05412   0.00737  -0.10254   0.07352  0.38646  -0.12227  -0.14147
ABST     0.04305  -0.14638   0.02811  -0.28153 -0.12227   0.57902  -0.02674
MATH     0.03780   0.08239  -0.01106  -0.19098 -0.14147  -0.02674   0.16437

      Root Mean Square Off-diagonal Residuals: Over-all = 0.10322669

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.045646  0.078788  0.058961  0.151951  0.094753  0.140826  0.104516

                 Partial Correlations Controlling Factors

                         GROWTH    PROFIT       NEW    CREATE
                           MECH      ABST      MATH
GROWTH  1.00000   0.11194  -0.46725  -0.40724 -0.37768   0.24544   0.40447
PROFIT  0.11194   1.00000  -0.44187  -0.32409  0.03558  -0.57739   0.60998
NEW    -0.46725  -0.44187   1.00000   0.31088 -0.50322   0.11268  -0.08320
CREATE -0.40724  -0.32409   0.31088   1.00000  0.15747  -0.49265  -0.62725
MECH   -0.37768   0.03558  -0.50322   0.15747  1.00000  -0.25848  -0.56133
ABST    0.24544  -0.57739   0.11268  -0.49265 -0.25848   1.00000  -0.08669
MATH    0.40447   0.60998  -0.08320  -0.62725 -0.56133  -0.08669   1.00000

       Root Mean Square Off-diagonal Partials: Over-all = 0.38975152

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.356644  0.412217  0.361262  0.414017  0.366023  0.347216  0.458011
The procedure selects only one factor on which all the variables are fairly highly loaded. The factor is the first principal component of the correlation matrix.

Now I try insisting on two factors, using varimax rotation and then plotting the factor loadings before and after rotation.

proc factor m=prin nfactor=2 rotate=v preplot plot all;
The output
           2 factors will be retained by the NFACTOR criterion.
Initial Factor Method: Principal Components

                              Factor Pattern

                                  FACTOR1   FACTOR2
                       GROWTH     0.97307  -0.10798
                       PROFIT     0.94287   0.02830
                       NEW        0.94475   0.00889
                       CREATE     0.66032   0.64581
                       MECH       0.78329   0.28497
                       ABST       0.64883  -0.62066
                       MATH       0.91413  -0.19359

                     Variance explained by each factor

                              FACTOR1   FACTOR2
                             5.034598  0.933516

               Final Communality Estimates: Total = 5.968114

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.958522  0.889807  0.892632  0.853094  0.694751  0.806195  0.873111

           Residual Correlations With Uniqueness on the Diagonal

            GROWTH    PROFIT       NEW    CREATE   MECH      ABST      MATH
GROWTH  0.04148   0.01165  -0.03435  -0.00077 -0.02335  -0.02397   0.01690
PROFIT  0.01165   0.11019  -0.04851  -0.09936 -0.00070  -0.12881   0.08787
NEW    -0.03435  -0.04851   0.10737   0.07079 -0.10508   0.03362  -0.00934
CREATE -0.00077  -0.09936   0.07079   0.14691 -0.11052   0.11930  -0.06595
MECH   -0.02335  -0.00070  -0.10508  -0.11052  0.30525   0.05460  -0.08631
ABST   -0.02397  -0.12881   0.03362   0.11930  0.05460   0.19380  -0.14690
MATH    0.01690   0.08787  -0.00934  -0.06595 -0.08631  -0.14690   0.12689

      Root Mean Square Off-diagonal Residuals: Over-all = 0.07538345

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.021296  0.078182  0.058881  0.087256  0.075533  0.097545  0.083137

       Root Mean Square Off-diagonal Partials: Over-all = 0.50908239

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.277921  0.601054  0.443291  0.567641  0.386234  0.623235  0.565089

              Plot of Factor Pattern for FACTOR1 and FACTOR2

                                  FACTOR1
                                     1
                                 A   B
                               G    .9

