Forecast S&P 500.

remove number of private houses under construction from the formula.


summary(lm(apply.quarterly(SP5[kikan],mean)[,1] ~ apply.quarterly(PA[kikan],mean) * apply.quarterly(UC[kikan],mean) * G[kikan] - apply.quarterly(UC[kikan],mean) ))

Call:
lm(formula = apply.quarterly(SP5[kikan], mean)[, 1] ~ apply.quarterly(PA[kikan],
    mean) * apply.quarterly(UC[kikan], mean) * G[kikan] - apply.quarterly(UC[kikan],
    mean))

Residuals:
    Min      1Q  Median      3Q     Max
-257.49  -63.25   12.05   92.63  180.28

Coefficients:
                                                                             Estimate Std. Error t value Pr(>|t|)
(Intercept)                                                                 2.030e+04  2.689e+03   7.551 2.91e-11 ***
apply.quarterly(PA[kikan], mean)                                           -2.385e-01  3.623e-02  -6.583 2.70e-09 ***
G[kikan]                                                                   -1.417e+00  2.129e-01  -6.657 1.92e-09 ***
apply.quarterly(PA[kikan], mean):apply.quarterly(UC[kikan], mean)           1.180e-04  1.940e-05   6.085 2.58e-08 ***
apply.quarterly(PA[kikan], mean):G[kikan]                                   1.724e-05  1.921e-06   8.974 3.02e-14 ***
apply.quarterly(UC[kikan], mean):G[kikan]                                  -9.908e-04  2.762e-04  -3.588 0.000534 ***
apply.quarterly(PA[kikan], mean):apply.quarterly(UC[kikan], mean):G[kikan] -8.571e-10  1.221e-09  -0.702 0.484610
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 110.7 on 93 degrees of freedom
Multiple R-squared:  0.9458, Adjusted R-squared:  0.9423
F-statistic: 270.4 on 6 and 93 DF,  p-value: < 2.2e-16

before.

PAYEMS
2016-10-01 144943
2016-11-01 145147
2016-12-01 145303

after.

2016-11-01 145170
2016-12-01 145327
2017-01-01 145554