Nothing
tests/testthat/test_parameterReforms.R
In gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
context("Parameter reforms")
library(gmvarkit)
data0 <- t(t(gdpdef))
data2 <- unname(data0)
data3 <- cbind(1:244, data2)
n_obs <- nrow(data3) # 244
dat2_1 <- reform_data(data2, p=1)
dat2_2 <- reform_data(data2, p=2)
dat2_3 <- reform_data(data2, p=3)
dat3_1 <- reform_data(data3, p=1)
dat3_2 <- reform_data(data3, p=2)
test_that("reform_data works correctly", {
expect_equal(dat2_1, data2)
expect_equal(nrow(dat2_2), n_obs - 2 + 1)
expect_equal(dat2_2[1,], c(data2[2,], data2[1,]))
expect_equal(dat2_2[23,], c(data2[24,], data2[23,]))
expect_equal(dat2_2[nrow(dat2_2),], c(data2[244,], data2[243,]))
expect_equal(nrow(dat2_3), n_obs - 3 + 1)
expect_equal(dat2_3[1,], c(data2[3,], data2[2,], data2[1,]))
expect_equal(dat2_3[100,], c(data2[102,], data2[101,], data2[100,]))
expect_equal(dat2_3[nrow(dat2_3),], c(data2[244,], data2[243,], data2[242,]))
expect_equal(dat3_1, data3)
expect_equal(nrow(dat3_2), n_obs - 2 + 1)
expect_equal(dat3_2[1,], c(data3[2,], data3[1,]))
expect_equal(dat3_2[13,], c(data3[14,], data3[13,]))
expect_equal(dat3_2[nrow(dat3_2),], c(data3[244,], data3[243,]))
})
## A(M)(p)_(p)(M)(d)
# p=1, M=1, d=2
phi10_112 <- c(1.03, 2.36)
A11_112 <- matrix(c(1.25, 0.06, 0.04, 1.34), nrow=2, byrow=FALSE)
Omega1_112 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
theta_112 <- c(phi10_112, vec(A11_112), vech(Omega1_112))
W_112 <- t(chol(Omega1_112))
theta_112s <- c(phi10_112, vec(A11_112), vec(W_112)) # SGMVAR
Omega1_112s <- tcrossprod(W_112)
theta_112ts <- c(theta_112s, 10)
theta_112sWC <- c(phi10_112, vec(A11_112), Wvec(W_112)) # SGMVAR W constrained
# p=1, M=2, d=2
phi10_122 <- c(1.03, 2.36)
A11_122 <- matrix(c(1, -0.06, -0.04, 1), nrow=2, byrow=FALSE)
Omega1_122 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
phi20_122 <- c(1.79, 3.00)
A21_122 <- A11_122 + 0.02
Omega2_122 <- matrix(c(5.88, 3.56, 3.56, 9.80), nrow=2, byrow=FALSE)
alpha1_122 <- 0.37
upsilon1_122 <- c(phi10_122, vec(A11_122), vech(Omega1_122))
upsilon2_122 <- c(phi20_122, vec(A21_122), vech(Omega2_122))
theta_122 <- c(upsilon1_122, upsilon2_122, alpha1_122)
WL_122 <- diag_Omegas(Omega1_122, Omega2_122)
W_122 <- matrix(WL_122[1:(2^2)], nrow=2, byrow=FALSE)
lambdas_122 <- WL_122[(2^2 + 1):length(WL_122)]
theta_122s <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, alpha1_122) # SGMVAR
theta_122t <- c(theta_122, 10, 20)
# p=2, M=2, d=2
phi10_222 <- c(1.03, 2.36)
A11_222 <- matrix(c(1.25, 0.06, 0.04, 1.34), nrow=2, byrow=FALSE)
A12_222 <- matrix(c(-0.29, -0.08, -0.05, -0.36), nrow=2, byrow=FALSE)
Omega1_222 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
phi20_222 <- c(1.79, 3.00)
A21_222 <- matrix(c(1.20, 0.05, 0.05, 1.30), nrow=2, byrow=FALSE)
A22_222 <- matrix(c(-0.30, -0.10, -0.05, -0.40), nrow=2, byrow=FALSE)
Omega2_222 <- matrix(c(5.88, 3.56, 3.56, 9.80), nrow=2, byrow=FALSE)
alpha1_222 <- 0.37
upsilon1_222 <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222))
upsilon2_222 <- c(phi20_222, vec(A21_222), vec(A22_222), vech(Omega2_222))
theta_222 <- c(upsilon1_222, upsilon2_222, alpha1_222)
WL_222 <- diag_Omegas(Omega1_222, Omega2_222)
W_222 <- matrix(WL_222[1:(2^2)], nrow=2, byrow=FALSE)
lambdas_222 <- WL_222[(2^2 + 1):length(WL_222)]
theta_222s <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), lambdas_222, alpha1_222) # SGMVAR
Omega1_222s <- tcrossprod(W_222)
Omega2_222s <- W_222%*%tcrossprod(diag(lambdas_222), W_222)
theta_222t <- c(theta_222, 10, 20) # StMVAR
theta_222gs <- c(theta_222, 20) # G-StMVAR
theta_222ts <- c(theta_222s, 10, 20) # SStMVAR
theta_222gss <- c(theta_222s, 20) # SG-StMVAR
# p=3, M=3, d=2
phi10_332 <- c(1.03, 2.36)
A11_332 <- matrix(c(1.25, 0.06, 0.04, 1.34), nrow=2, byrow=FALSE)
A12_332 <- matrix(c(-0.29, -0.08, -0.05, -0.36), nrow=2, byrow=FALSE)
A13_332 <- matrix(c(1, 0.21, 0.12, 2), nrow=2, byrow=FALSE)
Omega1_332 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
phi20_332 <- c(1.79, 3.00)
A21_332 <- matrix(c(1.20, 0.05, 0.05, 1.30), nrow=2, byrow=FALSE)
A22_332 <- matrix(c(-0.30, -0.10, -0.05, -0.40), nrow=2, byrow=FALSE)
A23_332 <- matrix(c(0.30, 0.10, 0.05, 0.40), nrow=2, byrow=FALSE)
Omega2_332 <- matrix(c(5.88, 3.56, 3.56, 9.80), nrow=2, byrow=FALSE)
phi30_332 <- c(1.79, 3.00)
A31_332 <- matrix(c(1.30, 0.03, 0.08, 1.33), nrow=2, byrow=FALSE)
A32_332 <- matrix(c(-0.50, -0.20, -0.01, -0.40), nrow=2, byrow=FALSE)
A33_332 <- matrix(c(0.50, 0.20, 0.01, 0.40), nrow=2, byrow=FALSE)
Omega3_332 <- matrix(c(5.00, 3.00, 3.00, 9.00), nrow=2, byrow=FALSE)
alpha1_332 <- 0.5
alpha2_332 <- 0.3
upsilon1_332 <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332))
upsilon2_332 <- c(phi20_332, vec(A21_332), vec(A22_332), vec(A23_332), vech(Omega2_332))
upsilon3_332 <- c(phi30_332, vec(A31_332), vec(A32_332), vec(A33_332), vech(Omega3_332))
theta_332 <- c(upsilon1_332, upsilon2_332, upsilon3_332, alpha1_332, alpha2_332)
W_332 <- matrix(c(-0.8924620, 0, 0.3653923, -2.1643472), nrow=2, byrow=FALSE)
lambdas2_332 <- c(7.16, 1.30)
lambdas3_332 <- c(6.10, 1.22)
theta_332s <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
vec(W_332), lambdas2_332, lambdas3_332, alpha1_332, alpha2_332) # SGMVAR
Omega1_332s <- tcrossprod(W_332)
Omega2_332s <- W_332%*%tcrossprod(diag(lambdas2_332), W_332)
Omega3_332s <- W_332%*%tcrossprod(diag(lambdas3_332), W_332)
theta_332_froms <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332s), # based on SGMVAR
phi20_332, vec(A21_332), vec(A22_332), vec(A23_332), vech(Omega2_332s),
phi30_332, vec(A31_332), vec(A32_332), vec(A33_332), vech(Omega3_332s),
alpha1_332, alpha2_332)
theta_332sWC <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
Wvec(W_332), lambdas2_332, lambdas3_332, alpha1_332, alpha2_332) # SGMVAR W constrained
theta_332t <- c(theta_332, 10, 20, 30) # StMVAR
theta_332gs <- c(theta_332, 20, 30) # G-StMVAR, M1=1, M2=2
theta_332gs2 <- c(theta_332, 30) # G-StMVAR, M1=2, M2=1
theta_332ts <- c(theta_332s, 10, 20, 30) # SStMVAR
theta_332gss <- c(theta_332s, 30) # SG-StMVAR, M1=2, M2=1
theta_332gssWC <- c(theta_332sWC, 20, 30) # SG-StMVAR, M1=1, M2=2
# p=1, M=2, d=3
phi10_123 <- c(1.1, 2.2, 3.3)
A11_123 <- matrix(c(1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3), nrow=3, byrow=FALSE)
Omega1_123 <- matrix(c(1, 0.22, 0.33, 0.22, 2, 0.44, 0.33, 0.44, 3), nrow=3, byrow=FALSE)
phi20_123 <- c(1.11, 2.22, 3.33)
