S&P 500 Healthcare: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 15:39:33

## OK: residuals appear as normally distributed (p = 0.382).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.836).

## OK: Error variance appears to be homoscedastic (p = 0.804).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(HC) ~ L(HC, 1) + psR + sc + TCI_R2 + m1 + indpro + x_ff + L(x10_3,     1) + L(PFHC, 1) + cpium + d(x10_3) + d(PFHC)
## F = 5.1057, p-value = 0.0005847
## 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_R2 2.99 [  2.29,   4.08]         1.73      0.33     [0.25, 0.44]
## 
## Moderate Correlation
## 
##    Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  indpro 8.81 [  6.39,  12.30]         2.97      0.11     [0.08, 0.16]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(HC, 1)  43.86 [ 31.14,  61.94]         6.62      0.02     [0.02, 0.03]
##          psR  92.67 [ 65.61, 131.06]         9.63      0.01     [0.01, 0.02]
##           sc  10.52 [  7.60,  14.73]         3.24      0.10     [0.07, 0.13]
##           m1  60.23 [ 42.70,  85.12]         7.76      0.02     [0.01, 0.02]
##         x_ff  35.83 [ 25.48,  50.57]         5.99      0.03     [0.02, 0.04]
##        x10_3  25.96 [ 18.50,  36.59]         5.10      0.04     [0.03, 0.05]
##  L(x10_3, 1)  25.74 [ 18.35,  36.28]         5.07      0.04     [0.03, 0.05]
##         PFHC 394.38 [278.67, 558.30]        19.86  2.54e-03     [0.00, 0.00]
##   L(PFHC, 1) 400.70 [283.13, 567.25]        20.02  2.50e-03     [0.00, 0.00]
##        cpium  10.93 [  7.89,  15.30]         3.31      0.09     [0.07, 0.13]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.43124, p-value = 0.9924

Last Value (Monthly):
30-06-2024: 1707.38

Forecasts (value):
31-07-2024: 1669.91
09-08-2024: 1676.32

Forecasts(in %):
31-07-2024: -2.19%
09-08-2024: -1.82%