LMT | SP500 : Model specifications
## OK: residuals appear as normally distributed (p = 0.443).
## OK: Residuals appear to be independent and not autocorrelated (p = 0.828).
## OK: Error variance appears to be homoscedastic (p = 0.377).
##
## Bounds F-test (Wald) for no cointegration
##
## data: d(LMT) ~ L(LMT, 1) + L(ps, 1) + L(sc, 1) + L(LMT_R, 1) + L(m1, 1) + L(PF, 1) + L(x_ff, 1) + L(TCI_R, 1) + L(PFLMT, 1) + cpium + d(L(LMT, 1)) + d(L(LMT, 2)) + d(ps) + d(L(ps, 1)) + d(L(ps, 2)) + d(sc) + d(L(sc, 1)) + d(L(sc, 2)) + d(LMT_R) + d(m1) + d(L(m1, 1)) + d(PF) + d(L(PF, 1)) + d(L(PF, 2)) + d(x_ff) + d(L(x_ff, 1)) + d(TCI_R) + d(L(TCI_R, 1)) + d(L(TCI_R, 2)) + d(PFLMT) + d(L(PFLMT, 1))
## F = 4.1125, p-value = 0.002757
## 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(LMT, 3) 9.60 [ 7.60, 12.20] 3.10 0.10 [0.08, 0.13]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(LMT, 1) 11.75 [ 9.28, 14.95] 3.43 0.09 [0.07, 0.11]
## L(LMT, 2) 13.53 [ 10.66, 17.24] 3.68 0.07 [0.06, 0.09]
## ps 413.14 [322.02, 530.12] 20.33 2.42e-03 [0.00, 0.00]
## L(ps, 1) 769.13 [599.39, 987.02] 27.73 1.30e-03 [0.00, 0.00]
## L(ps, 2) 817.84 [637.35, 1049.53] 28.60 1.22e-03 [0.00, 0.00]
## L(ps, 3) 247.39 [192.88, 317.39] 15.73 4.04e-03 [0.00, 0.01]
## sc 26.62 [ 20.87, 34.05] 5.16 0.04 [0.03, 0.05]
## L(sc, 1) 35.50 [ 27.78, 45.44] 5.96 0.03 [0.02, 0.04]
## L(sc, 2) 35.05 [ 27.43, 44.86] 5.92 0.03 [0.02, 0.04]
## L(sc, 3) 24.11 [ 18.91, 30.82] 4.91 0.04 [0.03, 0.05]
## LMT_R 14.53 [ 11.45, 18.53] 3.81 0.07 [0.05, 0.09]
## L(LMT_R, 1) 14.09 [ 11.10, 17.96] 3.75 0.07 [0.06, 0.09]
## m1 450.60 [351.21, 578.20] 21.23 2.22e-03 [0.00, 0.00]
## L(m1, 1) 624.66 [486.83, 801.59] 24.99 1.60e-03 [0.00, 0.00]
## L(m1, 2) 487.23 [379.75, 625.21] 22.07 2.05e-03 [0.00, 0.00]
## PF 740.59 [577.15, 950.38] 27.21 1.35e-03 [0.00, 0.00]
## L(PF, 1) 1139.61 [888.05, 1462.50] 33.76 8.77e-04 [0.00, 0.00]
## L(PF, 2) 998.97 [778.47, 1282.00] 31.61 1.00e-03 [0.00, 0.00]
## L(PF, 3) 384.10 [299.39, 492.84] 19.60 2.60e-03 [0.00, 0.00]
## x_ff 210.59 [164.20, 270.16] 14.51 4.75e-03 [0.00, 0.01]
## L(x_ff, 1) 393.04 [306.36, 504.32] 19.83 2.54e-03 [0.00, 0.00]
## L(x_ff, 2) 228.16 [177.89, 292.70] 15.10 4.38e-03 [0.00, 0.01]
## TCI_R 31.13 [ 24.38, 39.82] 5.58 0.03 [0.03, 0.04]
## L(TCI_R, 1) 41.69 [ 32.61, 53.39] 6.46 0.02 [0.02, 0.03]
## L(TCI_R, 2) 34.63 [ 27.10, 44.32] 5.88 0.03 [0.02, 0.04]
## L(TCI_R, 3) 21.36 [ 16.76, 27.29] 4.62 0.05 [0.04, 0.06]
## PFLMT 45.30 [ 35.42, 58.02] 6.73 0.02 [0.02, 0.03]
## L(PFLMT, 1) 79.32 [ 61.93, 101.69] 8.91 0.01 [0.01, 0.02]
## L(PFLMT, 2) 67.88 [ 53.02, 87.00] 8.24 0.01 [0.01, 0.02]
## cpium 18.04 [ 14.18, 23.03] 4.25 0.06 [0.04, 0.07]
##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.28838, p-value = 1
## [1] 0.008245663
## [1] 0.003231554
## [1] 0.008259545