A21_123 <- matrix(c(-1, -0.21, -0.31, -0.12, -2, -0.32, -0.13, -0.23, -3), nrow=3, byrow=FALSE)
Omega2_123 <- matrix(c(1.1, 0.222, 0.333, 0.222, 2.2, 0.444, 0.333, 0.444, 3.3), nrow=3, byrow=FALSE)
alpha1_123 <- 0.6
upsilon1_123 <- c(phi10_123, vec(A11_123), vech(Omega1_123))
upsilon2_123 <- c(phi20_123, vec(A21_123), vech(Omega2_123))
theta_123 <- c(upsilon1_123, upsilon2_123, alpha1_123)
WL_123 <- diag_Omegas(Omega1_123, Omega2_123)
W_123 <- matrix(WL_123[1:(3^2)], nrow=3, byrow=FALSE)
lambdas_123 <- WL_123[(3^2 + 1):length(WL_123)]
theta_123s <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), lambdas_123, alpha1_123) # SGMVAR
theta_123t <- c(theta_123, 20, 25) # StMVAR
theta_123gs <- c(theta_123, 25) # G-StMVAR
theta_123ts <- c(theta_123s, 20, 25) # StMVAR
theta_123gss <- c(theta_123s, 25) # G-StMVAR
# p=2, M=1, d=3
phi10_213 <- c(1.1, 2.2, 3.3)
A11_213 <- matrix(c(1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3), nrow=3, byrow=FALSE)
A12_213 <- matrix(c(-1, -0.21, -0.31, -0.12, -2, -0.32, -0.13, -0.23, -3), nrow=3, byrow=FALSE)
Omega1_213 <- matrix(c(1, 0.22, 0.33, 0.22, 2, 0.44, 0.33, 0.44, 3), nrow=3, byrow=FALSE)
upsilon1_213 <- c(phi10_213, vec(A11_213), vec(A12_213), vech(Omega1_213))
theta_213 <- upsilon1_213
W_213 <- t(chol(Omega1_213))
theta_213s <- c(phi10_213, vec(A11_213), vec(A12_213), vec(W_213)) # SGMVAR
theta_213sWC <- c(phi10_213, vec(A11_213), vec(A12_213), Wvec(W_213)) # SGMVAR W constrained
## A(M)(p)_(p)(M)(d)
rbind_diags <- function(p, M, d) {
I <- diag(p*d^2)
Reduce(rbind, replicate(M, I, simplify=FALSE))
}
## Constraining AR-parameters to be the same for all regimes
# p=1, M=1, d=2
C_112 <- rbind_diags(p=1, M=1, d=2)
theta_112c <- c(phi10_112, vec(A11_112), vech(Omega1_112))
theta_112csWAR <- c(phi10_112, vec(A11_112), Wvec(W_112)) # SGMVAR W and AR
theta_112tcsWAR <- c(theta_112csWAR, 10) # SStMVAR W and AR
# p=1, M=2, d=2
C_122 <- rbind_diags(p=1, M=2, d=2)
theta_122c <- c(phi10_122, phi20_122, vec(A11_122), vech(Omega1_122), vech(Omega2_122), alpha1_122)
theta_122c_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi20_122, vec(A11_122), vech(Omega2_122), alpha1_122)
C_lambda_122 <- matrix(c(1, 1), nrow=2)
theta_122csL <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), 0.5, alpha1_122) # SGMVAR lambdas
theta_122csL_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), 0.5, 0.5, alpha1_122)
theta_122csLAR <- c(phi10_122, phi20_122, vec(A11_122), vec(W_122), 0.5, alpha1_122) # SGMVAR lambdas and AR
theta_122csLAR_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A11_122), vec(W_122), 0.5, 0.5, alpha1_122)
theta_122gsc <- c(theta_122c, 20) # G-StMVAR AR
theta_122gsc_expanded <- c(theta_122c_expanded, 20) # G-StMVAR AR
theta_122gscsLAR <- c(theta_122csLAR, 20) # SG-StMVAR lambdas and AR, M1=1, M2=1
theta_122gscsLAR_expanded <- c(theta_122csLAR_expanded, 20)
# p=2, M=2, d=2
C_222 <- rbind_diags(p=2, M=2, d=2)
theta_222c <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), alpha1_222)
theta_222c_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi20_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), alpha1_222)
theta_222tc <- c(theta_222c, 10, 20) # StMVAR
theta_222tc_expanded <- c(theta_222c_expanded, 10, 20)
C_lambda_222 <- matrix(c(1, 2), nrow=2)
theta_222csL <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), 0.2, alpha1_222) # SGMVAR lambdas
theta_222csL_expanded <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), 0.2, 2*0.2, alpha1_222)
theta_222csLAR <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2, alpha1_222) # SGMVAR lambdas and AR
theta_222csLAR_expanded <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), 0.2, 2*0.2, alpha1_222)
# p=3, M=3, d=2
C_332 <- rbind_diags(p=3, M=3, d=2)
theta_332c <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi20_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332csWAR <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332) # SGMVAR W and AR
theta_332csWAR_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332),
vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332)
C_lambda_332 <- matrix(c(1, 1, 0, 0, 0, 0, 1, 1), nrow=4, byrow=FALSE)
theta_332csWL <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), 1, 2, alpha1_332, alpha2_332) # SGMVAR W and L
theta_332csWL_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), 1, 1, 2, 2, alpha1_332, alpha2_332)
theta_332csWLAR <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), 1, 2,
alpha1_332, alpha2_332) # SGMVAR W, L, and AR
theta_332csWLAR_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332),
vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), 1, 1, 2, 2, alpha1_332, alpha2_332)
theta_332gsc <- c(theta_332c, 30) # SG-StMVAR AR, M1=2, M2=1
theta_332gsc_expanded <- c(theta_332c_expanded, 30)
theta_332gscsWLAR <- c(theta_332csWLAR, 20, 30) # SG-StMVAR, W, L, AR, M1=1, M2=2
theta_332gscsWLAR_expanded <- c(theta_332csWLAR_expanded, 20, 30)
# p=1, M=2, d=3
C_123 <- rbind_diags(p=1, M=2, d=3)
theta_123c <- c(phi10_123, phi20_123, vec(A11_123), vech(Omega1_123), vech(Omega2_123), alpha1_123)
theta_123c_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi20_123, vec(A11_123), vech(Omega2_123), alpha1_123)
C_lambda_123 <- matrix(c(1, 1, 0, 0, 0, 1), nrow=3, byrow=FALSE)
theta_123csL <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 2, alpha1_123) # SGMVAR lambdas
theta_123csL_expanded <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 1, 2, alpha1_123)
theta_123csLAR <- c(phi10_123, phi20_123, vec(A11_123), vec(W_123), 1, 2, alpha1_123) # SGMVAR lambdas and AR
theta_123csLAR_expanded <- c(phi10_123, phi20_123, vec(A11_123), vec(A11_123), vec(W_123), 1, 1, 2, alpha1_123)
theta_123tc <- c(theta_123c, 10, 20) # StMVAR, AR
theta_123tc_expanded <- c(theta_123c_expanded, 10, 20)
theta_123tcsLAR <- c(theta_123csLAR, 10, 20) # SStMVAR, L, AR
theta_123tcsLAR_expanded <- c(theta_123csLAR_expanded, 10, 20) # SStMVAR, L, AR
# p=2, M=1, d=3
C_213 <- rbind_diags(p=2, M=1, d=3)
theta_213c <- c(phi10_213, vec(A11_213), vec(A12_213), vech(Omega1_213))
theta_213csWAR <- c(phi10_213, vec(A11_213), vec(A12_213), Wvec(W_213))
# p=2, M=2, d=2, constrain AR-parameters to be the same for all regimes
# and constrain the of-diagonal elements of AR-matrices to be zero.
mat0 <- matrix(c(1, rep(0, 10), 1, rep(0, 8), 1, rep(0, 10), 1), nrow=2*2^2, byrow=FALSE)
C_222_2 <- rbind(mat0, mat0)
A21_222_c2 <- A11_222_c2 <- matrix(c(1.26, 0, 0, 1.34), nrow=2, byrow=FALSE)
