CHRW | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.821).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.636).

## OK: Error variance appears to be homoscedastic (p = 0.134).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(CHRW) ~ L(CHRW, 1) + ps + L(sc, 1) + L(PFCHRW, 1) + m1 + PF +     L(x_ff, 1) + L(x10_3, 1) + TCI_R + cpium + d(sc) + d(PFCHRW) +     d(x_ff) + d(x10_3)
## F = 3.5172, p-value = 0.01629
## 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_R 3.11 [  2.42,   4.12]         1.76      0.32     [0.24, 0.41]
## 
## Moderate Correlation
## 
##        Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(CHRW, 1) 5.45 [  4.13,   7.34]         2.34      0.18     [0.14, 0.24]
## 
## High Correlation
## 
##          Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##            ps 114.52 [ 83.57, 157.08]        10.70  8.73e-03     [0.01, 0.01]
##            sc  14.19 [ 10.49,  19.32]         3.77      0.07     [0.05, 0.10]
##      L(sc, 1)  16.59 [ 12.24,  22.62]         4.07      0.06     [0.04, 0.08]
##        PFCHRW  28.08 [ 20.61,  38.40]         5.30      0.04     [0.03, 0.05]
##  L(PFCHRW, 1)  23.67 [ 17.40,  32.35]         4.87      0.04     [0.03, 0.06]
##            m1  24.81 [ 18.23,  33.91]         4.98      0.04     [0.03, 0.05]
##            PF  67.46 [ 49.29,  92.47]         8.21      0.01     [0.01, 0.02]
##          x_ff 108.80 [ 79.40, 149.22]        10.43  9.19e-03     [0.01, 0.01]
##    L(x_ff, 1) 139.61 [101.84, 191.52]        11.82  7.16e-03     [0.01, 0.01]
##         x10_3  24.67 [ 18.12,  33.71]         4.97      0.04     [0.03, 0.06]
##   L(x10_3, 1)  27.72 [ 20.35,  37.90]         5.27      0.04     [0.03, 0.05]
##         cpium  11.47 [  8.51,  15.59]         3.39      0.09     [0.06, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.62963, p-value = 0.8228

## [1] 0.005823953

## [1] 0.006657665

## [1] 0.003536022