FDX | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.078).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.998).

## OK: Error variance appears to be homoscedastic (p = 0.182).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(FDX) ~ L(FDX, 1) + L(ps, 1) + sc + L(PFFDX, 1) + m1 + L(PF,     1) + x_ff + x10_3 + ur + cpium + d(ps) + d(PFFDX) + d(PF)
## F = 3.4448, p-value = 0.01962
## 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
##     ur 7.59 [  5.80,  10.06]         2.76      0.13     [0.10, 0.17]
##  cpium 8.34 [  6.36,  11.06]         2.89      0.12     [0.09, 0.16]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##    L(FDX, 1)  13.48 [ 10.18,  17.96]         3.67      0.07     [0.06, 0.10]
##           ps 405.88 [302.33, 545.02]        20.15  2.46e-03     [0.00, 0.00]
##     L(ps, 1) 234.80 [174.96, 315.23]        15.32  4.26e-03     [0.00, 0.01]
##           sc  11.18 [  8.47,  14.88]         3.34      0.09     [0.07, 0.12]
##        PFFDX  71.98 [ 53.74,  96.54]         8.48      0.01     [0.01, 0.02]
##  L(PFFDX, 1)  62.25 [ 46.49,  83.46]         7.89      0.02     [0.01, 0.02]
##           m1  64.18 [ 47.93,  86.06]         8.01      0.02     [0.01, 0.02]
##           PF 430.35 [320.54, 577.88]        20.74  2.32e-03     [0.00, 0.00]
##     L(PF, 1) 408.68 [304.41, 548.77]        20.22  2.45e-03     [0.00, 0.00]
##         x_ff  15.25 [ 11.50,  20.33]         3.90      0.07     [0.05, 0.09]
##        x10_3  12.02 [  9.10,  16.01]         3.47      0.08     [0.06, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.47256, p-value = 0.9788

## [1] 0.01297351

## [1] 0.01376348

## [1] 0.04730152