EXPD | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.715).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.832).

## OK: Error variance appears to be homoscedastic (p = 0.096).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(EXPD) ~ L(EXPD, 1) + ps + L(sc, 1) + TCI_R + m1 + L(PF, 1) +     x_ff + x10_3 + L(ur, 1) + L(cpium, 1) + d(sc) + d(L(sc, 1)) +     d(PF) + d(ur) + d(cpium)
## F = 5.7039, p-value = 0.0002054
## 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 2.14 [  1.74,   2.77]         1.46      0.47     [0.36, 0.58]
## 
## Moderate Correlation
## 
##      Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        ur 9.51 [  7.16,  12.77]         3.08      0.11     [0.08, 0.14]
##  L(ur, 1) 8.47 [  6.39,  11.35]         2.91      0.12     [0.09, 0.16]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##   L(EXPD, 1)  58.51 [ 43.24,  79.30]         7.65      0.02     [0.01, 0.02]
##           ps 187.46 [138.21, 254.38]        13.69  5.33e-03     [0.00, 0.01]
##           sc  19.66 [ 14.63,  26.55]         4.43      0.05     [0.04, 0.07]
##     L(sc, 1)  25.58 [ 18.99,  34.58]         5.06      0.04     [0.03, 0.05]
##     L(sc, 2)  15.10 [ 11.27,  20.35]         3.89      0.07     [0.05, 0.09]
##           m1  87.54 [ 64.62, 118.71]         9.36      0.01     [0.01, 0.02]
##           PF 420.04 [309.51, 570.17]        20.49  2.38e-03     [0.00, 0.00]
##     L(PF, 1) 311.55 [229.60, 422.86]        17.65  3.21e-03     [0.00, 0.00]
##         x_ff  19.70 [ 14.66,  26.60]         4.44      0.05     [0.04, 0.07]
##        x10_3  13.83 [ 10.34,  18.63]         3.72      0.07     [0.05, 0.10]
##        cpium  12.29 [  9.21,  16.54]         3.51      0.08     [0.06, 0.11]
##  L(cpium, 1)  12.40 [  9.28,  16.68]         3.52      0.08     [0.06, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.64071, p-value = 0.8062

## [1] 0.004979067

## [1] 0.005800013

## [1] 0.01045215