                                    .8       E

                                    .7
                  F                                     D
                                    .6

                                    .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
GROWTH=A  PROFIT=B    NEW=B  CREATE=D  MECH=E ABST=F  MATH=G

Rotation Method: Varimax

                     Orthogonal Transformation Matrix
                                     1         2
                           1      0.73145   0.68189
                           2     -0.68189   0.73145

                          Rotated Factor Pattern

                                  FACTOR1   FACTOR2
                       GROWTH     0.78538   0.58455
                       PROFIT     0.67037   0.66364
                       NEW        0.68498   0.65072
                       CREATE     0.04261   0.92265
                       MECH       0.37862   0.74256
                       ABST       0.89781  -0.01155
                       MATH       0.80065   0.48174

                     Variance explained by each factor

                              FACTOR1   FACTOR2
                             3.127683  2.840431
               Final Communality Estimates: Total = 5.968114

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.958522  0.889807  0.892632  0.853094  0.694751  0.806195  0.873111

               Scoring Coefficients Estimated by Regression
      Squared Multiple Correlations of the Variables with each Factor

                              FACTOR1   FACTOR2
                             1.000000  1.000000

                     Standardized Scoring Coefficients

                                  FACTOR1   FACTOR2
                       GROWTH     0.22024   0.04719
                       PROFIT     0.11632   0.14988
                       NEW        0.13076   0.13492
                       CREATE    -0.37581   0.59546
                       MECH      -0.09436   0.32938
                       ABST       0.54763  -0.39843
                       MATH       0.27422  -0.02788

              Plot of Factor Pattern for FACTOR1 and FACTOR2

                                  FACTOR1
                                     1

                                    F9

                                    .8             G  A

                                    .7                  C
                                                        B
                                    .6

                                    .5

                                    .4                     E

                                    .3

                                    .2
                                                                     F
                                    .1                               A
                                                                D    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
GROWTH=A  PROFIT=B    NEW=C  CREATE=D  MECH=E ABST=F  MATH=G
With principal components factor analysis fitting a second factor does not change the first factor (before rotation). Creativity and abstract reasoning are loaded on the second factor with opposite signs which would appear to represent a difference between people on a dimension of creativity as opposed to abstract reasoning.

After rotation everything except creativity is loaded on factor 1, though Mechanical reasoning has a rather smaller loading. Abstraction is not loaded on factor 2.

Now I tried iterated principal factor analysis with varimax rotation. The option heywood permits iteration to continue if the estimated uniqueness of a variable drops below 0.

proc factor m=prinit nfactor=2 rotate=v preplot plot all heywood;
run;
Initial Factor Method: Iterated Principal Factor Analysis

                   Prior Communality Estimates: ONE

           2 factors will be retained by the NFACTOR criterion.
 Iter    Change   Communalities

   1   0.305249   0.95852 0.88981 0.89263 0.85309 0.69475 0.80620 0.87311
   2   0.122396   0.96840 0.87423 0.87908 0.80520 0.60002 0.68380 0.85064
   3   0.090342   0.98057 0.87429 0.88013 0.79735 0.57498 0.59346 0.85545
   4   0.063814   0.98875 0.87617 0.88190 0.80757 0.56804 0.52964 0.86690
   5   0.040187   0.99332 0.87790 0.88272 0.82483 0.56497 0.48946 0.87810
   6   0.022953   0.99547 0.87917 0.88280 0.84403 0.56254 0.46650 0.88668
   7   0.019141   0.99628 0.88000 0.88249 0.86317 0.56024 0.45397 0.89244
   8   0.018399   0.99646 0.88051 0.88204 0.88157 0.55808 0.44705 0.89597
   9   0.017475   0.99640 0.88084 0.88156 0.89905 0.55609 0.44302 0.89798
  10   0.016551   0.99629 0.88107 0.88109 0.91560 0.55429 0.44044 0.89906
  11   0.015686   0.99618 0.88126 0.88065 0.93128 0.55265 0.43862 0.89958
  12   0.014897   0.99611 0.88142 0.88023 0.94618 0.55115 0.43722 0.89977
  13   0.014181   0.99605 0.88158 0.87984 0.96036 0.54978 0.43605 0.89978
  14   0.013532   0.99601 0.88172 0.87946 0.97389 0.54852 0.43503 0.89970
  15   0.012944   0.99599 0.88186 0.87910 0.98684 0.54736 0.43411 0.89956
  16   0.012408   0.99597 0.88200 0.87875 0.99925 0.54628 0.43327 0.89939
  17   0.001004   0.99596 0.88213 0.87842 1.00000 0.54528 0.43250 0.89922
  18   0.000295   0.99600 0.88224 0.87833 1.00000 0.54499 0.43220 0.89918

