Search found 6 matches

by Meritas
Thu Feb 11, 2010 4:06 am
Forum: Econometric Discussions
Topic: principal components to original units
Replies: 15
Views: 6867

Re: principal components to original units

Thanks!

And what about correlation - matrix derived PC scores ? How to transform them to original units ?
by Meritas
Wed Feb 10, 2010 1:38 am
Forum: Econometric Discussions
Topic: principal components to original units
Replies: 15
Views: 6867

principal components to original units

Hi, I have derived the principal component score series (corelation matrix, other options default). I realize the series are standardized. How should one transform the principal components into the units of original data? Would the PCs from covariance matrix be in original data units? Thank you in a...
by Meritas
Thu Feb 04, 2010 2:36 am
Forum: Programming
Topic: rolling GARCH
Replies: 1
Views: 1847

rolling GARCH

Hi all, I am looking for a code, taking raw data as input and producing rolling GARCH parameters and forecasts at the chosen window and horizon as vectors. I have seen some attempts in this forum, but nothing finalized. I am not a programmer yet, but I need the GARCH application for my academic work...
by Meritas
Thu Oct 29, 2009 1:56 pm
Forum: Econometric Discussions
Topic: mean reversion speed
Replies: 6
Views: 9057

Re: mean reversion speed

thank you, trubador!

in order to use the half-life formula, is it necessary to run the AR(1) regression with logs of the variable?
by Meritas
Mon Oct 19, 2009 2:19 am
Forum: Econometric Discussions
Topic: mean reversion speed
Replies: 6
Views: 9057

mean reversion speed

Hi, Given the autoregressive model, Xt = a + b*Xt-1 + e the mean reverting level (unconditional mean) is calculated as a / (1-b). What about the spead of mean reversion? i.e, if data daily, how to calculate the nb of days it takes for the series to mean revert to the unconditional mean? Thanks a lot!
by Meritas
Mon Oct 05, 2009 10:36 am
Forum: Econometric Discussions
Topic: PCA measurement units
Replies: 1
Views: 3394

PCA measurement units

Hi, I am doing principal component analysis of variables that are all measured in the same units. Just to make sure I am making the right inferences, could anyone please confirm or correct me? If i use the covariance matrix for deriving PCA, I get principal component scores in original units, right?...

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