A22_222_c2 <- A12_222_c2 <- matrix(c(-0.29, 0, 0, -0.36), nrow=2, byrow=FALSE)
phi10_222_c2 <- c(-0.11, 2.83)
phi20_222_c2 <- c(0.36, 3.19)
Omega1_222_c2 <- matrix(c(0.98, -0.33, -0.33, 5.24), nrow=2, byrow=FALSE)
Omega2_222_c2 <- matrix(c(5.60, 3.46, 3.46, 9.62), nrow=2, byrow=FALSE)
alpha1_222_c2 <- 0.35
theta_222_c2 <- c(phi10_222_c2, phi20_222_c2, 1.26, 1.34, -0.29, -0.36, vech(Omega1_222_c2),
vech(Omega2_222_c2), alpha1_222_c2)
theta_222_c2_expanded <- c(phi10_222_c2, vec(A11_222_c2), vec(A12_222_c2), vech(Omega1_222_c2),
phi20_222_c2, vec(A21_222_c2), vec(A22_222_c2), vech(Omega2_222_c2),
alpha1_222_c2)
WL_222c2 <- diag_Omegas(Omega1_222_c2, Omega2_222_c2)
W_222c2 <- matrix(WL_222c2[1:(2^2)], nrow=2, byrow=FALSE)
lambdas_222c2 <- WL_222c2[(2^2 + 1):length(WL_222c2)]
theta_222_c2s <- c(phi10_222_c2, phi20_222_c2, 1.26, 1.34, -0.29, -0.36, vec(W_222c2), lambdas_222c2, alpha1_222_c2) # SGMVAR AR
theta_222_c2s_expanded <- c(phi10_222_c2, phi20_222_c2, vec(A11_222_c2), vec(A12_222_c2), vec(A11_222_c2), vec(A12_222_c2),
vec(W_222c2), lambdas_222c2, alpha1_222_c2)
## Models with same_means
# p=1, M=1, d=2, same_means=list(1)
theta_112_int <- c(phi10_112, vec(A11_112), vech(Omega1_112))
theta_112_int_expanded <- theta_112_int
theta_112t_int <- c(theta_112_int, 10)
theta_112t_int_expanded <- theta_112t_int
# p=1, M=2, d=2, same_means=list(1:2)
theta_122_int <- c(phi10_122, vec(A11_122), vec(A21_122), vech(Omega1_122), vech(Omega2_122), alpha1_122)
theta_122_int_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi10_122, vec(A21_122), vech(Omega2_122), alpha1_122)
# p=1, M=2, d=2, same_means=list(1, 2)
theta_122_int2 <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vech(Omega1_122), vech(Omega2_122), alpha1_122)
theta_122_int2_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi20_122, vec(A21_122), vech(Omega2_122), alpha1_122)
# p=1, M=2, d=2, constraints=C_122, structural_pars=list(W=W_122, C_lambda=C_lambda_122), same_means=list(1:2)
theta_122csL_int <- c(phi10_122, vec(A11_122), vec(W_122), 0.5, alpha1_122)
theta_122csL_int_expanded <- c(phi10_122, phi10_122, vec(A11_122), vec(A11_122), vec(W_122), 0.5, 0.5, alpha1_122)
# p=2, M=2, d=2, constraints=C_222, same_means=list(1:2)
theta_222c_int <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), alpha1_222)
theta_222c_int_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), alpha1_222)
theta_222tc_int <- c(theta_222c_int, 10, 20) # StMVAR
theta_222tc_int_expanded <- c(theta_222c_int_expanded, 10, 20)
# p=2, M=2, d=2, constraints=C_222, structural_pars=list(W=W_222, C_lambda=C_lambda_222), same_means=list(1:2)
theta_222csLAR_int <- c(phi10_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2, alpha1_222)
theta_222csLAR_int_expanded <- c(phi10_222, phi10_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), 0.2, 2*0.2, alpha1_222)
# p=3, M=3, d=2, constraints=C_332, same_means=list(1, 2:3)
theta_332c_int <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_int_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi20_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332gsc_int <- c(theta_332c_int, 20, 30) # G-StMVAR, M1=1, M2=2
theta_332gsc_int_expanded <- c(theta_332c_int_expanded, 20, 30)
# p=3, M=3, d=2, constraints=C_332, same_means=list(2, c(1, 3))
theta_332c_int2 <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_int2_expanded <- c(phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi10_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
# p=3, M=3, d=2, constraints=C_332, same_means=list(1:3)
theta_332c_int3 <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_int3_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi10_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi10_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
# p=3, M=3, d=2, constraints=C_332, structural_pars=list(W=W_332), same_means=list(c(1, 3), 2)
theta_332csWAR_int <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332)
theta_332csWAR_int_expanded <- c(phi10_332, phi20_332, phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332),
vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332)
# p=3, M=3, d=2, structural_pars=list(W=W_332, C_lambda=C_lambda_332), same_means=list(1:2, 3)
theta_332csWL_int <- c(phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), 1, 2, alpha1_332, alpha2_332)
theta_332csWL_int_expanded <- c(phi10_332, phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), 1, 1, 2, 2,
alpha1_332, alpha2_332)
# p=3, M=3, d=2, constraints=C_332, structural_pars=list(W=W_332, C_lambda=C_lambda_332), same_means=list(2:3, 1)
theta_332csWLAR_int <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), 1, 2,
alpha1_332, alpha2_332)
theta_332csWLAR_int_expanded <- c(phi20_332, phi10_332, phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332),
vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), 1, 1, 2, 2, alpha1_332, alpha2_332)
# p=1, M=2, d=3, same_means=list(1:2)
theta_123_int <- c(phi10_123, vec(A11_123), vec(A21_123), vech(Omega1_123), vech(Omega2_123), alpha1_123)
theta_123_int_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi10_123, vec(A21_123), vech(Omega2_123), alpha1_123)
# p=1, M=2, d=3, constraints=C_123, same_means=list(1:2)
theta_123c_int <- c(phi10_123, vec(A11_123), vech(Omega1_123), vech(Omega2_123), alpha1_123)
theta_123c_int_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi10_123, vec(A11_123), vech(Omega2_123), alpha1_123)
# p=1, M=2, d=3, structural_pars=list(W=W_123, C_lambda=C_lambda_123) same_means=list(1:2)
theta_123csL_int <- c(phi10_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 2, alpha1_123)
theta_123csL_int_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 1, 2, alpha1_123)
# p=1, M=2, d=3, constraints=C_123, structural_pars=list(W=W_123, C_lambda=C_lambda_123) same_means=list(1:2)
theta_123csLAR_int <- c(phi10_123, vec(A11_123), vec(W_123), 1, 2, alpha1_123) # SGMVAR lambdas and AR
theta_123csLAR_int_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), vec(W_123), 1, 1, 2, alpha1_123)
theta_123tcsLAR_int <- c(theta_123csLAR_int, 10, 20) # SStMVAR
theta_123tcsLAR_int_expanded <- c(theta_123csLAR_int_expanded, 10, 20)
# p=2, M=1, d=3, constraints=C_213, same_means=list(1)
theta_213c_int <- c(phi10_213, vec(A11_213), vec(A12_213), vech(Omega1_213))
theta_213c_int_expanded <- theta_213c_int
