Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Please use R studio. The Data Set is Given Below: 0.0130338 -0.0078431 -0.0031889 -0.0447693 0.0052151 0.0084862 0.0166886 -0.00621 0.011956 0.013489 -0.0179153 -0.0086393 0.010036 0 -0.0061428

image text in transcribed

Please use R studio. The Data Set is Given Below: 0.0130338 -0.0078431 -0.0031889 -0.0447693 0.0052151 0.0084862 0.0166886 -0.00621 0.011956 0.013489 -0.0179153 -0.0086393 0.010036 0 -0.0061428 0.0215589 -0.0034858 0.0174353 -0.0285917 -0.0069534 0.0108225 0.0037167 -0.0101345 0.02919 0.0409751 0.0101713 -0.0121978 -0.0083768 0.0137083 0.0029895 0.0111288 0.0280044 0.0080721 0.0305433 0.003229 0.0484801 -0.005148 0.0182495 0.0063348 0.0076752 -0.0344914 -0.0137991 -0.0080468 -0.0299011 -0.0108108 -0.0046596 0.0209882 -0.0060841 -0.020394 -0.0126677 -0.0018205 -0.0055675 -0.0107587 -0.0089898 -0.0183648 0.0148515 0.0346684 -0.0060004 0.0362855 0.0287032 -0.0092426 -0.0052029 0.0047161 0.0264916 0.0129547 -0.0458668 -0.0278243 -0.0142696 0.0374776 0.0332022 -0.0244432 -0.0182914 0.0059048 -0.0259572 -0.0202333 -0.0183742 -0.0140289 0.0011361 0.0073284 -0.0097182 -0.0297788 -0.0284571 -0.0164555 0.0310847 0.0164377 -0.022508 -0.0228833 0.0344231 -0.0062006 0.0067584 0.0119617 -0.0067916 0.0185908 -0.0193632 -0.015344 0.0209811 0.0240509 0.0129586 0.0355419 0.0150962 0.0118669 0.0025328 -0.0036036 0.0021186 0.0028784 0.014016 0.0172255 0.0003617 0.0150106 0.0141115 -0.0149506 0.003161 -0.0001808 0.0310352 0.0226415 0.0203322 -0.0148548 -0.0182607 -0.0028283 -0.0161439 0.0112265 -0.0221613 -0.0051565 -0.0247164 0.0105485 -0.0327505 -0.0158879 -0.0037023 0.0143332 0.0164695 -0.0261119 -0.031339 0.0156076 0.0024575 0.0082154 0.0182675 0.0156863 -0.0219539 -0.0498468 -0.011091 0.0219907 0.0043436 0.0136551 0.0152655 0.0217441 -0.0331257 -0.0204229 -0.0101495 -0.0186362 -0.0255376 0.0213763 0.0188864 0.0210664 0.0228744 0.0013793 0.0484518 0.0440539 0.0087639 0.0160338 0.0073462 0.0276183 0.0168319 0.0104977 0.0004153 0.00433 0.0031932 0.0024943 0.0103887 0.0228311 0.0356251 -0.001061 0.0085953 -0.0023046 -0.0040584 0.0065732 -0.0037175 -0.0060552 0.0035537 0.0114099 0.0211145 0.0023987 -0.0597924 -0.0118626 -0.0251813 -0.0110851 0.0148897 0.0163187 0.0265185 0.0200455 0.0219875 -0.0089075 -0.0068477 0.0047129 0.012966 0.0196161 -0.0227333 -0.0140276 -0.0069493 0.0024 -0.0165494 -0.0329997 -0.031348 -0.0362141 0.0055866 -0.0065208 0.0302098 0.0522778 0.0317662 0.0267857 0.0105865 0.0195493 0.0395079 0.0381773 0.0216425 0.0238843 -0.0045273 0.0204825 0.0174547 0.0253452 0.0059341 -0.0446763 -0.0408118 -0.0163225 -0.0035049 -0.0008137 0.0070008 0.0060451 0.0154081 0.0320252 0.0252443 0.0100111 0.0048532 -0.0016675 -0.0050224 -0.0266084 -0.0112885 0.0057498 0.0100217 -0.0173067 -0.002448 0.0236703 0.01555 -0.0162064 0.0001835 -0.006953 0.0165941 0.0457104 0.0065557 0.0284299 0.0434514 -0.0040139 -0.0118432 -0.004175 0.0039237 -0.0136175 -0.0069855 0.0098061 0.0003354 -0.0261148 -0.0286114 -0.0154221 -0.023306 -0.0238055 0.0113097 0.0257467 -0.0252817 0.0088378 -0.0094453 0.0075758 -0.0124498 0.003947 0.0094174 0.0067614 0.0241676 0.0164701 0.0188149 0.0379692 0.0154985 0.05104 0.0784157 -0.0055127 -0.0075251 -0.0111921 -0.0044903 0.0198479 -0.0260532 -0.0168492 -0.0080604 0.0432676 0.0587486 0.0128059 -0.0059983 0.0013831 0.0148919 0.0649373 0.0146108 0.0025862 0.0100138 0.0362891 0.0048395 -0.0373858 -0.0126827 -0.011453 -0.0272533 -0.0396532 -0.0028769 -0.019595 -0.0070897 -0.0100172 0.0262454 -0.0300058 -0.0497446 -0.0167189 -0.050751 -0.0583157 -0.0193337 0.0021033 0.0178888 0.0154897 0.026293 0.0172884 0.0174907 0.002262 0.0195178 -0.0089331 -0.0163983 