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Factor Analyses and Time-Lagged Regressions

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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  1. ECON 201FS Factor Analyses and Time-Lagged Regressions Zed Lamba 3/26/08

  2. 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

  3. ECON 201FS Realized Variance • Daily Realized Variance, where • rt,j = log return • M = # returns/day

  4. ECON 201FS Realized Variance Summary Statistics (Mean, Corr with MSFT)

  5. ECON 201FS Factor Analysis I Only Factor 1 should be considered

  6. ECON 201FS Factor Analysis II Most variables well explained, except XRX

  7. ECON 201FS Time-Lagged Regressions I

  8. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  9. ECON 201FS Time-Lagged Regressions IIb INTC, ORCL, and TXN lagged 1; ORCL lagged 22

  10. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1, but coefficient reduced => OVB

  11. ECON 201FS Time-Lagged Regressions IIIb INTC and MSFT lagged 1; MSFT lagged 5; more OVB

  12. ECON 201FS Bipower Variation

  13. ECON 201FS BV Summary Statistics (Mean, Corr with MSFT)

  14. ECON 201FS Factor Analysis I Only Factor 1 should be considered

  15. ECON 201FS Factor Analysis II Most variables well explained, except XRX

  16. ECON 201FS Time-Lagged Regressions I

  17. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  18. ECON 201FS Time-Lagged Regressions IIb INTC and ORCL lagged 1; HPQ lagged 5; ORCL lagged 22

  19. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1, but coefficient reduced => OVB

  20. ECON 201FS Time-Lagged Regressions IIIb INTC and MSFT lagged 1; MSFT lagged 5; more OVB

  21. ECON 201FS Tri-Power Max Test Statistics • Tri-Power Quarticity: • Estimator of: • Useful Constants: • Test Statistic:

  22. ECON 201FS Summary Statistics (Mean, Corr with MSFT)

  23. ECON 201FS Factor Analysis I Factors 1, 2, and 3 can be considered…

  24. ECON 201FS Factor Analysis II …or not – no variable is well-explained (or even close to it)

  25. ECON 201FS Time-Lagged Regressions I

  26. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  27. ECON 201FS Time-Lagged Regressions IIb HPQ and TXN lagged 5

  28. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1 (coefficient virtually the same!)

  29. ECON 201FS Time-Lagged Regressions IIIb HPQ and TXN lagged 5 (coefficients again virtually the same!)

  30. ECON 201FS Quad-Power Max Test Statistics • Quad-Power Quarticity: • Estimator of: • Useful Constants: • Test Statistic:

  31. ECON 201FS Summary Statistics (Mean, Corr with MSFT)

  32. ECON 201FS Factor Analysis I Factors 1, 2, and 3 can be considered…

  33. ECON 201FS Factor Analysis II …or not – no variable is well-explained (or even close to it)

  34. ECON 201FS Time-Lagged Regressions I

  35. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  36. ECON 201FS Time-Lagged Regressions IIb HPQ and TXN lagged 5

  37. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1 (coefficient virtually the same!)

  38. ECON 201FS Time-Lagged Regressions IIIb HPQ lagged 5; MSFT lagged 22 (coefficients virtually the same!)

  39. 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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