I am a undergraduate student working on a econometrics research. The problem is here. I have gotta panel data of several indicators from more than 3000 public companies during an interval from 2004 to 2018. I would like to consolidate these indicators to one, in another word, I would like to calculate a score for each company in each year based on these indicators(Suppose that I have selected the right indicators.) and then use this score as explained variables in my next step of regression.The first thing come into my mind is the pca method. But usually it is not appropriate for panel data. Some information I got from others says that it also incurs some problem if I choose to use pca one time a year.(doing the regression for 15 times and calculate a score measure each year and combine them). Also I heard about gpca may be applicable for panel dataset, but no clue how to practice with Stata.
Very appreciated if there is any advice!