Factor analyses and time lagged regressions
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ECON 201FS. Factor Analyses and Time-Lagged Regressions. Zed Lamba 3/26/08. ECON 201FS. Tech Stocks in S&P 100 (besides MSFT). AAPL – Apple, ignored due to lack of trustworthy data CSCO – Cisco Systems DELL – Dell EMC – EMC Corporation (data storage, competes with IBM, HP, etc.)

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Factor Analyses and Time-Lagged Regressions

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ECON 201FS

Factor Analyses and Time-Lagged Regressions

Zed Lamba

3/26/08


ECON 201FS

Tech Stocks in S&P 100 (besides MSFT)

  • AAPL – Apple, ignored due to lack of trustworthy data

  • CSCO – Cisco Systems

  • DELL – Dell

  • EMC – EMC Corporation (data storage, competes with IBM, HP, etc.)

  • GOOG – ignored for now due to limited data

  • HPQ – HP

  • IBM – IBM

  • INTC – Intel

  • ORCL – Oracle

  • TXN – Texas Instruments

  • XRX – Xerox


ECON 201FS

Realized Variance

  • Daily Realized Variance, where

    • rt,j = log return

    • M = # returns/day


ECON 201FS

Realized Variance Summary Statistics (Mean, Corr with MSFT)


ECON 201FS

Factor Analysis I

Only Factor 1 should be considered


ECON 201FS

Factor Analysis II

Most variables well explained, except XRX


ECON 201FS

Time-Lagged Regressions I


ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


ECON 201FS

Time-Lagged Regressions IIb

INTC, ORCL, and TXN lagged 1; ORCL lagged 22


ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1, but coefficient reduced => OVB


ECON 201FS

Time-Lagged Regressions IIIb

INTC and MSFT lagged 1; MSFT lagged 5; more OVB


ECON 201FS

Bipower Variation


ECON 201FS

BV Summary Statistics (Mean, Corr with MSFT)


ECON 201FS

Factor Analysis I

Only Factor 1 should be considered


ECON 201FS

Factor Analysis II

Most variables well explained, except XRX


ECON 201FS

Time-Lagged Regressions I


ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


ECON 201FS

Time-Lagged Regressions IIb

INTC and ORCL lagged 1; HPQ lagged 5; ORCL lagged 22


ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1, but coefficient reduced => OVB


ECON 201FS

Time-Lagged Regressions IIIb

INTC and MSFT lagged 1; MSFT lagged 5; more OVB


ECON 201FS

Tri-Power Max Test Statistics

  • Tri-Power Quarticity:

  • Estimator of:

  • Useful Constants:

  • Test Statistic:


ECON 201FS

Summary Statistics (Mean, Corr with MSFT)


ECON 201FS

Factor Analysis I

Factors 1, 2, and 3 can be considered…


ECON 201FS

Factor Analysis II

…or not – no variable is well-explained (or even close to it)


ECON 201FS

Time-Lagged Regressions I


ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


ECON 201FS

Time-Lagged Regressions IIb

HPQ and TXN lagged 5


ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1 (coefficient virtually the same!)


ECON 201FS

Time-Lagged Regressions IIIb

HPQ and TXN lagged 5 (coefficients again virtually the same!)


ECON 201FS

Quad-Power Max Test Statistics

  • Quad-Power Quarticity:

  • Estimator of:

  • Useful Constants:

  • Test Statistic:


ECON 201FS

Summary Statistics (Mean, Corr with MSFT)


ECON 201FS

Factor Analysis I

Factors 1, 2, and 3 can be considered…


ECON 201FS

Factor Analysis II

…or not – no variable is well-explained (or even close to it)


ECON 201FS

Time-Lagged Regressions I


ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


ECON 201FS

Time-Lagged Regressions IIb

HPQ and TXN lagged 5


ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1 (coefficient virtually the same!)


ECON 201FS

Time-Lagged Regressions IIIb

HPQ lagged 5; MSFT lagged 22 (coefficients virtually the same!)


ECON 201FS

Extensions

  • Also do time-lagged regressions with HAR-RV type models

  • Now incorporate GOOG and see whether it matches trends established so far

  • Have concrete estimates for suspected OVB


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