S&P 500 Healthcare: Model specifications & Forecasts
Last
updated: 29-07-2024
Time:
11:30:49
## OK: residuals appear as normally distributed (p = 0.382).## OK: Residuals appear to be independent and not autocorrelated (p = 0.770).## OK: Error variance appears to be homoscedastic (p = 0.804).##
## Bounds F-test (Wald) for no cointegration
##
## data: d(HC) ~ L(HC, 1) + psR + sc + TCI_R2 + m1 + indpro + x_ff + L(x10_3, 1) + L(PFHC, 1) + cpium + d(x10_3) + d(PFHC)
## F = 5.1057, p-value = 0.0005847
## alternative hypothesis: Possible cointegration
## null values:
## k T
## 9 1000## # Check for Multicollinearity
##
## Low Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## TCI_R2 2.99 [ 2.29, 4.08] 1.73 0.33 [0.25, 0.44]
##
## Moderate Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## indpro 8.81 [ 6.39, 12.30] 2.97 0.11 [0.08, 0.16]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(HC, 1) 43.86 [ 31.14, 61.94] 6.62 0.02 [0.02, 0.03]
## psR 92.67 [ 65.61, 131.06] 9.63 0.01 [0.01, 0.02]
## sc 10.52 [ 7.60, 14.73] 3.24 0.10 [0.07, 0.13]
## m1 60.23 [ 42.70, 85.12] 7.76 0.02 [0.01, 0.02]
## x_ff 35.83 [ 25.48, 50.57] 5.99 0.03 [0.02, 0.04]
## x10_3 25.96 [ 18.50, 36.59] 5.10 0.04 [0.03, 0.05]
## L(x10_3, 1) 25.74 [ 18.35, 36.28] 5.07 0.04 [0.03, 0.05]
## PFHC 394.38 [278.67, 558.30] 19.86 2.54e-03 [0.00, 0.00]
## L(PFHC, 1) 400.70 [283.13, 567.25] 20.02 2.50e-03 [0.00, 0.00]
## cpium 10.93 [ 7.89, 15.30] 3.31 0.09 [0.07, 0.13]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.43124, p-value = 0.9924
## [1] NA## [1] NALast Value
(Monthly):
30-06-2024: 1707.38
Forecasts
(value):
31-07-2024: 1661.64
09-08-2024: 1666.18
Forecasts(in
%):
31-07-2024: -2.68%
09-08-2024: -2.41%