tests/testthat/test-multipliers.R

In ARDL: ARDL, ECM and Bounds-Test for Cointegration

test_that("correct results case 2 & 3", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    expected_mult <- data.frame(c("(Intercept)", "Prod", "UR", "Wedge", "Union"),
                                c(2.70108265, 1.06332501, -0.10460915, -0.94285059, 1.48067052),
                                c(0.2414848597, 0.0499903071, 0.0336700352, 0.2649817179, 0.3106107337),
                                c(11.18530847, 21.27062375, -3.10689148, -3.55817222, 4.76696509))
    colnames(expected_mult) <- c("Term", "Estimate", "Std. Error", "t value")

    expect_equal(multipliers(ardl_model)[,-5], expected_mult)

    ardl_model <- ardl(Union ~ Prod + UR + Wedge | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(5,0,5,1))

    expect_equal(round(multipliers(ardl_model)[,"Pr(>|t|)"],6), c(0.013860, 0.768666, 0.919328, 0.440212))
})

test_that("correct results case 1", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union -1 | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    expected_mult <- data.frame(c("Prod", "UR", "Wedge", "Union"),
                                c(0.4047793, -0.6813798, -10.7233397, -2.6065488),
                                c(2.1361117, 1.8758181, 23.4065331, 3.3974199),
                                c(0.189493512, -0.363244080, -0.458134473, -0.767214197))
    colnames(expected_mult) <- c("Term", "Estimate", "Std. Error", "t value")

    expect_equal(multipliers(ardl_model)[,-5], expected_mult)
    expect_equal(round(multipliers(ardl_model)[,"Pr(>|t|)"],6), c(0.850205, 0.717418, 0.648146, 0.4453))
})

test_that("equivalence long-run and sum of interim", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    mult_lr <- multipliers(ardl_model, type = "lr")
    mult_inter200 <- multipliers(ardl_model, type = 200)

    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='(Intercept)'],5), round(sum(mult_inter200$'(Intercept)'$Delay),5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='Prod'],4), round(sum(mult_inter200$Prod$Delay),4))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='UR'],5), round(sum(mult_inter200$UR$Delay),5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='Wedge'],5), round(sum(mult_inter200$Wedge$Delay),5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='Union'],5), round(sum(mult_inter200$Union$Delay),5))

    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union + trend(w, scale=FALSE)| D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    mult_lr <- multipliers(ardl_model, type = "lr")
    mult_inter200 <- multipliers(ardl_model, type = 200)

    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='(Intercept)'],5), round(mult_inter200$'(Intercept)'$Interim[201],5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='trend(w, scale = FALSE)'],5), round(mult_inter200$'trend(w, scale = FALSE)'$Interim[201],5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='Prod'],4), round(mult_inter200$'Prod'$Interim[201],4))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='UR'],5), round(mult_inter200$'UR'$Interim[201],5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='Wedge'],5), round(mult_inter200$'Wedge'$Interim[201],5))
    expect_equal(round(mult_lr$Estimate[mult_lr$Term=='Union'],4), round(mult_inter200$'Union'$Interim[201],4))
})

test_that("correct s.e. for delay multipliers", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    mult <- multipliers(ardl_model, type = 3, se = TRUE)
    expected_se_c <- c(0.1554, 0.0686, 0.0658, 0.0654)
    expected_se_ur <- c(0.0083, 0.0108, 0.0126, 0.0136)

    expect_equal(round(mult$`(Intercept)`[,"Std. Error Delay"], 4), expected_se_c)
    expect_equal(round(mult$UR[,"Std. Error Delay"], 4), expected_se_ur)

    # no intercept
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union -1| D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    mult <- multipliers(ardl_model, type = 3, se = TRUE)
    expected_se_prod <- c(0.1021, 0.0602, 0.0337, 0.0392)
    expected_se_ur <- c(0.0091, 0.0111, 0.0131, 0.0137)

    expect_equal(round(mult$Prod[,"Std. Error Delay"], 4), expected_se_prod)
    expect_equal(round(mult$UR[,"Std. Error Delay"], 4), expected_se_ur)

    # intercept and trend
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union + trend(w)| D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    mult <- multipliers(ardl_model, type = 3, se = TRUE)
    expected_se_c <- c(0.2006, 0.0774, 0.0638, 0.0581)
    expected_se_trend <- c(0.0014, 0.0005, 0.0003, 0.0001)
    expected_se_ur <- c(0.0083, 0.0109, 0.0127, 0.0137)

    expect_equal(round(mult$`(Intercept)`[,"Std. Error Delay"], 4), expected_se_c)
    expect_equal(round(mult$`trend(w)`[,"Std. Error Delay"], 4), expected_se_trend)
    expect_equal(round(mult$UR[,"Std. Error Delay"], 4), expected_se_ur)

    # include 0 order
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,0,5,4,5))
    mult <- multipliers(ardl_model, type = 3, se = TRUE)
    expected_se_c <- c(0.1426, 0.0700, 0.0677, 0.0652)
    expected_se_ur <- c(0.0083, 0.0107, 0.0125, 0.0128)

    expect_equal(round(mult$`(Intercept)`[,"Std. Error Delay"], 4), expected_se_c)
    expect_equal(round(mult$UR[,"Std. Error Delay"], 4), expected_se_ur)
})

test_that("type='sr' equals type=0", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union -1 | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))

    expect_equal(multipliers(ardl_model, type = "sr"), multipliers(ardl_model, type = 0))
})

test_that("equal results with ardl or uecm input", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union -1 | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))
    ardl_model_c <- ardl(w ~ Prod + UR + Wedge + Union | D7475 + D7579,
                         data = PSS2001, start = c(1972, 01),
                         order=c(6,1,5,4,5))
    ardl_model_ct <- ardl(w ~ Prod + UR + Wedge + Union + trend(w) | D7475 + D7579,
                          data = PSS2001, start = c(1972, 01),
                          order=c(6,1,5,4,5))

    expect_equal(multipliers(ardl_model), multipliers(uecm(ardl_model)))
    expect_equal(multipliers(ardl_model, type = "sr"), multipliers(uecm(ardl_model), type = 0))
    expect_equal(multipliers(ardl_model, type = 2), multipliers(uecm(ardl_model), type = 2))

    expect_equal(multipliers(ardl_model_c), multipliers(uecm(ardl_model_c)))
    expect_equal(multipliers(ardl_model_c, type = "sr"), multipliers(uecm(ardl_model_c), type = 0))
    expect_equal(multipliers(ardl_model_c, type = 2), multipliers(uecm(ardl_model_c), type = 2))

    expect_equal(multipliers(ardl_model_ct), multipliers(uecm(ardl_model_ct)))
    expect_equal(multipliers(ardl_model_ct, type = "sr"), multipliers(uecm(ardl_model_ct), type = 0))
    expect_equal(multipliers(ardl_model_ct, type = 2), multipliers(uecm(ardl_model_ct), type = 2))
})

test_that("wrong type causes expected error", {
    ardl_model <- ardl(w ~ Prod + UR + Wedge + Union | D7475 + D7579,
                       data = PSS2001, start = c(1972, 01),
                       order=c(6,1,5,4,5))

    expect_error(multipliers(ardl_model, type = "aa"),
                 "'type' should be one of 'lr', 'sr' or a number between 0 and 200")
    expect_error(multipliers(uecm(ardl_model), type = "aa"),
                 "'type' should be one of 'lr', 'sr' or a number between 0 and 200")
})