[Gretl-devel] Re: PCA with missing values

For some work I'm doing, I need to apply PCA to data containing missing values. So I dug up some old code that I had around, which implements Stock and Watson's EM algorithm (detailed in the 2002 JBES article). I'm attaching a script with the function and an example if anyone's interested. Of course, it'd be nice to make this procedure more readily available to gretl users. I see four (not mutually exclusive) ways of doing so: 1) modify our existing "pca" command to handle missing values; 2) modify our existing "princomp" function to handle missing values; 3) create a small self-contained function package; 4) integrate the code into the existing "staticfactor" function package. Which one do you this is best?