IT Sector | SP500 Index : Model specifications

## OK: residuals appear as normally distributed (p = 0.607).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.354).

## OK: Error variance appears to be homoscedastic (p = 0.763).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(IT) ~ L(IT, 1) + ps + sc + L(TCI, 1) + m1 + indpro + L(x_ff,     1) + L(x10_3, 1) + L(PFIT, 1) + cpium + d(TCI) + d(x_ff) +     d(x10_3) + d(PFIT)
## F = 3.7166, p-value = 0.009061
## 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
##        TCI 5.65 [  4.14,   7.88]         2.38      0.18     [0.13, 0.24]
##  L(TCI, 1) 5.99 [  4.38,   8.37]         2.45      0.17     [0.12, 0.23]
##     indpro 8.11 [  5.87,  11.38]         2.85      0.12     [0.09, 0.17]
##      cpium 9.47 [  6.82,  13.32]         3.08      0.11     [0.08, 0.15]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(IT, 1)  71.50 [ 50.36, 101.70]         8.46      0.01     [0.01, 0.02]
##           ps 183.65 [129.08, 261.48]        13.55  5.45e-03     [0.00, 0.01]
##           sc  13.59 [  9.71,  19.18]         3.69      0.07     [0.05, 0.10]
##           m1  66.93 [ 47.15,  95.18]         8.18      0.01     [0.01, 0.02]
##         x_ff  96.61 [ 67.99, 137.47]         9.83      0.01     [0.01, 0.01]
##   L(x_ff, 1) 147.34 [103.59, 209.75]        12.14  6.79e-03     [0.00, 0.01]
##        x10_3  27.48 [ 19.46,  38.97]         5.24      0.04     [0.03, 0.05]
##  L(x10_3, 1)  35.49 [ 25.09,  50.39]         5.96      0.03     [0.02, 0.04]
##         PFIT 498.72 [350.23, 710.36]        22.33  2.01e-03     [0.00, 0.00]
##   L(PFIT, 1) 439.82 [308.89, 626.44]        20.97  2.27e-03     [0.00, 0.00]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.37601, p-value = 0.9989