### Principal Component Analysis in Excel ~ PART I

We decided to write a series of posts on a very useful statistical technique called Principal Component Analysis (PCA). In the current post we give a brief explanation of the technique and its implementation in excel. In practice it is less important to know the computations behind PCA than it is to understand the intuition … More Principal Component Analysis in Excel ~ PART I

### Granger Causality in Excel

Granger causality is a simple formulation to test if preceding values of a variable X help explain some of the variance observed in variable Y. To test for this we first need to regress Y on past value of itself to capture any autoregressive features. Typical set up of the test sets up below equation: … More Granger Causality in Excel

### Hodrick Prescott Filter in Excel

Hodrick Prescott (HP) filter is a method to decompose a time series into two components, a long-term trend and a residual. The residual is interpreted as a cyclical component. The formula is as follows: where y is the time series we are considering and g is the growth rate, while c is the cyclical part … More Hodrick Prescott Filter in Excel