# p=2, M=1, d=3, constraints=C_213, structural_pars=list(W=W_213), same_means=list(1)
theta_213csWAR_int <- c(phi10_213, vec(A11_213), vec(A12_213), Wvec(W_213))
theta_213csWAR_int_expanded <- c(phi10_213, vec(A11_213), vec(A12_213), vec(W_213))
## Models with weight_constraints and/or fixed_lambdas
# p=1, M=2, d=2, model="GMVAR", weight_constraints=0.7
theta_122w <- c(upsilon1_122, upsilon2_122)
theta_122w_expanded <- c(upsilon1_122, upsilon2_122, 0.7)
# p=1, M=2, d=2, model="StMVAR", weight_constraints=0.7
theta_122tw <- c(upsilon1_122, upsilon2_122, 11, 12)
theta_122tw_expanded <- c(upsilon1_122, upsilon2_122, 0.7, 11, 12)
# p=1, M=2, d=2, model="GMVAR", weight_constraints=0.7, structural_pars=list(W=W_122)
theta_122ws <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122)
theta_122ws_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, 0.7)
# p=1, M=c(1, 1), d=2, model="G-StMVAR", weight_constraints=0.7, structural_pars=list(W=W_122)
theta_122gsws <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, 11)
theta_122gsws_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, 0.7, 11)
# p=1, M=2, d=2, model="GMVAR", weight_constraints=0.7, structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))
theta_122wsF <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122))
theta_122wsF_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), c(7, 1), 0.7)
# p=3, M=3, d=2, model="GMVAR", weight_constraints=c(0.5, 0.3)
theta_332w <- c(upsilon1_332, upsilon2_332, upsilon3_332)
theta_332w_expanded <- c(upsilon1_332, upsilon2_332, upsilon3_332, c(0.5, 0.3))
# p=3, M=3, d=2, model="GMVAR", weight_constraints=c(0.5, 0.3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))
theta_332wsWF <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332))
theta_332wsWF_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), c(7, 2, 6, 1), c(0.5, 0.3))
# p=3, M=c(1, 2), d=2, model="G-StMVAR", weight_constraints=c(0.5, 0.3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))
theta_332gswsWF <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), 11, 12)
theta_332gswsWF_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332),
c(7, 2, 6, 1), c(0.5, 0.3), 11, 12)
# p=2, M=2, d=2, model="StMVAR", constraints=C_222, weight_constraints=0.7
theta_222tcw <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), 11, 12)
theta_222tcw_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi20_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), 0.7, 11, 12)
# p=2, M=2, d=2, model="StMVAR", constraints=C_222, weight_constraints=0.7, structural_pars=list(W=W_222, C_lambda=C_lambda_222)
theta_222tcwsL <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2, 11, 12)
theta_222tcwsL_expanded <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), 0.2, 2*0.2, 0.7, 11, 12)
# p=1, M=2, d=3, model="GMVAR", weight_constraints=0.6
theta_123w <- c(upsilon1_123, upsilon2_123)
theta_123w_expanded <- c(upsilon1_123, upsilon2_123, 0.6)
# p=1, M=2, d=3, model="StMVAR", weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))
theta_123twsF <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), 11, 12)
theta_123twsF_expanded <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), c(3, 2, 1), 0.6, 11, 12)
# p=1, M=c(1, 1), d=2, model="G-StMVAR", same_means=list(1:2), weight_constraints=0.7
theta_122gsmw <- c(phi10_122, vec(A11_122), vec(A21_122), vech(Omega1_122), vech(Omega2_122), 11)
theta_122gsmw_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi10_122, vec(A21_122), vech(Omega2_122), 0.7, 11)
# p=1, M=2, d=2, model="GMVAR", constraints=C_122, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_122, fixed_lambdas=c(4, 3))
theta_122cmwsF <- c(phi10_122, vec(A11_122), vec(W_122))
theta_122cmwsF_expanded <- c(phi10_122, phi10_122, vec(A11_122), vec(A11_122), vec(W_122), c(4, 3), 0.7)
# p=2, M=2, d=2, model="StMVAR", constraints=C_222, same_means=list(1:2), weight_constraints=0.7
theta_222tcmw <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), 11, 12)
theta_222tcmw_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), 0.7, 11, 12)
# p=2, M=2, d=2, model="GMVAR", constraints=C_222, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_222, fixed_lambdas=c(6, 1))
theta_222cmwsF <- c(phi10_222, vec(A11_222), vec(A12_222), vec(W_222))
theta_222cmwsF_expanded <- c(phi10_222, phi10_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), c(6, 1), 0.7)
# p=3, M=c(2, 1), d=2, model="G-StMVAR", constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3)
theta_332gscmw <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), 11)
theta_332gscmw_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi20_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), c(0.5, 0.3), 11)
# p=3, M=3, d=2, model="StMVAR", same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
theta_332tmsWF <- c(phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), alpha1_332, alpha2_332, 11, 12, 13)
theta_332tmsWF_expanded <- c(phi10_332, phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), c(7, 2, 6, 1),
alpha1_332, alpha2_332, 11, 12, 13)
# p=3, M=3, d=2, model="GMVAR", constraints=C_332, same_means=list(1:3), weight_constraints=c(0.5, 0.3),
# structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))
theta_332cmwsWF <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332))
theta_332cmwsWF_expanded <- c(phi10_332, phi10_332, phi10_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332),
vec(W_332), c(7, 2, 6, 1), c(0.5, 0.3))
# p=1, M=c(1, 1), d=3, model="G-StMVAR", constraints=C_123, same_means=list(1:2), weight_constraints=0.7
theta_123gscmw <- c(phi10_123, vec(A11_123), vech(Omega1_123), vech(Omega2_123), 11)
theta_123gscmw_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi10_123, vec(A11_123), vech(Omega2_123), 0.7, 11)
# p=1, M=2, d=3, model="GMVAR", constraints=C_123, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_123, C_lambda=C_lambda_123)
theta_123cmwsL <- c(phi10_123, vec(A11_123), vec(W_123), 1, 2)
theta_123cmwsL_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), vec(W_123), 1, 1, 2, 0.7)
# p=1, M=2, d=3, model="StMVAR", constraints=C_123, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_123, fixed_lambdas=c(4, 3, 2))
theta_123tcmwsF <- c(phi10_123, vec(A11_123), vec(W_123), 11, 12)
theta_123tcmwsF_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), vec(W_123), c(4, 3, 2), 0.7, 11, 12)
