HII | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.619).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.680).

## OK: Error variance appears to be homoscedastic (p = 0.398).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(HII) ~ L(HII, 1) + L(ps, 1) + L(sc, 1) + L(PFHII, 1) + m1 +     PF + x_ff + TCI_V + TCI_R + cpium + d(ps) + d(L(ps, 1)) +     d(sc) + d(L(sc, 1)) + d(PFHII) + d(L(PFHII, 1))
## F = 3.7078, p-value = 0.009286
## 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
##  L(HII, 1) 3.52 [  2.70,   4.75]         1.88      0.28     [0.21, 0.37]
##      TCI_V 4.59 [  3.46,   6.23]         2.14      0.22     [0.16, 0.29]
## 
## Moderate Correlation
## 
##   Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  TCI_R 6.72 [  5.00,   9.20]         2.59      0.15     [0.11, 0.20]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##           ps 222.83 [160.33, 309.86]        14.93  4.49e-03     [0.00, 0.01]
##     L(ps, 1) 149.88 [107.89, 208.36]        12.24  6.67e-03     [0.00, 0.01]
##     L(ps, 2)  62.15 [ 44.84,  86.31]         7.88      0.02     [0.01, 0.02]
##           sc  18.65 [ 13.57,  25.79]         4.32      0.05     [0.04, 0.07]
##     L(sc, 1)  25.44 [ 18.45,  35.23]         5.04      0.04     [0.03, 0.05]
##     L(sc, 2)  15.10 [ 11.01,  20.84]         3.89      0.07     [0.05, 0.09]
##        PFHII  11.50 [  8.43,  15.84]         3.39      0.09     [0.06, 0.12]
##  L(PFHII, 1)  18.71 [ 13.61,  25.87]         4.33      0.05     [0.04, 0.07]
##  L(PFHII, 2)  10.86 [  7.97,  14.95]         3.30      0.09     [0.07, 0.13]
##           m1  31.43 [ 22.75,  43.56]         5.61      0.03     [0.02, 0.04]
##           PF 116.95 [ 84.22, 162.54]        10.81  8.55e-03     [0.01, 0.01]
##         x_ff  11.08 [  8.12,  15.25]         3.33      0.09     [0.07, 0.12]
##        cpium  10.24 [  7.53,  14.09]         3.20      0.10     [0.07, 0.13]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.34955, p-value = 0.9997

## [1] 0.00938243

## [1] 0.007832417

## [1] 0.01438041