                     Convergence criterion satisfied.

              Eigenvalues of the Reduced Correlation Matrix:
                  Total = 5.63350769  Average = 0.80478681

                  1       2       3       4     5       6      7
 Eigenvalue    4.8786  0.7663  0.2047  0.0838 0.0051 -0.1182  -0.1868
 Difference    4.1123  0.5616  0.1209  0.0787 0.1233  0.0686
 Proportion    0.8660  0.1360  0.0363  0.0149 0.0009 -0.0210  -0.0332
 Cumulative    0.8660  1.0020  1.0384  1.0532 1.0541  1.0332   1.0000

                               Eigenvectors
                                     1         2
                       GROWTH     0.44687  -0.16852
                       PROFIT     0.42379  -0.08882
                       NEW        0.42404   0.03803
                       CREATE     0.30550   0.85228
                       MECH       0.32820   0.15943
                       ABST       0.26439  -0.34496
                       MATH       0.41224  -0.30243

                              Factor Pattern

                                  FACTOR1   FACTOR2
                       GROWTH     0.98704  -0.14753
                       PROFIT     0.93605  -0.07775
                       NEW        0.93660   0.03329
                       CREATE     0.67478   0.74609
                       MECH       0.72492   0.13956
                       ABST       0.58396  -0.30198
                       MATH       0.91054  -0.26475

                     Variance explained by each factor

                              FACTOR1   FACTOR2
                             4.878597  0.766328

               Final Communality Estimates: Total = 5.644925

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.996003  0.882237  0.878330  1.011982  0.544987  0.432204  0.899183

           Residual Correlations With Uniqueness on the Diagonal

GROWTH  0.00400  -0.00931  -0.03554   0.01607  0.01314   0.05347  -0.01049
PROFIT -0.00931   0.11776  -0.03159  -0.03212  0.07820  -0.10471   0.07140
NEW    -0.03554  -0.03159   0.12167   0.04352 -0.04614   0.10420   0.00857
CREATE  0.01607  -0.03212   0.04352  -0.01198 -0.00255  -0.02184  -0.00425
MECH    0.01314   0.07820  -0.04614  -0.00255  0.45501   0.00477  -0.04857
ABST    0.05347  -0.10471   0.10420  -0.02184  0.00477   0.56780  -0.04530
MATH   -0.01049   0.07140   0.00857  -0.00425 -0.04857  -0.04530   0.10082

      Root Mean Square Off-diagonal Residuals: Over-all = 0.04822817

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.028135  0.063630  0.053566  0.024783  0.042435  0.067370  0.040229

                 Partial Correlations Controlling Factors

          GROWTH    PROFIT       NEW    CREATE    MECH      ABST      MATH
GROWTH  1.00000  -0.42908  -1.61171   0.00000  0.30811   1.12224  -0.52229
PROFIT -0.42908   1.00000  -0.26395   0.00000  0.33781  -0.40493   0.65524
NEW    -1.61171  -0.26395   1.00000   0.00000 -0.19609   0.39645   0.07734
CREATE  0.00000   0.00000   0.00000   0.00000  0.00000   0.00000   0.00000
MECH    0.30811   0.33781  -0.19609   0.00000  1.00000   0.00938  -0.22677
ABST    1.12224  -0.40493   0.39645   0.00000  0.00938   1.00000  -0.18934
MATH   -0.52229   0.65524   0.07734   0.00000 -0.22677  -0.18934   1.00000

