RTX | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.647).
## OK: Residuals appear to be independent and not autocorrelated (p = 0.154).
## OK: Error variance appears to be homoscedastic (p = 0.323).
## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(RTX) ~ L(RTX, 1) + ps + sc + PFRTX + m1 + PF + x_ff + RTX_R +     L(TCI_R, 1) + cpium + d(TCI_R)
## F = 3.2017, p-value = 0.03796
## 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(RTX, 1) 5.53 [  4.06,   7.72]         2.35      0.18     [0.13, 0.25]
##         sc 8.43 [  6.10,  11.85]         2.90      0.12     [0.08, 0.16]
##      RTX_R 6.95 [  5.05,   9.73]         2.64      0.14     [0.10, 0.20]
##      cpium 6.64 [  4.83,   9.29]         2.58      0.15     [0.11, 0.21]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##           ps 169.47 [119.12, 241.28]        13.02  5.90e-03     [0.00, 0.01]
##        PFRTX  38.07 [ 26.90,  54.07]         6.17      0.03     [0.02, 0.04]
##           m1 136.90 [ 96.26, 194.88]        11.70  7.30e-03     [0.01, 0.01]
##           PF  44.18 [ 31.18,  62.77]         6.65      0.02     [0.02, 0.03]
##         x_ff  16.58 [ 11.81,  23.45]         4.07      0.06     [0.04, 0.08]
##        TCI_R  12.10 [  8.67,  17.06]         3.48      0.08     [0.06, 0.12]
##  L(TCI_R, 1)  10.64 [  7.64,  14.99]         3.26      0.09     [0.07, 0.13]
## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.49884, p-value = 0.9647

## [1] 0.004380075
## [1] 0.004752811
## [1] 0.01767641