UPS | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.426).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.300).

## OK: Error variance appears to be homoscedastic (p = 0.406).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(UPS) ~ L(UPS, 1) + L(ps, 1) + sc + PFUPS + L(m1, 1) + L(PF,     1) + L(x_ff, 1) + L(TCI_V, 1) + L(TCI_R, 1) + cpium + d(L(UPS,     1)) + d(ps) + d(L(ps, 1)) + d(m1) + d(PF) + d(x_ff) + d(TCI_V) +     d(L(TCI_V, 1)) + d(TCI_R)
## F = 7.3181, 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_V 8.83 [  6.60,  11.95]         2.97      0.11     [0.08, 0.15]
##  L(TCI_V, 2) 7.92 [  5.94,  10.71]         2.81      0.13     [0.09, 0.17]
##        TCI_R 9.68 [  7.22,  13.11]         3.11      0.10     [0.08, 0.14]
##  L(TCI_R, 1) 6.99 [  5.26,   9.43]         2.64      0.14     [0.11, 0.19]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##    L(UPS, 1)  33.02 [ 24.25,  45.11]         5.75      0.03     [0.02, 0.04]
##    L(UPS, 2)  22.95 [ 16.90,  31.30]         4.79      0.04     [0.03, 0.06]
##           ps 205.72 [150.26, 281.80]        14.34  4.86e-03     [0.00, 0.01]
##     L(ps, 1) 539.86 [394.05, 739.75]        23.23  1.85e-03     [0.00, 0.00]
##     L(ps, 2) 305.55 [223.09, 418.62]        17.48  3.27e-03     [0.00, 0.00]
##           sc  14.28 [ 10.58,  19.42]         3.78      0.07     [0.05, 0.09]
##        PFUPS  59.68 [ 43.70,  81.64]         7.73      0.02     [0.01, 0.02]
##           m1 251.33 [183.53, 344.31]        15.85  3.98e-03     [0.00, 0.01]
##     L(m1, 1) 313.31 [228.75, 429.25]        17.70  3.19e-03     [0.00, 0.00]
##           PF 297.64 [217.32, 407.78]        17.25  3.36e-03     [0.00, 0.00]
##     L(PF, 1) 319.22 [233.07, 437.35]        17.87  3.13e-03     [0.00, 0.00]
##         x_ff 115.03 [ 84.08, 157.50]        10.73  8.69e-03     [0.01, 0.01]
##   L(x_ff, 1) 132.56 [ 96.88, 181.53]        11.51  7.54e-03     [0.01, 0.01]
##  L(TCI_V, 1)  14.41 [ 10.67,  19.59]         3.80      0.07     [0.05, 0.09]
##        cpium  12.91 [  9.58,  17.54]         3.59      0.08     [0.06, 0.10]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.48916, p-value = 0.9705

## [1] 0.005285018

## [1] 0.006044535

## [1] 0.03088157