## Extra:
# p=1, M=2, d=2, model="GMVAR", constraints=C_122, same_means=list(1:2), parametrization="mean"
theta_122cm <- c(0.804831, 0.54569, 0.303675, 0.023641, -0.132479, 0.852206, 0.287346, 0.004983,
0.025076, 1.119671, -0.017208, 0.142676, 0.647105)
theta_122cm_expanded <- c(0.804831, 0.54569, # mu
0.303675, 0.023641, -0.132479, 0.852206, # A
0.287346, 0.004983, 0.025076, # Omega 1
0.804831, 0.54569, # mu
0.303675, 0.023641, -0.132479, 0.852206, # A
1.119671, -0.017208, 0.142676, # Omega 2
0.647105) # Alpha
test_that("reform_constrained_pars works correctly", {
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122cm, model="GMVAR", constraints=C_122,
same_means=list(1:2)), theta_122cm_expanded)
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112c, constraints=C_112), theta_112)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122c, constraints=C_122), theta_122c_expanded)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gsc, model="G-StMVAR", constraints=C_122), theta_122gsc_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222, constraints=NULL), theta_222)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222c, constraints=C_222), theta_222c_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tc, model="StMVAR", constraints=C_222), theta_222tc_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c, constraints=C_332), theta_332c_expanded)
expect_equal(reform_constrained_pars(p=3, M=c(2, 1), d=2, params=theta_332gsc, model="G-StMVAR", constraints=C_332), theta_332gsc_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123c, constraints=C_123), theta_123c_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tc, model="StMVAR", constraints=C_123), theta_123tc_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213c, constraints=C_213), theta_213)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222_c2, constraints=C_222_2), theta_222_c2_expanded)
# Structural only W constrained
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112sWC, structural_pars=list(W=W_112)), theta_112s)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332sWC, structural_pars=list(W=W_332)), theta_332s)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213sWC, structural_pars=list(W=W_213)), theta_213s)
# Structural only lambdas constrained
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122csL, structural_pars=list(W=W_122, C_lambda=C_lambda_122)),
theta_122csL_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222csL, structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
theta_222csL_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csL, structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123csL_expanded)
# Structural AR parameters only constrained
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222_c2s, constraints=C_222_2, structural_pars=list(W=W_222c2)),
theta_222_c2s_expanded)
# Structural W and AR parameters constrained
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112csWAR, constraints=C_112, structural_pars=list(W=W_112)), theta_112s)
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112tcsWAR, model="StMVAR", constraints=C_112, structural_pars=list(W=W_112)),
theta_112ts)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWAR, constraints=C_332, structural_pars=list(W=W_332)),
theta_332csWAR_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213csWAR, constraints=C_213, structural_pars=list(W=W_213)), theta_213s)
# Structural lambdas and AR parameters
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122csLAR, constraints=C_122,
structural_pars=list(W=W_122, C_lambda=C_lambda_122)),
theta_122csLAR_expanded)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gscsLAR, constraints=C_122, model="G-StMVAR",
structural_pars=list(W=W_122, C_lambda=C_lambda_122)),
theta_122gscsLAR_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222csLAR, constraints=C_222,
structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
theta_222csLAR_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csLAR, constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123csLAR_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tcsLAR, model="StMVAR", constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123tcsLAR_expanded)
# Structural W and Lambda parameters constrained
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWL, structural_pars=list(W=W_332, C_lambda=C_lambda_332)),
theta_332csWL_expanded)
# Structural W, Lambda, and AR parameters constrained
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWLAR, constraints=C_332,
structural_pars=list(W=W_332, C_lambda=C_lambda_332)),
theta_332csWLAR_expanded)
expect_equal(reform_constrained_pars(p=3, M=c(1, 2), d=2, params=theta_332gscsWLAR, model="G-StMVAR", constraints=C_332,
structural_pars=list(W=W_332, C_lambda=C_lambda_332)),
theta_332gscsWLAR_expanded)
# Models with same_means
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112_int, same_means=list(1)), theta_112_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122_int, same_means=list(1:2)), theta_122_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122_int2, same_means=list(1, 2)), theta_122_int2_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122csL_int, constraints=C_122,
structural_pars=list(W=W_122, C_lambda=C_lambda_122),
same_means=list(1:2)), theta_122csL_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222c_int, constraints=C_222, same_means=list(1:2)),
theta_222c_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tc_int, model="StMVAR", constraints=C_222, same_means=list(1:2)),
theta_222tc_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222csLAR_int, constraints=C_222,
structural_pars=list(W=W_222, C_lambda=C_lambda_222),
same_means=list(1:2)), theta_222csLAR_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c_int, constraints=C_332, same_means=list(1, 2:3)),
theta_332c_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=c(1, 2), d=2, params=theta_332gsc_int, model="G-StMVAR", constraints=C_332,
same_means=list(1, 2:3)), theta_332gsc_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c_int2, constraints=C_332, same_means=list(2, c(1, 3))),
theta_332c_int2_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c_int3, constraints=C_332, same_means=list(1:3)),
theta_332c_int3_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWAR_int, constraints=C_332, structural_pars=list(W=W_332),
