S&P 500 Real Estate: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 17:08:15

## OK: residuals appear as normally distributed (p = 0.676).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.288).

## OK: Error variance appears to be homoscedastic (p = 0.196).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(RE) ~ L(RE, 1) + psR + L(sc, 1) + L(TCI_R2, 1) + m1 + indpro +     L(x_ff, 1) + L(x10_3, 1) + PF + cpium + d(sc) + d(TCI_R2) +     d(x_ff) + d(x10_3)
## F = 6.2503, p-value = 1e-06
## 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_R2 6.59 [  4.91,   9.00]         2.57      0.15     [0.11, 0.20]
##  L(TCI_R2, 1) 5.90 [  4.42,   8.04]         2.43      0.17     [0.12, 0.23]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(RE, 1)  12.82 [  9.40,  17.65]         3.58      0.08     [0.06, 0.11]
##          psR 191.06 [137.75, 265.15]        13.82  5.23e-03     [0.00, 0.01]
##           sc  18.33 [ 13.36,  25.29]         4.28      0.05     [0.04, 0.07]
##     L(sc, 1)  14.79 [ 10.82,  20.38]         3.85      0.07     [0.05, 0.09]
##           m1  54.85 [ 39.66,  76.01]         7.41      0.02     [0.01, 0.03]
##       indpro  10.15 [  7.47,  13.93]         3.19      0.10     [0.07, 0.13]
##         x_ff 114.68 [ 82.74, 159.09]        10.71  8.72e-03     [0.01, 0.01]
##   L(x_ff, 1) 114.02 [ 82.27, 158.17]        10.68  8.77e-03     [0.01, 0.01]
##        x10_3  29.80 [ 21.62,  41.23]         5.46      0.03     [0.02, 0.05]
##  L(x10_3, 1)  36.81 [ 26.67,  50.95]         6.07      0.03     [0.02, 0.04]
##           PF 124.27 [ 89.66, 172.41]        11.15  8.05e-03     [0.01, 0.01]
##        cpium  11.18 [  8.21,  15.36]         3.34      0.09     [0.07, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.67525, p-value = 0.7519

Last Value (Monthly):
30-06-2024: 239.52

Forecasts (value):
31-07-2024: 238.64
09-08-2024: 238.97

Forecasts(in %):
31-07-2024: -0.37%
09-08-2024: -0.23%