BA | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.975).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.228).

## Warning: Heteroscedasticity (non-constant error variance) detected (p = 0.045).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(BA) ~ L(BA, 1) + L(ps, 1) + L(sc, 1) + PFBA + L(m1, 1) + PF +     x_ff + L(BA_R, 1) + L(TCI_R, 1) + cpium + d(ps) + d(L(ps,     1)) + d(sc) + d(L(sc, 1)) + d(m1) + d(BA_R) + d(TCI_R)
## F = 3.656, p-value = 0.01073
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    9 1000

## # Check for Multicollinearity
## 
## Moderate Correlation
## 
##   Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  cpium 9.45 [  6.99,  12.93]         3.07      0.11     [0.08, 0.14]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(BA, 1)  11.21 [  8.26,  15.36]         3.35      0.09     [0.07, 0.12]
##           ps 373.77 [270.16, 517.26]        19.33  2.68e-03     [0.00, 0.00]
##     L(ps, 1) 503.43 [363.82, 696.75]        22.44  1.99e-03     [0.00, 0.00]
##     L(ps, 2) 194.23 [140.47, 268.73]        13.94  5.15e-03     [0.00, 0.01]
##           sc  25.80 [ 18.80,  35.56]         5.08      0.04     [0.03, 0.05]
##     L(sc, 1)  25.64 [ 18.68,  35.33]         5.06      0.04     [0.03, 0.05]
##     L(sc, 2)  16.47 [ 12.06,  22.64]         4.06      0.06     [0.04, 0.08]
##         PFBA  28.80 [ 20.96,  39.71]         5.37      0.03     [0.03, 0.05]
##           m1 222.85 [161.14, 308.35]        14.93  4.49e-03     [0.00, 0.01]
##     L(m1, 1) 236.35 [170.89, 327.03]        15.37  4.23e-03     [0.00, 0.01]
##           PF 128.98 [ 93.33, 178.40]        11.36  7.75e-03     [0.01, 0.01]
##         x_ff  17.27 [ 12.63,  23.75]         4.16      0.06     [0.04, 0.08]
##         BA_R  31.66 [ 23.03,  43.67]         5.63      0.03     [0.02, 0.04]
##   L(BA_R, 1)  29.14 [ 21.21,  40.18]         5.40      0.03     [0.02, 0.05]
##        TCI_R  32.51 [ 23.64,  44.84]         5.70      0.03     [0.02, 0.04]
##  L(TCI_R, 1)  29.71 [ 21.62,  40.97]         5.45      0.03     [0.02, 0.05]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.42851, p-value = 0.9929

## [1] 0.04539043

## [1] 0.02566937

## [1] 0.06928191