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

2. 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

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

4. Realized Variance Summary Statistics (Mean, Corr with MSFT)
ECON 201FS
Realized Variance Summary Statistics (Mean, Corr with MSFT)
MSFT ,
CSCO ,
DELL ,
IBM ,
HPQ ,
EMC ,
INTC ,
ORCL ,
TXN ,
XRX ,

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

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

7. Time-Lagged Regressions I
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Time-Lagged Regressions I

8. Time-Lagged Regressions IIa
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Time-Lagged Regressions IIa
DELL lagged 1

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

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

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

12. ECON 201FS
Bipower Variation

13. BV Summary Statistics (Mean, Corr with MSFT)
ECON 201FS
BV Summary Statistics (Mean, Corr with MSFT)
MSFT
, 1.000
CSCO ,
DELL ,
IBM ,
HPQ ,
EMC ,
INTC ,
ORCL ,
TXN ,
XRX ,

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

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

16. Time-Lagged Regressions I
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Time-Lagged Regressions I

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

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

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

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

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

22. Summary Statistics (Mean, Corr with MSFT)
ECON 201FS
Summary Statistics (Mean, Corr with MSFT)
MSFT
0.6232, 1.000
CSCO
0.6250,
DELL
0.6942,
IBM
0.5492,
HPQ
0.7931,
EMC
0.6957,
INTC
0.5670,
ORCL
0.8586,
TXN
0.6435,
XRX
1.1594,

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

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

25. Time-Lagged Regressions I
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Time-Lagged Regressions I

26. Time-Lagged Regressions IIa
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Time-Lagged Regressions IIa
DELL lagged 1

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

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

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

30. Quad-Power Max Test Statistics
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Quad-Power Max Test Statistics
Quad-Power Quarticity:
Estimator of:
Useful Constants:
Test Statistic:

31. Summary Statistics (Mean, Corr with MSFT)
ECON 201FS
Summary Statistics (Mean, Corr with MSFT)
MSFT
0.6492, 1.000
CSCO
0.6507,
DELL
0.7282,
IBM
0.5741,
HPQ
0.8383,
EMC
0.7451,
INTC
0.5879,
ORCL
0.9080,
TXN
0.6776,
XRX
1.2466,

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

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

34. Time-Lagged Regressions I
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Time-Lagged Regressions I

35. Time-Lagged Regressions IIa
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Time-Lagged Regressions IIa
DELL lagged 1

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

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

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

39. Extensions Also do time-lagged regressions with HAR-RV type models
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