TXT | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.535).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.758).

## OK: Error variance appears to be homoscedastic (p = 0.676).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(TXT) ~ L(TXT, 1) + ps + sc + L(PFTXT, 1) + m1 + L(PF, 1) +     x_ff + L(TXT_R, 1) + TCI_R + cpium + d(PFTXT) + d(PF) + d(TXT_R)
## F = 3.6753, p-value = 0.01014
## 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(TXT, 1) 9.51 [  6.91,  13.26]         3.08      0.11     [0.08, 0.14]
##      cpium 9.64 [  7.01,  13.44]         3.11      0.10     [0.07, 0.14]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##           ps 149.54 [106.17, 210.80]        12.23  6.69e-03     [0.00, 0.01]
##           sc  12.16 [  8.79,  16.98]         3.49      0.08     [0.06, 0.11]
##        PFTXT 163.37 [115.97, 230.32]        12.78  6.12e-03     [0.00, 0.01]
##  L(PFTXT, 1) 139.39 [ 98.97, 196.48]        11.81  7.17e-03     [0.01, 0.01]
##           m1  36.10 [ 25.76,  50.76]         6.01      0.03     [0.02, 0.04]
##           PF 340.02 [241.19, 479.53]        18.44  2.94e-03     [0.00, 0.00]
##     L(PF, 1) 299.35 [212.35, 422.15]        17.30  3.34e-03     [0.00, 0.00]
##         x_ff  22.19 [ 15.90,  31.14]         4.71      0.05     [0.03, 0.06]
##        TXT_R  23.98 [ 17.16,  33.66]         4.90      0.04     [0.03, 0.06]
##  L(TXT_R, 1)  10.95 [  7.93,  15.28]         3.31      0.09     [0.07, 0.13]
##        TCI_R  22.23 [ 15.93,  31.20]         4.72      0.04     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.63684, p-value = 0.8121

## [1] 0.01153092

## [1] 0.009561475

## [1] 0.03234844