       Root Mean Square Off-diagonal Partials: Over-all = 0.51059853

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.857210  0.400252  0.691481  0.000000  0.223239  0.519055  0.364095

              Plot of Factor Pattern for FACTOR1 and FACTOR2

                                  FACTOR1
                                A    1
                                  B  C
                             G      .9

                                    .8

                                    .7   E
                                                           D
                           F        .6

                                    .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
GROWTH=A  PROFIT=B    NEW=C  CREATE=D  MECH=E ABST=F  MATH=G

Rotation Method: Varimax

                     Orthogonal Transformation Matrix
                                     1         2
                           1      0.84716   0.53133
                           2     -0.53133   0.84716

                          Rotated Factor Pattern
                                  FACTOR1   FACTOR2
                       GROWTH     0.91457   0.39946
                       PROFIT     0.83430   0.43149
                       NEW        0.77577   0.52585
                       CREATE     0.17523   0.99059
                       MECH       0.53997   0.50340
                       ABST       0.65516   0.05445
                       MATH       0.91205   0.25951

                     Variance explained by each factor

                              FACTOR1   FACTOR2
                             3.717650  1.927275

               Final Communality Estimates: Total = 5.644925

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.996003  0.882237  0.878330  1.011982  0.544987  0.432204  0.899183


               Scoring Coefficients Estimated by Regression

      Squared Multiple Correlations of the Variables with each Factor

                              FACTOR1   FACTOR2
                             1.298471  1.311894

                     Standardized Scoring Coefficients

                                  FACTOR1   FACTOR2

                       GROWTH     3.46196  -2.72182
                       PROFIT    -0.91749   1.49807
                       NEW        2.32759  -2.18108
                       CREATE    -2.03309   2.57935
                       MECH       0.08882  -0.22785
                       ABST      -1.46013   1.47280
                       MATH      -1.80143   1.46081
Rotation Method: Varimax

              Plot of Factor Pattern for FACTOR1 and FACTOR2

                                  FACTOR1
                                     1

                                    .9      G   A
                                                 B
                                    .8              C

                                    .7
                                      F
                                    .6
                                                    E
                                    .5

                                    .4

                                    .3

                                    .2                            D
                                                                     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
GROWTH=A  PROFIT=B    NEW=C  CREATE=D  MECH=E ABST=F  MATH=G
The rotated factor loadings seem rather similar here. There seems to be a distinct latent variable which fully explains creativity and is at play in determining other variables a bit. There also seems to be a variable on which every variable except creativity is highly loaded. I am not really sure how to interpret this variable.

Now I tried maximum likelihood.

proc factor m=ml nfactor=2 rotate=v preplot plot all heywood;
run;
The output is
Initial Factor Method: Maximum Likelihood
                   Prior Communality Estimates: SMC

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.971543  0.968378  0.953903  0.905112  0.780748  0.884878  0.976795

     Preliminary Eigenvalues:  Total = 148.339548  Average = 21.191364

                 1       2       3       4     5       6       7
Eigenvalue  130.3121  9.4410  6.5497  2.5446 0.7601 -0.5331 -0.7349
Difference  120.8711  2.8913  4.0051  1.7845 1.2932  0.2018
Proportion    0.8785  0.0636  0.0442  0.0172 0.0051 -0.0036 -0.0050
Cumulative    0.8785  0.9421  0.9863  1.0034 1.0085  1.0050  1.0000

           2 factors will be retained by the NFACTOR criterion.

