Principal Component Analysis

[Davisonm1]

I want to perform a PCA on my data. I have one dependent variable and 31 independent variables. How do I select the variables after knowing the number of the Principal Components

[PaigeMiller]

There is no such thing as a dependent variable in principal components analysis. So please explain further what you are trying to do here.

[Davisonm1]

I have 32 variables (1 dependent and 31 independent variables) and want to
perform data reduction (using PCA if this is the correct technique) to
remain with a few variables to use in explaining the variation in dependent
variable. I want to perform multiple linear regression and multiple
nonlinear regression analysis and determine which of the two will best
explain the changes in the dependent variable

[PaigeMiller]

Definitely, this is a situation where you should use PLS and not PCA.

In PLS, you can determine the important variables in a number of ways, usually by looking at the loadings.

[Ksharp]

Check PROC PLS , especially its example in documentation.

[PaigeMiller]

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@Ksharp wrote:

Check PROC PLS , especially its example in documentation.

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Good point. If you want to do something like Principal Components on the X-variables to predict a Y-variable(s), then PLS is the way to go.