S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:48:26

1. Model Specification

Period:55

Specification:
SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)

## OK: residuals appear as normally distributed (p = 0.226).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.216).

## OK: Error variance appears to be homoscedastic (p = 0.921).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + TCI_R + m1 + L(indpro, 1) + x_ff +     x10_3 + PF + cpium + d(indpro)
## F = 9.1649, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    8 1000

## # Check for Multicollinearity
## 
## Low Correlation
## 
##   Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  TCI_R 3.07 [ 2.29,   4.32]         1.75      0.33     [0.23, 0.44]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 8.50 [ 5.99,  12.27]         2.92      0.12     [0.08, 0.17]
##  L(indpro, 1) 5.20 [ 3.74,   7.45]         2.28      0.19     [0.13, 0.27]
##         cpium 9.81 [ 6.89,  14.19]         3.13      0.10     [0.07, 0.15]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 48.25 [33.13,  70.49]         6.95      0.02     [0.01, 0.03]
##           sc 13.14 [ 9.16,  19.07]         3.63      0.08     [0.05, 0.11]
##           m1 40.16 [27.61,  58.64]         6.34      0.02     [0.02, 0.04]
##         x_ff 23.44 [16.19,  34.15]         4.84      0.04     [0.03, 0.06]
##        x10_3 12.78 [ 8.91,  18.53]         3.57      0.08     [0.05, 0.11]
##           PF 73.30 [50.23, 107.18]         8.56      0.01     [0.01, 0.02]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.53581, p-value = 0.9364

2. Forecasts

## [1] 0.001085537

## [1] 0.001004248

## [1] -0.105701