same_means=list(c(1, 3), 2)), theta_332csWAR_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWL_int, structural_pars=list(W=W_332, C_lambda=C_lambda_332),
same_means=list(1:2, 3)), theta_332csWL_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWLAR_int, constraints=C_332,
structural_pars=list(W=W_332, C_lambda=C_lambda_332), same_means=list(2:3, 1)),
theta_332csWLAR_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123_int, same_means=list(1:2)),
theta_123_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123c_int, constraints=C_123, same_means=list(1:2)),
theta_123c_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csL_int, structural_pars=list(W=W_123, C_lambda=C_lambda_123),
same_means=list(1:2)),
theta_123csL_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csLAR_int, constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123), same_means=list(1:2)),
theta_123csLAR_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tcsLAR_int, model="StMVAR", constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123), same_means=list(1:2)),
theta_123tcsLAR_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213c_int, constraints=C_213, same_means=list(1)),
theta_213c_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213csWAR_int, constraints=C_213, structural_pars=list(W=W_213),
same_means=list(1)), theta_213csWAR_int_expanded)
## weights_constraints and/or fixed_lambdas
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122w, model="GMVAR", weight_constraints=0.7),
theta_122w_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7),
theta_122tw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122ws, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122)), theta_122ws_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gsws, model="G-StMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122)), theta_122gsws_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122wsF, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))), theta_122wsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332w, model="GMVAR", weight_constraints=c(0.5, 0.3)),
theta_332w_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332wsWF, model="GMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332wsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332gswsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tcw, model="StMVAR", constraints=C_222, weight_constraints=0.7),
theta_222tcw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
theta_222tcwsL_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123w, model="GMVAR", weight_constraints=0.6),
theta_123w_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))),
theta_123twsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gsmw, model="G-StMVAR", same_means=list(1:2),
weight_constraints=0.7), theta_122gsmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122cmwsF, model="GMVAR", constraints=C_122, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_122, fixed_lambdas=c(4, 3))),
theta_122cmwsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tcmw, model="StMVAR", constraints=C_222, same_means=list(1:2),
weight_constraints=0.7), theta_222tcmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222cmwsF, model="GMVAR", constraints=C_222, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_222, fixed_lambdas=c(6, 1))),
theta_222cmwsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR", constraints=C_332, same_means=list(1, 2:3),
weight_constraints=c(0.5, 0.3)),
theta_332gscmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR", same_means=list(1:2, 3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332tmsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332cmwsWF, model="GMVAR", constraints=C_332, same_means=list(1:3),
weight_constraints=c(0.5, 0.3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332cmwsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=3, params=theta_123gscmw, model="G-StMVAR", constraints=C_123, same_means=list(1:2),
weight_constraints=0.7),
theta_123gscmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123cmwsL, model="GMVAR", constraints=C_123, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123cmwsL_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tcmwsF, model="StMVAR", constraints=C_123, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_123, fixed_lambdas=c(4, 3, 2))),
theta_123tcmwsF_expanded, tolerance=1e-4)
})
test_that("reform_structural_pars works correctly", {
expect_equal(reform_structural_pars(p=1, M=1, d=2, params=theta_112s, structural_pars=list(W=W_112)), theta_112, tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=2, d=2, params=theta_122s, structural_pars=list(W=W_122)), theta_122, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=2, d=2, params=theta_222s, structural_pars=list(W=W_222)), theta_222, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=2, d=2, params=theta_222ts, model="StMVAR", structural_pars=list(W=W_222)),
theta_222t, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=c(1, 1), d=2, params=theta_222gss, model="G-StMVAR", structural_pars=list(W=W_222)),
theta_222gs, tolerance=1e-4)
expect_equal(reform_structural_pars(p=3, M=3, d=2, params=theta_332s, structural_pars=list(W=W_332)), theta_332_froms, tolerance=1e-4)
expect_equal(reform_structural_pars(p=3, M=3, d=2, params=theta_332ts, model="StMVAR", structural_pars=list(W=W_332)),
c(theta_332_froms, 10, 20, 30), tolerance=1e-4)
expect_equal(reform_structural_pars(p=3, M=c(2, 1), d=2, params=theta_332gss, model="G-StMVAR", structural_pars=list(W=W_332)),
c(theta_332_froms, 30), tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=2, d=3, params=theta_123s, structural_pars=list(W=W_123)), theta_123, tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=2, d=3, params=theta_123ts, model="StMVAR", structural_pars=list(W=W_123)), theta_123t,
tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", structural_pars=list(W=W_123)),
theta_123gs, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=1, d=3, params=theta_213s, structural_pars=list(W=W_213)), theta_213, tolerance=1e-4)
})
allA_112 <- pick_allA(p=1, M=1, d=2, params=theta_112)
allA_122 <- pick_allA(p=1, M=2, d=2, params=theta_122)
allA_222 <- pick_allA(p=2, M=2, d=2, params=theta_222)
allA_332 <- pick_allA(p=3, M=3, d=2, params=theta_332)
allA_123 <- pick_allA(p=1, M=2, d=3, params=theta_123)
allA_213 <- pick_allA(p=2, M=1, d=3, params=theta_213)
lower_part <- function(p, d) {
