I have a quick question about factor analysis from different scales. Is it advisable to use, conjunctly, items from various measures? For example, say that I want to evaluate factors that most influence the mental health of a certain subpopulation. I use a combination of items from four scales that measure different mental health domains, each of which having excellent construct validity and reliability estimates. I assume no a priori factor structure so I conduct a factor analysis to determine (a) which items cling together and (b) an interpretation per each clump.
I'm severely conflicted on this. One the one hand, these scales have been shown to do a good job of measuring their domain and thus it would make intuitive sense to include them in the analyses. But on the other, wouldn't we expect them to cling together?
If this technique isn't advisable, how do we actually begin gathering items for exploratory factor analysis? Do we just take a wild guess?