factor analyses and time lagged regressions
Download
Skip this Video
Download Presentation
Factor Analyses and Time-Lagged Regressions

Loading in 2 Seconds...

play fullscreen
1 / 39

Factor Analyses and Time-Lagged Regressions - PowerPoint PPT Presentation


  • 61 Views
  • Uploaded on

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.)

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about ' Factor Analyses and Time-Lagged Regressions' - tocho


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
tech stocks in s p 100 besides msft

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
realized variance

ECON 201FS

Realized Variance
  • Daily Realized Variance, where
    • rt,j = log return
    • M = # returns/day
factor analysis i

ECON 201FS

Factor Analysis I

Only Factor 1 should be considered

factor analysis ii

ECON 201FS

Factor Analysis II

Most variables well explained, except XRX

time lagged regressions iib

ECON 201FS

Time-Lagged Regressions IIb

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

time lagged regressions iiia

ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1, but coefficient reduced => OVB

time lagged regressions iiib

ECON 201FS

Time-Lagged Regressions IIIb

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

factor analysis i1

ECON 201FS

Factor Analysis I

Only Factor 1 should be considered

factor analysis ii1

ECON 201FS

Factor Analysis II

Most variables well explained, except XRX

time lagged regressions iib1

ECON 201FS

Time-Lagged Regressions IIb

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

time lagged regressions iiia1

ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1, but coefficient reduced => OVB

time lagged regressions iiib1

ECON 201FS

Time-Lagged Regressions IIIb

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

tri power max test statistics

ECON 201FS

Tri-Power Max Test Statistics
  • Tri-Power Quarticity:
  • Estimator of:
  • Useful Constants:
  • Test Statistic:
factor analysis i2

ECON 201FS

Factor Analysis I

Factors 1, 2, and 3 can be considered…

factor analysis ii2

ECON 201FS

Factor Analysis II

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

time lagged regressions iiia2

ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1 (coefficient virtually the same!)

time lagged regressions iiib2

ECON 201FS

Time-Lagged Regressions IIIb

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

quad power max test statistics

ECON 201FS

Quad-Power Max Test Statistics
  • Quad-Power Quarticity:
  • Estimator of:
  • Useful Constants:
  • Test Statistic:
factor analysis i3

ECON 201FS

Factor Analysis I

Factors 1, 2, and 3 can be considered…

factor analysis ii3

ECON 201FS

Factor Analysis II

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

time lagged regressions iiia3

ECON 201FS

Time-Lagged Regressions IIIa

DELL lagged 1 (coefficient virtually the same!)

time lagged regressions iiib3

ECON 201FS

Time-Lagged Regressions IIIb

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

extensions

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
ad