    Iter Criterion    Ridge   Change   Communalities

      1    4.18397    0.000  0.09489   0.96827 0.95946 0.92988 1.00000
                                       0.73649 0.79560 0.96985

      2    2.64993    0.000  0.37880   0.94441 0.91603 0.87751 1.00000
                                       0.54254 0.41681 0.96161

      3    2.63510    0.000  0.01113   0.93584 0.92687 0.87771 1.00000
                                       0.53141 0.41206 0.96421

      4    2.63204    0.000  0.01336   0.93342 0.92724 0.87616 1.00000
                                       0.53049 0.39870 0.96884

      5    2.63142    0.000  0.00620   0.93205 0.92916 0.87683 1.00000
                                       0.52684 0.39250 0.96942

      6    2.63130    0.000  0.00210   0.93149 0.92913 0.87648 1.00000
                                       0.52659 0.39040 0.97035

      7    2.63128    0.000  0.00125   0.93123 0.92951 0.87666 1.00000
                                       0.52576 0.38915 0.97042

      8    2.63127    0.000  0.00035   0.93112 0.92948 0.87658 1.00000
                                       0.52575 0.38880 0.97061

                     Convergence criterion satisfied.

     Significance tests based on 50 observations:

        Test of H0: No common factors.
             vs HA: At least one common factor.

        Chi-square = 499.661   df = 21   Prob>chi**2 = 0.0001

        Test of H0: 2 Factors are sufficient.
             vs HA: More factors are needed.

        Chi-square = 117.092   df = 8   Prob>chi**2 = 0.0001

     Chi-square without Bartlett's correction = 128.93234776
     Akaike's Information Criterion = 112.93234776
     Schwarz's Bayesian Criterion = 97.636163717
     Tucker and Lewis's Reliability Coefficient = 0.4017366379
                      Squared Canonical Correlations

                              FACTOR1   FACTOR2
                             1.000000  0.980050

                               Eigenvectors

                                     1         2
                       GROWTH     0.57204   0.78496
                       PROFIT     0.03116   0.20891
                       NEW        0.41606  -0.17154
                       CREATE     0.70619  -0.54400
                       MECH       0.00000  -0.06982
                       ABST       0.00000  -0.03499
                       MATH       0.00000   0.09345

          Eigenvalues of the Weighted Reduced Correlation Matrix:
                  Total = 49.1264918  Average = 8.18774864

               1       2       3       4       5       6       7
Eigenvalue     .     49.1265  1.1504  0.7153 -0.2018 -0.7704 -0.8935
Difference     .     47.9761  0.4351  0.9171  0.5686  0.1231
Proportion     .      1.0000  0.0234  0.0146 -0.0041 -0.0157 -0.0182
Cumulative     .      1.0000  1.0234  1.0380  1.0339  1.0182  1.0000

                              Factor Pattern

                                  FACTOR1   FACTOR2
                       GROWTH     0.57204   0.77709
                       PROFIT     0.54151   0.79768
                       NEW        0.70036   0.62138
                       CREATE     1.00000  -0.00000
                       MECH       0.59074   0.42024
                       ABST       0.14691   0.60579
                       MATH       0.41264   0.89462

                     Variance explained by each factor

                                   FACTOR1   FACTOR2
                      Weighted   19.448504 49.126492
                      Unweighted  2.651787  2.970211

             Final Communality Estimates and Variable Weights
      Total Communality: Weighted = 68.574996   Unweighted = 5.621998

                           GROWTH    PROFIT       NEW    CREATE
           Communality   0.931096  0.929532  0.876616  1.000000
           Weight       14.518860 14.180085  8.102194   .

                             MECH      ABST      MATH
           Communality   0.525572  0.388566  0.970616
           Weight        2.108574  1.636117 34.029166

           Residual Correlations With Uniqueness on the Diagonal

         GROWTH    PROFIT      NEW   CREATE    MECH      ABST      MATH
GROWTH  0.06890  -0.00356   0.00050  0.00000  0.04359   0.11962  -0.00393
PROFIT -0.00356   0.07047  -0.03239  0.00000  0.09080  -0.09740   0.00722
NEW     0.00050  -0.03239   0.12338  0.00000 -0.03739   0.16178   0.00768
CREATE  0.00000   0.00000   0.00000  0.00000  0.00000   0.00000   0.00000
MECH    0.04359   0.09080  -0.03739  0.00000  0.47443   0.04459  -0.04516
ABST    0.11962  -0.09740   0.16178  0.00000  0.04459   0.61143  -0.03620
MATH   -0.00393   0.00722   0.00768  0.00000 -0.04516  -0.03620   0.02938

