S&P Consumer Staples: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 15:40:07

## OK: residuals appear as normally distributed (p = 0.298).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.224).

## OK: Error variance appears to be homoscedastic (p = 0.088).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(CS) ~ L(CS, 1) + L(psR, 1) + L(sc, 1) + PF + L(m1, 1) + L(CS_TO_R,     1) + L(x_ff, 1) + L(x10_3, 1) + L(PFCS, 1) + L(cpium, 1) +     d(L(CS, 1)) + d(psR) + d(L(psR, 1)) + d(sc) + d(m1) + d(CS_TO_R) +     d(L(CS_TO_R, 1)) + d(x_ff) + d(x10_3) + d(PFCS) + d(cpium)
## F = 6.4208, p-value = 1e-06
## 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
##        CS_TO_R 5.02 [  3.92,   6.53]         2.24      0.20     [0.15, 0.25]
##  L(CS_TO_R, 1) 8.41 [  6.47,  11.02]         2.90      0.12     [0.09, 0.15]
##  L(CS_TO_R, 2) 5.53 [  4.31,   7.21]         2.35      0.18     [0.14, 0.23]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(CS, 1)  58.45 [ 44.17,  77.46]         7.65      0.02     [0.01, 0.02]
##     L(CS, 2)  55.01 [ 41.58,  72.89]         7.42      0.02     [0.01, 0.02]
##          psR 470.74 [354.73, 624.78]        21.70  2.12e-03     [0.00, 0.00]
##    L(psR, 1) 664.54 [500.72, 882.06]        25.78  1.50e-03     [0.00, 0.00]
##    L(psR, 2) 477.27 [359.65, 633.45]        21.85  2.10e-03     [0.00, 0.00]
##           sc  21.65 [ 16.45,  28.60]         4.65      0.05     [0.03, 0.06]
##     L(sc, 1)  18.49 [ 14.07,  24.41]         4.30      0.05     [0.04, 0.07]
##           PF 169.93 [128.14, 225.44]        13.04  5.88e-03     [0.00, 0.01]
##           m1 146.88 [110.78, 194.84]        12.12  6.81e-03     [0.01, 0.01]
##     L(m1, 1) 132.38 [ 99.85, 175.59]        11.51  7.55e-03     [0.01, 0.01]
##         x_ff 203.29 [153.27, 269.73]        14.26  4.92e-03     [0.00, 0.01]
##   L(x_ff, 1) 200.01 [150.80, 265.39]        14.14  5.00e-03     [0.00, 0.01]
##        x10_3  36.33 [ 27.51,  48.09]         6.03      0.03     [0.02, 0.04]
##  L(x10_3, 1)  40.07 [ 30.33,  53.06]         6.33      0.02     [0.02, 0.03]
##         PFCS 660.36 [497.57, 876.52]        25.70  1.51e-03     [0.00, 0.00]
##   L(PFCS, 1) 678.50 [511.24, 900.60]        26.05  1.47e-03     [0.00, 0.00]
##        cpium  13.42 [ 10.25,  17.68]         3.66      0.07     [0.06, 0.10]
##  L(cpium, 1)  12.69 [  9.70,  16.70]         3.56      0.08     [0.06, 0.10]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.37364, p-value = 0.999

Last Value (Monthly):
30-06-2024: 825.32

Forecasts (value):
31-07-2024: 854.44
09-08-2024: 853.27

Forecasts(in %):
31-07-2024: 3.53%
09-08-2024: 3.39%