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