      Root Mean Square Off-diagonal Residuals: Over-all = 0.05691855

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.052019  0.056043  0.069134  0.000000  0.050941  0.094219  0.024073

       Root Mean Square Off-diagonal Partials: Over-all = 0.27892670

      GROWTH    PROFIT       NEW    CREATE      MECH      ABST      MATH
    0.260769  0.320222  0.290900  0.000000  0.283366  0.405477  0.211487

              Plot of Factor Pattern for FACTOR1 and FACTOR2

                                  FACTOR1
                                     D

                                    .9

                                    .8

                                    .7                 C

                                    .6           E
                                                            A
                                    .5

                                    .4                         G

                                    .3

                                    .2
                                                       F             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
GROWTH=A  PROFIT=A    NEW=C  CREATE=D  MECH=E ABST=F  MATH=G

Rotation Method: Varimax

                     Orthogonal Transformation Matrix

                                     1         2

                           1      0.14646   0.98922
                           2      0.98922  -0.14646

                          Rotated Factor Pattern

                                  FACTOR1   FACTOR2

                       GROWTH     0.85249   0.45205
                       PROFIT     0.86839   0.41884
                       NEW        0.71725   0.60180
                       CREATE     0.14646   0.98922
                       MECH       0.50223   0.52282
                       ABST       0.62078   0.05660
                       MATH       0.94541   0.27716

                     Variance explained by each factor

                                   FACTOR1   FACTOR2
                      Weighted   56.990420 11.584576
                      Unweighted  3.548142  2.073856

             Final Communality Estimates and Variable Weights
      Total Communality: Weighted = 68.574996   Unweighted = 5.621998

                           GROWTH    PROFIT       NEW    CREATE
           Communality   0.931096  0.929532  0.876616  1.000000
           Weight       14.518860 14.180085  8.102194   .

                             MECH      ABST      MATH
           Communality   0.525572  0.388566  0.970616
           Weight        2.108574  1.636117 34.029166

               Scoring Coefficients Estimated by Regression

      Squared Multiple Correlations of the Variables with each Factor

                              FACTOR1   FACTOR2
                             0.980478  0.999572

                     Standardized Scoring Coefficients

                                  FACTOR1   FACTOR2
                       GROWTH     0.22265  -0.03297
                       PROFIT     0.22322  -0.03305
                       NEW        0.09935  -0.01471
                       CREATE    -0.43247   1.07493
                       MECH       0.01749  -0.00259
                       ABST       0.01956  -0.00290
                       MATH       0.60078  -0.08895

              Plot of Factor Pattern for FACTOR1 and FACTOR2

                                  FACTOR1
                                     1
                                             G
                                    .9
                                                 BA
                                    .8

                                    .7                 C

                                    .6F

                                    .5              E

                                    .4

                                    .3

                                    .2
                                                                  D  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
GROWTH=A  PROFIT=B    NEW=C  CREATE=D  MECH=E ABST=F  MATH=G
The pattern is the same as for the other methods. Notice however, that this procedure factors S not R. This explains the totally different eigenvalues and so on.

Finally I ran proc glm regressing the sales figures on the psychological test scores.

 proc glm ;
   model growth profit new = create mech abst math;
   manova h=_all_ /printh printe;
run;
The output is:
                      General Linear Models Procedure
Dependent Variable: GROWTH
                                   Sum of          Mean
Source                  DF        Squares        Square  F Value    Pr > F
Model                    4     2520.49121     630.12280   241.32    0.0001
Error                   45      117.50399       2.61120
Corrected Total         49     2637.99520
                  R-Square           C.V.      Root MSE        GROWTH Mean
                  0.955457       1.634952       1.61592            98.8360
Source                  DF    Type III SS   Mean Square  F Value    Pr > F
CREATE                   1      61.431768     61.431768    23.53    0.0001
MECH                     1      25.570007     25.570007     9.79    0.0031
ABST                     1      92.585812     92.585812    35.46    0.0001
MATH                     1     548.009560    548.009560   209.87    0.0001