cbind(diag(nrow=d*(p-1)), matrix(0, nrow=d*(p - 1), ncol=d))
}
test_that("form_boldA works correctly", {
expect_equal(form_boldA(p=1, M=1, d=2, all_A=allA_112)[, , 1], A11_112)
expect_equal(form_boldA(p=1, M=2, d=2, all_A=allA_122)[, , 1], A11_122)
expect_equal(form_boldA(p=1, M=2, d=2, all_A=allA_122)[, , 2], A21_122)
expect_equal(form_boldA(p=1, M=c(1, 1), d=2, all_A=allA_122)[, , 2], A21_122)
expect_equal(form_boldA(p=2, M=2, d=2, all_A=allA_222)[, , 1], rbind(cbind(A11_222, A12_222), lower_part(p=2, d=2)))
expect_equal(form_boldA(p=2, M=2, d=2, all_A=allA_222)[, , 2], rbind(cbind(A21_222, A22_222), lower_part(p=2, d=2)))
expect_equal(form_boldA(p=3, M=3, d=2, all_A=allA_332)[, , 1], rbind(cbind(A11_332, A12_332, A13_332), lower_part(p=3, d=2)))
expect_equal(form_boldA(p=3, M=3, d=2, all_A=allA_332)[, , 2], rbind(cbind(A21_332, A22_332, A23_332), lower_part(p=3, d=2)))
expect_equal(form_boldA(p=3, M=3, d=2, all_A=allA_332)[, , 3], rbind(cbind(A31_332, A32_332, A33_332), lower_part(p=3, d=2)))
expect_equal(form_boldA(p=1, M=2, d=3, all_A=allA_123)[, , 1], A11_123)
expect_equal(form_boldA(p=1, M=2, d=3, all_A=allA_123)[, , 2], A21_123)
expect_equal(form_boldA(p=2, M=1, d=3, all_A=allA_213)[, , 1], rbind(cbind(A11_213, A12_213), lower_part(p=2, d=3)))
})
## A(M)(p)_(p)(M)(d)
# p=3, M=3, d=2
alpha1_332_2 <- 0.1; alpha2_332_2 <- 0.4
theta_332_2 <- c(upsilon1_332, upsilon2_332, upsilon3_332, alpha1_332_2, alpha2_332_2)
alpha1_332_3 <- 0.5; alpha2_332_3 <- 0.2
theta_332_3 <- c(upsilon1_332, upsilon2_332, upsilon3_332, alpha1_332_3, alpha2_332_3)
theta_332t_2 <- c(theta_332_2, 10, 20, 30) # StMVAR
theta_332gs_2 <- c(theta_332_2, 30) # SG-StMVAR, M1=2, M2=1
theta_332gs_2_2 <- c(theta_332_2, 20, 30) # SG-StMVAR, M1=1, M2=2
theta_332gs_3 <- c(theta_332_3, 30) # SG-StMVAR, M1=2, M2=1
theta_332gs_3_2 <- c(theta_332_3, 20, 30) # SG-StMVAR, M1=1, M2=2
theta_332s_2 <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
Wvec(W_332), lambdas2_332, lambdas3_332, alpha1_332_2, alpha2_332_2) # SGMVAR
theta_332ts_2 <- c(theta_332s_2, 10, 20, 30) # StMVAR
# p=3, M=4, d=2
upsilon1_342 <- upsilon1_332; upsilon2_342 <- upsilon2_332; upsilon3_342 <- upsilon3_332; upsilon4_342 <- upsilon3_342+0.07
alpha1_342 <- 0.1; alpha2_342 <- 0.2; alpha3_342 <- 0.3
theta_342 <- c(upsilon1_342, upsilon2_342, upsilon3_342, upsilon4_342, alpha1_342, alpha2_342, alpha3_342)
alpha1_342_2 <- 0.2; alpha2_342_2 <- 0.3; alpha3_342_2 <- 0.4
theta_342_2 <- c(upsilon1_342, upsilon2_342, upsilon3_342, upsilon4_342, alpha1_342_2, alpha2_342_2, alpha3_342_2)
alpha1_342_3 <- 0.3; alpha2_342_3 <- 0.4; alpha3_342_3 <- 0.1
theta_342_3 <- c(upsilon1_342, upsilon2_342, upsilon3_342, upsilon4_342, alpha1_342_3, alpha2_342_3, alpha3_342_3)
theta_342gs <- c(theta_342, 30, 40) # G-StMVAR, M1=2, M2=2
theta_342gs_2 <- c(theta_342_2, 40) # G-StMVAR, M1=3, M2=1
theta_342gs_3 <- c(theta_342_3, 20, 30, 40) # G-StMVAR, M1=1, M2=3
phi1_342 <- c(vec(A11_332), vec(A12_332), vec(A13_332))
phi2_342 <- c(vec(A21_332), vec(A22_332), vec(A23_332))
phi3_342 <- c(vec(A31_332), vec(A32_332), vec(A33_332))
phi4_342 <- phi3_342 + 0.1
phi30_342 <- phi30_332; phi20_342 <- phi20_332; phi10_342 <- phi10_332
phi40_342 <- phi30_342 + 0.1
lambdas2_342 <- lambdas2_332; lambdas3_342 <- lambdas3_332
lambdas4_342 <- lambdas3_342 + 0.2
W_342 <- W_332
theta_342s <- c(phi10_342, phi20_342, phi30_342, phi40_342, phi1_342, phi2_342, phi3_342, phi4_342,
Wvec(W_342), lambdas2_342, lambdas3_342, lambdas4_342, alpha1_342, alpha2_342, alpha3_342) # SGMVAR
theta_342s_2 <- c(phi10_342, phi20_342, phi30_342, phi40_342, phi1_342, phi2_342, phi3_342, phi4_342,
Wvec(W_342), lambdas2_342, lambdas3_342, lambdas4_342, alpha1_342_2, alpha2_342_2, alpha3_342_2) # SGMVAR
theta_342s_3 <- c(phi10_342, phi20_342, phi30_342, phi40_342, phi1_342, phi2_342, phi3_342, phi4_342,
Wvec(W_342), lambdas2_342, lambdas3_342, lambdas4_342, alpha1_342_3, alpha2_342_3, alpha3_342_3) # SGMVAR
theta_342gss <- c(theta_342s, 20, 30, 40) # SG-StMVAR, M1=1, M2=3
theta_342gss_2 <- c(theta_342s_2, 30, 40) # SG-StMVAR, M1=2, M2=2
theta_342gss_3 <- c(theta_342s_3, 40) # SG-StMVAR, M1=3, M2=1
# p=1, M=2, d=3
alpha1_123_2 <- 0.3
theta_123_2 <- c(upsilon1_123, upsilon2_123, alpha1_123_2)
theta_123t_2 <- c(theta_123_2, 10, 20) # StMVAR
# p=1, M=3, d=3, structural_pars=list(W=W_133)
W_133 <- matrix(c(1, 2, 0, 4, 5, 6, 0, 8, 9), nrow=3)
phi10_133 <- c(0.388, 2.682, -0.388)
phi20_133 <- c(2.433, 5.961, 1.898)
phi30_133 <- c(-0.044, 3.139, 2.595)
A11_133 <- c(0.412, 0.03, 0.117, 0.005, -0.141, 0.038, -0.309, 0.252, 0.043)
A21_133 <- c(0.395, 0.088, -0.108, 0.111, -0.183, -0.227, 0.053, -0.087, 0.007)
A31_133 <- c(0.015, -0.114, -0.111, -0.027, 0.227, -0.275, 0.118, 0.064, 0.198)
W_133pars_with0 <- c(0.215, 0.302, 0, 0.384, 0.986, 1.421, 0, 1.296, 0.684)
lambdas2_133 <- c(1.277, 0.573, 1.225)
lambdas3_133 <- c(0.947, 1.241, 0.084)
alpha1_133_1 <- 0.5; alpha2_133_1 <- 0.1 # perm=c(1, 3, 2)
alpha1_133_2 <- 0.3; alpha2_133_2 <- 0.5 # perm=c(2, 1, 3)
alpha1_133_3 <- 0.1; alpha2_133_3 <- 0.2 # perm=c(3, 2, 1)
alpha1_133_4 <- 0.2; alpha2_133_4 <- 0.1 # perm=c(3, 1, 2)
theta_133s_1 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_1, alpha2_133_1)
theta_133s_2 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_2, alpha2_133_2)
theta_133s_3 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_3, alpha2_133_3)
theta_133s_4 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_4, alpha2_133_4)
theta_133ts_1 <- c(theta_133s_1, 10, 20, 30) # SStMVAR
theta_133gss_1 <- c(theta_133s_1, 20, 30) # GS-StMVAR, M1=1, M2=2
set.seed(1); DAT3 <- matrix(round(rnorm(150), 3), ncol=3)
test_that("sort_components works correctly", {
expect_equal(sort_components(p=1, M=1, d=2, params=theta_112), theta_112)
expect_equal(sort_components(p=1, M=2, d=2, params=theta_122), c(upsilon2_122, upsilon1_122, 1-alpha1_122))
expect_equal(sort_components(p=2, M=2, d=2, params=theta_222), c(upsilon2_222, upsilon1_222, 1-alpha1_222))
expect_equal(sort_components(p=2, M=2, d=2, params=theta_222t, model="StMVAR"), c(upsilon2_222, upsilon1_222, 1-alpha1_222, 20, 10))
expect_equal(sort_components(p=2, M=c(1, 1), d=2, params=theta_222gs, model="G-StMVAR"), theta_222gs)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332), theta_332)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332_2), c(upsilon3_332, upsilon2_332, upsilon1_332,
1-alpha1_332_2-alpha2_332_2, alpha2_332_2))
