We positionally cross-identified FIRST (the Faint Images of the Radio Sky at Twenty centimeters) catalogue with 2MASS (the Two Micron All Sky Survey) pointed-source database and collected the data from radio band and near infrared band. Then the data were cross-matched with the Véron-Cetty & Véron 2006 catalog and the Tycho-2 catalog, respectively. Therefore the known samples of quasars and stars are obtained. We applied principal component analysis (PCA) on the known sample. The overall sample may be projected in the principal component space. From the space, we can easily locate the area that radio stars occupy, and select out radio star candidates. With the follow-up observation of these candidates, the properties of radio stars may be studied.