                                 T for H0:     Pr > |T|    Std Error of
Parameter          Estimate     Parameter=0                  Estimate

INTERCEPT       68.95355221           51.00      0.0001      1.35196005
CREATE           0.35938316            4.85      0.0001      0.07409369
MECH             0.30033781            3.13      0.0031      0.09597644
ABST             0.79574727            5.95      0.0001      0.13363585
MATH             0.44315482           14.49      0.0001      0.03059014

Dependent Variable: PROFIT
                                   Sum of          Mean
Source                  DF        Squares        Square  F Value    Pr > F
Model                    4     4852.96681    1213.24170   321.87    0.0001
Error                   45      169.61899       3.76931
Corrected Total         49     5022.58580
                  R-Square           C.V.      Root MSE        PROFIT Mean
                  0.966229       1.820892       1.94147            106.622
Source                  DF    Type III SS   Mean Square  F Value    Pr > F
CREATE                   1        6.79727       6.79727     1.80    0.1860
MECH                     1      213.27427     213.27427    56.58    0.0001
ABST                     1       48.81780      48.81780    12.95    0.0008
MATH                     1     1764.23024    1764.23024   468.05    0.0001
                                 T for H0:     Pr > |T|    Std Error of
Parameter          Estimate     Parameter=0                  Estimate
INTERCEPT       75.41979427           46.43      0.0001      1.62433197
CREATE           0.11954420            1.34      0.1860      0.08902094
MECH             0.86738881            7.52      0.0001      0.11531228
ABST            -0.57781927           -3.60      0.0008      0.16055873
MATH             0.79513166           21.63      0.0001      0.03675297

Dependent Variable: NEW
                                   Sum of          Mean
Source                  DF        Squares        Square  F Value    Pr > F
Model                    4     1013.57078     253.39270   153.11    0.0001
Error                   45       74.47422       1.65498
Corrected Total         49     1088.04500
                  R-Square           C.V.      Root MSE           NEW Mean
                  0.931552       1.251300       1.28646            102.810
Source                  DF    Type III SS   Mean Square  F Value    Pr > F
CREATE                   1     153.408261    153.408261    92.69    0.0001
MECH                     1       1.846673      1.846673     1.12    0.2965
ABST                     1      63.380815     63.380815    38.30    0.0001
MATH                     1     150.951693    150.951693    91.21    0.0001

                                 T for H0:     Pr > |T|    Std Error of
Parameter          Estimate     Parameter=0                  Estimate
INTERCEPT       83.70817574           77.77      0.0001      1.07631783
CREATE           0.56791793            9.63      0.0001      0.05898722
MECH            -0.08071229           -1.06      0.2965      0.07640844
ABST             0.65838791            6.19      0.0001      0.10638972
MATH             0.23258431            9.55      0.0001      0.02435332

                     Multivariate Analysis of Variance
                          E = Error SS&CP Matrix
                         GROWTH            PROFIT               NEW
       GROWTH      117.50398618      32.670138508       -52.8579666
       PROFIT      32.670138508      169.61898601       -5.37650348
       NEW          -52.8579666       -5.37650348      74.474217358

 Partial Correlation Coefficients from the Error SS&CP Matrix / Prob > |r|
                 DF = 45       GROWTH    PROFIT       NEW
                 GROWTH      1.000000  0.231413 -0.565043
                               0.0001    0.1218    0.0001
                 PROFIT      0.231413  1.000000 -0.047837
                               0.1218    0.0001    0.7522
                 NEW        -0.565043 -0.047837  1.000000
                               0.0001    0.7522    0.0001

                   H = Type III SS&CP Matrix for CREATE

                         GROWTH            PROFIT               NEW
       GROWTH      61.431768316      20.434489514      97.078013797
       PROFIT      20.434489514      6.7972707468      32.291755705
       NEW         97.078013797      32.291755705      153.40826125

