NOC | SP500 : Model specifications
## OK: residuals appear as normally distributed (p = 0.437).
## OK: Residuals appear to be independent and not autocorrelated (p = 0.460).
## OK: Error variance appears to be homoscedastic (p = 0.657).
##
## Bounds F-test (Wald) for no cointegration
##
## data: d(NOC) ~ L(NOC, 1) + L(ps, 1) + L(sc, 1) + L(PFNOC, 1) + L(m1, 1) + L(PF, 1) + L(x_ff, 1) + L(TCI_V, 1) + TCI_R + cpium + d(L(NOC, 1)) + d(L(NOC, 2)) + d(ps) + d(L(ps, 1)) + d(L(ps, 2)) + d(sc) + d(L(sc, 1)) + d(L(sc, 2)) + d(L(sc, 3)) + d(PFNOC) + d(L(PFNOC, 1)) + d(L(PFNOC, 2)) + 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_V) + d(L(TCI_V, 1)) + d(L(TCI_V, 2)) + d(L(TCI_V, 3))
## F = 3.9472, p-value = 0.004645
## alternative hypothesis: Possible cointegration
## null values:
## k T
## 9 1000
## # Check for Multicollinearity
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(NOC, 1) 32.86 [ 25.71, 42.07] 5.73 0.03 [0.02, 0.04]
## L(NOC, 2) 46.94 [ 36.67, 60.15] 6.85 0.02 [0.02, 0.03]
## L(NOC, 3) 28.11 [ 22.01, 35.97] 5.30 0.04 [0.03, 0.05]
## ps 403.20 [ 314.10, 517.65] 20.08 2.48e-03 [0.00, 0.00]
## L(ps, 1) 827.30 [ 644.36, 1062.26] 28.76 1.21e-03 [0.00, 0.00]
## L(ps, 2) 1051.81 [ 819.19, 1350.57] 32.43 9.51e-04 [0.00, 0.00]
## L(ps, 3) 383.13 [ 298.48, 491.88] 19.57 2.61e-03 [0.00, 0.00]
## sc 27.62 [ 21.63, 35.34] 5.26 0.04 [0.03, 0.05]
## L(sc, 1) 33.16 [ 25.95, 42.47] 5.76 0.03 [0.02, 0.04]
## L(sc, 2) 34.77 [ 27.20, 44.53] 5.90 0.03 [0.02, 0.04]
## L(sc, 3) 37.17 [ 29.07, 47.61] 6.10 0.03 [0.02, 0.03]
## L(sc, 4) 31.59 [ 24.72, 40.44] 5.62 0.03 [0.02, 0.04]
## PFNOC 189.16 [ 147.43, 242.79] 13.75 5.29e-03 [0.00, 0.01]
## L(PFNOC, 1) 383.13 [ 298.48, 491.88] 19.57 2.61e-03 [0.00, 0.00]
## L(PFNOC, 2) 418.26 [ 325.83, 536.99] 20.45 2.39e-03 [0.00, 0.00]
## L(PFNOC, 3) 210.93 [ 164.38, 270.74] 14.52 4.74e-03 [0.00, 0.01]
## m1 557.65 [ 434.38, 715.99] 23.61 1.79e-03 [0.00, 0.00]
## L(m1, 1) 671.19 [ 522.79, 861.78] 25.91 1.49e-03 [0.00, 0.00]
## L(m1, 2) 653.32 [ 508.88, 838.84] 25.56 1.53e-03 [0.00, 0.00]
## PF 886.50 [ 690.46, 1138.28] 29.77 1.13e-03 [0.00, 0.00]
## L(PF, 1) 1581.18 [1231.42, 2030.36] 39.76 6.32e-04 [0.00, 0.00]
## L(PF, 2) 1635.51 [1273.73, 2100.13] 40.44 6.11e-04 [0.00, 0.00]
## L(PF, 3) 735.44 [ 572.83, 944.29] 27.12 1.36e-03 [0.00, 0.00]
## x_ff 177.52 [ 138.36, 227.84] 13.32 5.63e-03 [0.00, 0.01]
## L(x_ff, 1) 288.26 [ 224.60, 370.05] 16.98 3.47e-03 [0.00, 0.00]
## L(x_ff, 2) 175.31 [ 136.65, 225.01] 13.24 5.70e-03 [0.00, 0.01]
## TCI_V 13.61 [ 10.73, 17.36] 3.69 0.07 [0.06, 0.09]
## L(TCI_V, 1) 24.87 [ 19.49, 31.81] 4.99 0.04 [0.03, 0.05]
## L(TCI_V, 2) 25.28 [ 19.81, 32.35] 5.03 0.04 [0.03, 0.05]
## L(TCI_V, 3) 22.31 [ 17.50, 28.52] 4.72 0.04 [0.04, 0.06]
## L(TCI_V, 4) 17.93 [ 14.09, 22.90] 4.23 0.06 [0.04, 0.07]
## TCI_R 16.15 [ 12.70, 20.62] 4.02 0.06 [0.05, 0.08]
## cpium 21.25 [ 16.67, 27.16] 4.61 0.05 [0.04, 0.06]
##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.36369, p-value = 0.9994
## [1] 0.04605963
## [1] 0.04604041
## [1] 0.007163