TDY | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.623).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.500).

## OK: Error variance appears to be homoscedastic (p = 0.530).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(TDY) ~ L(TDY, 1) + ps + L(sc, 1) + L(indpro, 1) + m1 + PF +     x_ff + TDY_R + L(TCI_R, 1) + cpium + d(sc) + d(L(sc, 1)) +     d(indpro) + d(L(indpro, 1)) + d(TCI_R) + d(L(TCI_R, 1))
## F = 2.5757, p-value = 0.1659
## 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(indpro, 2) 7.48 [  5.50,  10.35]         2.74      0.13     [0.10, 0.18]
## 
## High Correlation
## 
##          Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(TDY, 1)  10.10 [  7.36,  14.03]         3.18      0.10     [0.07, 0.14]
##            ps 272.19 [194.00, 382.06]        16.50  3.67e-03     [0.00, 0.01]
##            sc  15.28 [ 11.05,  21.29]         3.91      0.07     [0.05, 0.09]
##      L(sc, 1)  21.21 [ 15.27,  29.62]         4.61      0.05     [0.03, 0.07]
##      L(sc, 2)  16.32 [ 11.79,  22.76]         4.04      0.06     [0.04, 0.08]
##        indpro  18.35 [ 13.23,  25.60]         4.28      0.05     [0.04, 0.08]
##  L(indpro, 1)  16.08 [ 11.62,  22.42]         4.01      0.06     [0.04, 0.09]
##            m1  44.95 [ 32.18,  62.96]         6.70      0.02     [0.02, 0.03]
##            PF 143.45 [102.32, 201.27]        11.98  6.97e-03     [0.00, 0.01]
##          x_ff  24.36 [ 17.52,  34.05]         4.94      0.04     [0.03, 0.06]
##         TDY_R  13.51 [  9.79,  18.81]         3.68      0.07     [0.05, 0.10]
##         TCI_R  16.24 [ 11.73,  22.64]         4.03      0.06     [0.04, 0.09]
##   L(TCI_R, 1)  21.21 [ 15.27,  29.62]         4.61      0.05     [0.03, 0.07]
##   L(TCI_R, 2)  14.79 [ 10.70,  20.61]         3.85      0.07     [0.05, 0.09]
##         cpium  11.90 [  8.64,  16.54]         3.45      0.08     [0.06, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.46333, p-value = 0.9827

## [1] 0.02260304

## [1] 0.005298466

## [1] 0.04047617