         Characteristic Roots and Vectors of: E Inverse * H, where
       H = Type III SS&CP Matrix for CREATE   E = Error SS&CP Matrix
Characteristic   Percent        Characteristic Vector  V'EV=1
      Root
                          GROWTH         PROFIT       NEW
 5.55606041    100.00   0.09060203  -0.00667035  0.13437927
 0.00000000      0.00  -0.02427392   0.07898107 -0.00126443
 0.00000000      0.00   0.06725495   0.00372078 -0.04334269

             Manova Test Criteria and Exact F Statistics for
                the Hypothesis of no Overall CREATE Effect
       H = Type III SS&CP Matrix for CREATE   E = Error SS&CP Matrix
                          S=1    M=0.5    N=20.5
Statistic                    Value          F      Num DF    Den DF  Pr > F
Wilks' Lambda             0.15253063    79.6369         3        43  0.0001
Pillai's Trace            0.84746937    79.6369         3        43  0.0001
Hotelling-Lawley Trace    5.55606041    79.6369         3        43  0.0001
Roy's Greatest Root       5.55606041    79.6369         3        43  0.0001
                    H = Type III SS&CP Matrix for MECH
                         GROWTH            PROFIT               NEW
       GROWTH      25.570006621      73.847304527      -6.871641257
       PROFIT      73.847304527      213.27426569      -19.84560239
       NEW         -6.871641257      -19.84560239      1.8466734979

             Manova Test Criteria and Exact F Statistics for
                 the Hypothesis of no Overall MECH Effect
                          S=1    M=0.5    N=20.5
Statistic                    Value          F      Num DF    Den DF  Pr > F
Wilks' Lambda             0.43419910    18.6776         3        43  0.0001
Pillai's Trace            0.56580090    18.6776         3        43  0.0001
Hotelling-Lawley Trace    1.30309091    18.6776         3        43  0.0001
Roy's Greatest Root       1.30309091    18.6776         3        43  0.0001
                    H = Type III SS&CP Matrix for ABST
                         GROWTH            PROFIT               NEW
       GROWTH      92.585811859      -67.22972077         76.603944
       PROFIT      -67.22972077      48.817796856      -55.62474057
       NEW            76.603944      -55.62474057      63.380815252

             Manova Test Criteria and Exact F Statistics for
                 the Hypothesis of no Overall ABST Effect
                          S=1    M=0.5    N=20.5
Statistic                    Value          F      Num DF    Den DF  Pr > F
Wilks' Lambda             0.17661640    66.8218         3        43  0.0001
Pillai's Trace            0.82338360    66.8218         3        43  0.0001
Hotelling-Lawley Trace    4.66198821    66.8218         3        43  0.0001
Roy's Greatest Root       4.66198821    66.8218         3        43  0.0001

                    H = Type III SS&CP Matrix for MATH
                         GROWTH            PROFIT               NEW
       GROWTH      548.00955988      983.26753203      287.61601248
       PROFIT      983.26753203       1764.230244      516.05575425
       NEW         287.61601248      516.05575425      150.95169261

             Manova Test Criteria and Exact F Statistics for
                 the Hypothesis of no Overall MATH Effect
                          S=1    M=0.5    N=20.5
Statistic                    Value          F      Num DF    Den DF  Pr > F
Wilks' Lambda             0.04524661   302.4492         3        43  0.0001
Pillai's Trace            0.95475339   302.4492         3        43  0.0001
Hotelling-Lawley Trace   21.10110519   302.4492         3        43  0.0001
Roy's Greatest Root      21.10110519   302.4492         3        43  0.0001

All the variables are very significant predictors of the sales indices. The Type 3 Sums of Squares, which adjust for all other variables in the model are the relevant ones and show that from a multivariate point of view no variables can be deleted. However, in the univariate regression for PROFIT we can probability drop Creativity while for predicting NEW sales Mechanical reasoning appears unimportant. All 4 must be retained for prediction of sales growth.

So far as I can see this data set is relatively well understood from this regression output, though the correlation structure is of some interest too.



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Next: About this document

Richard Lockhart
Wed Mar 18 08:39:45 PST 1998