tests/testthat/test-varlse.R

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

# var_lm()-------------------------
test_that("Test for varlse class", {
  skip_on_cran()
  
  test_lag <- 3
  fit_test_var <- var_lm(y = etf_vix, p = test_lag)
  num_col <- ncol(etf_vix)
  num_row <- nrow(etf_vix)

  expect_s3_class(fit_test_var, "varlse")

  expect_equal(
    nrow(fit_test_var$coef),
    ifelse(fit_test_var$type == "none", fit_test_var$p * num_col, fit_test_var$p * num_col + 1)
  )

  expect_equal(
    fit_test_var$df,
    ifelse(fit_test_var$type == "none", fit_test_var$p * num_col, fit_test_var$p * num_col + 1)
  )

  expect_equal(
    nrow(fit_test_var$design),
    fit_test_var$obs
  )

  expect_equal(
    ncol(fit_test_var$y0),
    num_col
  )

  expect_equal(
    ncol(fit_test_var$coef),
    num_col
  )
})

test_that("Computation Methods", {
  skip_on_cran()
  
  test_lag <- 3
  fit_test_nor <- var_lm(y = etf_vix[, 1:3], p = test_lag)
  fit_test_llt <- var_lm(y = etf_vix[, 1:3], p = test_lag, method = "chol")
  fit_test_qr <- var_lm(y = etf_vix[, 1:3], p = test_lag, method = "qr")

  expect_equal(
    fit_test_nor$coefficients,
    fit_test_llt$coefficients
  )

  expect_equal(
    fit_test_nor$coefficients,
    fit_test_qr$coefficients
  )
})

test_that("VARX", {
  skip_on_cran()

  test_lag <- 3
  test_lag_exogen <- 2
  
  endog_y <- etf_vix[, 1:3]
  exogen <- etf_vix[,4:5]
  
  fit_test_nor <- var_lm(y = endog_y, p = test_lag, exogen = exogen, s = test_lag_exogen)
  fit_test_llt <- var_lm(y = endog_y, p = test_lag, exogen = exogen, s = test_lag_exogen, method = "chol")
  fit_test_qr <- var_lm(y = endog_y, p = test_lag, exogen = exogen, s = test_lag_exogen, method = "qr")

  expect_equal(
    fit_test_nor$coefficients,
    fit_test_llt$coefficients
  )

  expect_equal(
    fit_test_nor$coefficients,
    fit_test_qr$coefficients
  )
})
#> Test passed 🌈