Timeline for In principal components regression, should I weight the regression the same as the PCA? Or at all?
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
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| Jun 24, 2012 at 18:29 | vote | accept | Thomas Browne | ||
| Jun 11, 2012 at 12:21 | comment | added | Thomas Browne | You are following me perfectly. Thank you for your view on weighting the regression identically. It is the approach that I am taking for the same reason that you suggest. Yes currencies are a zero sum game when look at the cross rates, that is, USDZAR or EURPLN or whatever (the entire matrix). But, I have used PCA to create currency indices so that we isolate the movement due entirely to the currency itself. I then take the first principal component of the 28 indices as the market beta, and I observe that we DO have some currencies which are low or high beta. Empirically this my experience. | |
| Jun 7, 2012 at 21:13 | history | answered | Akavall | CC BY-SA 3.0 |