GD | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.941).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.548).

## OK: Error variance appears to be homoscedastic (p = 0.497).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(GD) ~ L(GD, 1) + ps + sc + PFGD + m1 + PF + x_ff + TCI_V +     TCI_R + cpium
## F = 3.8454, p-value = 0.006248
## 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
##  L(GD, 1) 7.33 [ 5.29,  10.32]         2.71      0.14     [0.10, 0.19]
##        sc 8.95 [ 6.43,  12.64]         2.99      0.11     [0.08, 0.16]
##      x_ff 9.43 [ 6.77,  13.33]         3.07      0.11     [0.07, 0.15]
##     TCI_V 5.45 [ 3.98,   7.63]         2.33      0.18     [0.13, 0.25]
##     TCI_R 7.76 [ 5.60,  10.94]         2.79      0.13     [0.09, 0.18]
##     cpium 9.96 [ 7.14,  14.09]         3.16      0.10     [0.07, 0.14]
## 
## High Correlation
## 
##  Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##    ps 131.09 [91.73, 187.51]        11.45  7.63e-03     [0.01, 0.01]
##  PFGD  15.60 [11.08,  22.17]         3.95      0.06     [0.05, 0.09]
##    m1  26.06 [18.38,  37.13]         5.10      0.04     [0.03, 0.05]
##    PF  52.54 [36.87,  75.04]         7.25      0.02     [0.01, 0.03]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.43474, p-value = 0.9916

## [1] 0.007140849

## [1] 0.006279421

## [1] 0.01787265