0.0077928 -0.0072917 -0.0358752 -0.0636054 0.0275841 0.0125085 -0.0078699 0.0196896 0.0573919 0.0176991 0.0233603 0.0216816 -0.0127639 -0.0401924 0.0034783 -0.0079017 0.0050035 0.0071275 0.0100215 -0.0323512 -0.0146018 -0.008412 -0.0482225 -0.0628987 0.0465672 0.0410867 0.0349723 0.015217 0.0056721 -0.0071306 -0.0107828 -0.0086986 0.0303185 0.0517014 -0.0071818 0.0058862 0.0091124 -0.0064473 0.0060779 -0.0031829 0.0017339 -0.0006689 0.0064892 0.0214996 0.0182874 -0.0038944 0.0046854 0.0619937 0.0431379 -0.0142531 -0.0106429 -0.0141572 0.0001557 -0.0450225 -0.004627 -0.0169045 0.0089542 0.0390661 0.0027938 -0.0072632 0.0075927 0 -0.0049431 0.0186314 0.0301434 -0.0019947 0.0261219 -0.030709 -0.0208547 -0.0071023 -0.0430824 -0.0177872 -0.0518714 0.0230447 -0.0128755 -0.0109074 -0.0066456 0.0167076 -0.012628 0.0028986 0.0030502 -0.0073591 0.0443048 -0.011234 -0.0265896 -0.0002339 -0.0033698 0.0615551 0.0561091 0.006829 0.0124006 0.0076078 -0.0419997 -0.0365773 -0.025951 -0.0240351 -0.0303691 -0.0209345 -0.0068717 0.013624 0.0182335 0.008652 0.056864 0.0387476 0.020908 0.0165116 0.0089209 -0.0230172 0.041632 0.0049737 0.01876 0.0023805 0.0123049 0.0078337 -0.0262009 -0.0044914 -0.0166243 -0.0096353 0.0020622 -0.0041854 0.0060907 -0.0067276 0.013471 -0.0045908 0.0090063 -0.0022422 0 -0.0429774 -0.0620229 0.0053555 -0.0083146 0.0069469 -0.0188272 -0.0161072 0.0307783 -0.0160888 0.0031045 -0.0539478 -0.0556609 0.0373241 0.0359281 0.0252751 0.0581879 0.0169708 0.0238029 0.0031125 -0.0068757 0.0122545 0.0281715 0.0256826 0.0525266 0.0406957 -0.0316623 -0.0188482 -0.0060622 0.0086334 0.0058413 0.0445584 0.0305941 0.0217449 0.0229645 0.0291983 0.0084395 0.0319296 0.003374 -0.0153061 -0.0238245 -0.0016738 -0.017227 0.0033626 0.0029016 -0.0030507 -0.0012193 -0.0097005 0.0170147 0.0095061 0.0181994 -0.0161758 -0.0075614 0.0103929 -0.0026612 0.004429 -0.0024818 -0.0164502 -0.0127948 -0.0143678 -0.0187402 -0.0049759 -0.0163732
= 2. Conduct a factor analysis on the stock-price data. The data set consists of n = 103 weekly rates of return on p= 5 stocks (JPM, Citi, WellsF, Shell, Exxon). (a) (5 marks) Obtain the factor loading with m = 1 (only one common factor) before and after rotation. Compare the results given by the principal component solution and maximum likelihood solution. (b) (2 marks) Repeat part (a) with two common factors, m= 2. (c) (3 marks) Determine the most proper number of common factors. Report the rotated loading of the factors, communalities, specific variances, and the proportion of variance explained by each factor. (d) (2 marks) Is the result reasonable? = 2. Conduct a factor analysis on the stock-price data. The data set consists of n = 103 weekly rates of return on p= 5 stocks (JPM, Citi, WellsF, Shell, Exxon). (a) (5 marks) Obtain the factor loading with m = 1 (only one common factor) before and after rotation. Compare the results given by the principal component solution and maximum likelihood solution. (b) (2 marks) Repeat part (a) with two common factors, m= 2. (c) (3 marks) Determine the most proper number of common factors. Report the rotated loading of the factors, communalities, specific variances, and the proportion of variance explained by each factor. (d) (2 marks) Is the result reasonable

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access with AI-Powered Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Discovering Advanced Algebra An Investigative Approach

Authors: Jerald Murdock, Ellen Kamischke, Eric Kamischke

1st edition

1559539844, 978-1604400069, 1604400064, 978-1559539845

Students also viewed these Accounting questions

Question

What must a person do to apply?

Answered: 1 week ago