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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Factor analyses and time lagged regressions

ECON 201FS

Factor Analyses and Time-Lagged Regressions

Zed Lamba

3/26/08


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


Realized variance summary statistics mean corr with msft

ECON 201FS

Realized Variance Summary Statistics (Mean, Corr with MSFT)


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 i

ECON 201FS

Time-Lagged Regressions I


Time lagged regressions iia

ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


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


Bipower variation

ECON 201FS

Bipower Variation


Bv summary statistics mean corr with msft

ECON 201FS

BV Summary Statistics (Mean, Corr with MSFT)


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 i1

ECON 201FS

Time-Lagged Regressions I


Time lagged regressions iia1

ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


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:


Summary statistics mean corr with msft

ECON 201FS

Summary Statistics (Mean, Corr with MSFT)


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 i2

ECON 201FS

Time-Lagged Regressions I


Time lagged regressions iia2

ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


Time lagged regressions iib2

ECON 201FS

Time-Lagged Regressions IIb

HPQ and TXN lagged 5


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:


Summary statistics mean corr with msft1

ECON 201FS

Summary Statistics (Mean, Corr with MSFT)


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 i3

ECON 201FS

Time-Lagged Regressions I


Time lagged regressions iia3

ECON 201FS

Time-Lagged Regressions IIa

DELL lagged 1


Time lagged regressions iib3

ECON 201FS

Time-Lagged Regressions IIb

HPQ and TXN lagged 5


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


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