TDG | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.543).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.428).

## OK: Error variance appears to be homoscedastic (p = 0.662).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(TDG) ~ L(TDG, 1) + ps + L(sc, 1) + L(PFTDG, 1) + m1 + PF +     x_ff + L(TDG_R, 1) + L(TCI_R, 1) + cpium + d(sc) + d(L(sc,     1)) + d(PFTDG) + d(L(PFTDG, 1)) + d(TDG_R) + d(L(TDG_R, 1)) +     d(TCI_R) + d(L(TCI_R, 1))
## F = 4.5529, p-value = 0.0009353
## 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(TDG, 1)  44.44 [ 32.42,  61.06]         6.67      0.02     [0.02, 0.03]
##           ps 248.66 [180.68, 342.35]        15.77  4.02e-03     [0.00, 0.01]
##           sc  15.82 [ 11.64,  21.64]         3.98      0.06     [0.05, 0.09]
##     L(sc, 1)  23.42 [ 17.16,  32.10]         4.84      0.04     [0.03, 0.06]
##     L(sc, 2)  18.51 [ 13.60,  25.34]         4.30      0.05     [0.04, 0.07]
##        PFTDG  86.15 [ 62.70, 118.51]         9.28      0.01     [0.01, 0.02]
##  L(PFTDG, 1) 109.54 [ 79.68, 150.72]        10.47  9.13e-03     [0.01, 0.01]
##  L(PFTDG, 2)  56.25 [ 41.00,  77.33]         7.50      0.02     [0.01, 0.02]
##           m1  35.59 [ 26.00,  48.87]         5.97      0.03     [0.02, 0.04]
##           PF  62.91 [ 45.83,  86.50]         7.93      0.02     [0.01, 0.02]
##         x_ff  25.46 [ 18.64,  34.91]         5.05      0.04     [0.03, 0.05]
##        TDG_R  57.90 [ 42.19,  79.60]         7.61      0.02     [0.01, 0.02]
##  L(TDG_R, 1)  90.66 [ 65.98, 124.73]         9.52      0.01     [0.01, 0.02]
##  L(TDG_R, 2)  70.31 [ 51.20,  96.69]         8.39      0.01     [0.01, 0.02]
##        TCI_R  38.86 [ 28.37,  53.36]         6.23      0.03     [0.02, 0.04]
##  L(TCI_R, 1)  63.87 [ 46.53,  87.82]         7.99      0.02     [0.01, 0.02]
##  L(TCI_R, 2)  44.45 [ 32.43,  61.07]         6.67      0.02     [0.02, 0.03]
##        cpium  12.45 [  9.20,  17.00]         3.53      0.08     [0.06, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.44859, p-value = 0.9878

## [1] 0.01117487

## [1] 0.006899023

## [1] 0.02027157