Hello,

I estimated the effect of some macroeconomic variables: CPI, exchange Rate, growth of M3 supply, WTI oil price, Michigan Consumer confidence index on the Stock Market in the USA. I transformed the MONTHLY time series in log scales (m1 2009 --> m12 2019).

The estimates of the variables in the short- and long-run models are partly over 0 thus I believe that there can not be a convergence? Can you give me an idea of what could be wrong in the model? Or are the ECTs ok and I just misinterpreted the results?

All diagnostic tests look very good and the model is stable (CUSUM).

...BTW: Does anyone know how to code the CUSUMSQ in R since I use this language? I can not find the code anywhere!

You can see the estimates and in general the results in the attached word document.

Best regards,

Philipp