AXON | SP500 : Model specifications
## OK: residuals appear as normally distributed (p = 0.538).
## OK: Residuals appear to be independent and not autocorrelated (p = 0.326).
## OK: Error variance appears to be homoscedastic (p = 0.954).
##
## Bounds F-test (Wald) for no cointegration
##
## data: d(AXON) ~ L(AXON, 1) + L(ps, 1) + L(sc, 1) + L(indpro, 1) + m1 + L(PF, 1) + L(x_ff, 1) + L(AXON_R, 1) + L(TCI_R, 1) + cpium + d(L(AXON, 1)) + d(L(AXON, 2)) + d(ps) + d(sc) + d(L(sc, 1)) + d(indpro) + d(PF) + d(L(PF, 1)) + d(x_ff) + d(L(x_ff, 1)) + d(L(x_ff, 2)) + d(L(x_ff, 3)) + d(AXON_R) + d(TCI_R) + d(L(TCI_R, 1)) + d(L(TCI_R, 2))
## F = 7.106, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
## k T
## 9 1000
## # Check for Multicollinearity
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(AXON, 1) 33.32 [ 25.37, 43.87] 5.77 0.03 [0.02, 0.04]
## L(AXON, 2) 41.17 [ 31.31, 54.23] 6.42 0.02 [0.02, 0.03]
## L(AXON, 3) 28.02 [ 21.35, 36.87] 5.29 0.04 [0.03, 0.05]
## ps 575.82 [436.13, 760.36] 24.00 1.74e-03 [0.00, 0.00]
## L(ps, 1) 376.93 [285.54, 497.67] 19.41 2.65e-03 [0.00, 0.00]
## sc 21.31 [ 16.27, 28.00] 4.62 0.05 [0.04, 0.06]
## L(sc, 1) 29.63 [ 22.57, 38.99] 5.44 0.03 [0.03, 0.04]
## L(sc, 2) 30.00 [ 22.85, 39.48] 5.48 0.03 [0.03, 0.04]
## indpro 36.79 [ 27.99, 48.45] 6.07 0.03 [0.02, 0.04]
## L(indpro, 1) 41.81 [ 31.79, 55.08] 6.47 0.02 [0.02, 0.03]
## m1 92.64 [ 70.28, 122.22] 9.63 0.01 [0.01, 0.01]
## PF 603.55 [457.13, 796.98] 24.57 1.66e-03 [0.00, 0.00]
## L(PF, 1) 891.91 [675.46, 1177.81] 29.86 1.12e-03 [0.00, 0.00]
## L(PF, 2) 333.37 [252.56, 440.15] 18.26 3.00e-03 [0.00, 0.00]
## x_ff 174.68 [132.40, 230.56] 13.22 5.72e-03 [0.00, 0.01]
## L(x_ff, 1) 343.22 [260.01, 453.15] 18.53 2.91e-03 [0.00, 0.00]
## L(x_ff, 2) 346.76 [262.69, 457.83] 18.62 2.88e-03 [0.00, 0.00]
## L(x_ff, 3) 240.62 [182.33, 317.65] 15.51 4.16e-03 [0.00, 0.01]
## L(x_ff, 4) 132.17 [100.21, 174.41] 11.50 7.57e-03 [0.01, 0.01]
## AXON_R 25.75 [ 19.64, 33.87] 5.07 0.04 [0.03, 0.05]
## L(AXON_R, 1) 19.91 [ 15.22, 26.16] 4.46 0.05 [0.04, 0.07]
## TCI_R 34.00 [ 25.88, 44.76] 5.83 0.03 [0.02, 0.04]
## L(TCI_R, 1) 42.45 [ 32.28, 55.92] 6.52 0.02 [0.02, 0.03]
## L(TCI_R, 2) 33.24 [ 25.31, 43.77] 5.77 0.03 [0.02, 0.04]
## L(TCI_R, 3) 14.76 [ 11.31, 19.35] 3.84 0.07 [0.05, 0.09]
## cpium 13.20 [ 10.13, 17.29] 3.63 0.08 [0.06, 0.10]
##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.32773, p-value = 0.9999
## [1] 0.1260795
## [1] 0.02349514
## [1] 0.06394981