I would like to perform a principal component regression (PCR), but feel a little confused about the rotation type to be used in the principal component analysis (PCA) step. First I perform a PCA to extract components, but I observe cross loadings after the extraction. Therefore, I perform a rotation (orthagonal or oblique) to overcome the cross-loadings issue and make components more interpretable. The thing is, PCR is performed to overcome multicollinearity. As far as I have learned, with an orthogonal rotation technique, I assure that the regressors in PCR (at this time the selected components) will not be correlated, which is something good to avoid multicollinearity. However, oblique rotation techniques allow components to be correlated each other. In this case is it wrong to perform PCR with an oblique rotation technique? In other words, can PCR be performed only with unrotated or orthogonally rotated components?
Thanks in advance.
Onur