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332_3), c(upsilon1_332, upsilon3_332, upsilon2_332,
alpha1_332_3, 1-alpha1_332_3-alpha2_332_3))
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR"),
c(upsilon3_332, upsilon2_332, upsilon1_332, 1-alpha1_332_2-alpha2_332_2, alpha2_332_2, 30, 20, 10))
expect_equal(sort_components(p=3, M=c(2, 1), d=2, params=theta_332gs_2, model="G-StMVAR"), c(upsilon2_332, upsilon1_332,
upsilon3_332, alpha2_332_2, alpha1_332_2, 30))
expect_equal(sort_components(p=3, M=c(1, 2), d=2, params=theta_332gs_2_2, model="G-StMVAR"),
c(upsilon1_332, upsilon3_332, upsilon2_332, alpha1_332_2, 1-alpha1_332_2-alpha2_332_2, 30, 20))
expect_equal(sort_components(p=3, M=c(2, 1), d=2, params=theta_332gs_3, model="G-StMVAR"), theta_332gs_3)
expect_equal(sort_components(p=3, M=c(1, 2), d=2, params=theta_332gs_3_2, model="G-StMVAR"),
c(upsilon1_332, upsilon3_332, upsilon2_332, alpha1_332_3, 1-alpha1_332_3-alpha2_332_3, 30, 20))
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342),
c(upsilon4_342, upsilon3_342, upsilon2_342, upsilon1_342, 1-alpha1_342-alpha2_342-alpha3_342, alpha3_342, alpha2_342))
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342_2),
c(upsilon3_342, upsilon2_342, upsilon1_342, upsilon4_342, alpha3_342_2, alpha2_342_2, alpha1_342_2))
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342_3),
c(upsilon2_342, upsilon1_342, upsilon4_342, upsilon3_342, alpha2_342_3, alpha1_342_3, 1-alpha1_342_3-alpha2_342_3-alpha3_342_3))
expect_equal(sort_components(p=3, M=c(2, 2), d=2, params=theta_342gs, model="G-StMVAR"), # perm = 2, 1, 4, 3
c(upsilon2_342, upsilon1_342, upsilon4_342, upsilon3_342, alpha2_342, alpha1_342, 1-alpha1_342-alpha2_342-alpha3_342, 40, 30))
expect_equal(sort_components(p=3, M=c(3, 1), d=2, params=theta_342gs_2, model="G-StMVAR"), # perm = 3, 2, 1, 4
c(upsilon3_342, upsilon2_342, upsilon1_342, upsilon4_342, alpha3_342_2, alpha2_342_2, alpha1_342_2, 40))
expect_equal(sort_components(p=3, M=c(1, 3), d=2, params=theta_342gs_3, model="G-StMVAR"), # perm = 1, 2, 4, 3
c(upsilon1_342, upsilon2_342, upsilon4_342, upsilon3_342, alpha1_342_3, alpha2_342_3,
1-alpha1_342_3-alpha2_342_3-alpha3_342_3, 20, 40, 30))
expect_equal(sort_components(p=1, M=2, d=3, params=theta_123), theta_123)
expect_equal(sort_components(p=1, M=2, d=3, params=theta_123_2), c(upsilon2_123, upsilon1_123, 1-alpha1_123_2))
expect_equal(sort_components(p=1, M=2, d=3, params=theta_123t_2, model="StMVAR"), c(upsilon2_123, upsilon1_123, 1-alpha1_123_2, 20, 10))
expect_equal(sort_components(p=2, M=1, d=3, params=theta_213), theta_213)
# Structural (redecompose_Omegas is tested in matcal and should work)
expect_equal(sort_components(p=1, M=2, d=2, params=theta_122s, structural_pars=list(W=W_122)),
c(phi20_122, phi10_122, vec(A21_122), vec(A11_122), redecompose_Omegas(M=2, d=2, W=W_122, lambdas=lambdas_122, perm=2:1),
1-alpha1_122), tolerance=1e-3)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332s, structural_pars=list(W=W_332)), theta_332s)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332s_2, structural_pars=list(W=W_332)),
c(phi30_332, phi20_332, phi10_332, vec(A31_332), vec(A32_332), vec(A33_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A11_332), vec(A12_332), vec(A13_332),
Wvec(redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(lambdas2_332, lambdas3_332), perm=c(3, 2, 1))),
1 - alpha1_332_2 - alpha2_332_2, alpha2_332_2), tolerance=1e-3)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332ts_2, model="StMVAR", structural_pars=list(W=W_332)),
c(phi30_332, phi20_332, phi10_332, vec(A31_332), vec(A32_332), vec(A33_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A11_332), vec(A12_332), vec(A13_332),
Wvec(redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(lambdas2_332, lambdas3_332), perm=c(3, 2, 1))),
1 - alpha1_332_2 - alpha2_332_2, alpha2_332_2, 30, 20, 10), tolerance=1e-3)
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342s, structural_pars=list(W=W_342)), # perm=c(4, 3, 2, 1)
c(phi40_342, phi30_342, phi20_342, phi10_342, phi4_342, phi3_342, phi2_342, phi1_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(4, 3, 2, 1))),
1 - alpha1_342 - alpha2_342 - alpha3_342, alpha3_342, alpha2_342), tolerance=1e-3)
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342s_2, structural_pars=list(W=W_342)), # perm=c(3, 2, 1, 4)
c(phi30_342, phi20_342, phi10_342, phi40_342, phi3_342, phi2_342, phi1_342, phi4_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(3, 2, 1, 4))),
alpha3_342_2, alpha2_342_2, alpha1_342_2), tolerance=1e-3)
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342s_3, structural_pars=list(W=W_342)), # perm=c(2, 1, 4, 3)
c(phi20_342, phi10_342, phi40_342, phi30_342, phi2_342, phi1_342, phi4_342, phi3_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(2, 1, 4, 3))),
alpha2_342_3, alpha1_342_3, 1 - alpha1_342_3 - alpha2_342_3 - alpha3_342_3), tolerance=1e-3)
expect_equal(sort_components(p=3, M=c(1, 3), d=2, params=theta_342gss, model="G-StMVAR", structural_pars=list(W=W_342)), # perm=c(1, 4, 3, 2)
c(phi10_342, phi40_342, phi30_342, phi20_342, phi1_342, phi4_342, phi3_342, phi2_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(1, 4, 3, 2))),
alpha1_342, 1 - alpha1_342 - alpha2_342 - alpha3_342, alpha3_342, 40, 30, 20), tolerance=1e-3)
expect_equal(sort_components(p=3, M=c(2, 2), d=2, params=theta_342gss_2, model="G-StMVAR", structural_pars=list(W=W_342)), # perm=c(2, 1, 3, 4)
c(phi20_342, phi10_342, phi30_342, phi40_342, phi2_342, phi1_342, phi3_342, phi4_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(2, 1, 3, 4))),
alpha2_342_2, alpha1_342_2, alpha3_342_2, 30, 40), tolerance=1e-3)
expect_equal(sort_components(p=3, M=c(3, 1), d=2, params=theta_342gss_3, model="G-StMVAR", structural_pars=list(W=W_342)), # perm=c(2, 1, 3, 4)
c(phi20_342, phi10_342, phi30_342, phi40_342, phi2_342, phi1_342, phi3_342, phi4_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(2, 1, 3, 4))),
alpha2_342_3, alpha1_342_3, alpha3_342_3, 40), tolerance=1e-3)
# p=1, M=3, d=3
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_1, structural_pars=list(W=W_133)), # # perm=c(1, 3, 2)
c(phi10_133, phi30_133, phi20_133, A11_133, A31_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(1, 3, 2))),
alpha1_133_1, 1-alpha1_133_1-alpha2_133_1), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133ts_1, model="StMVAR", structural_pars=list(W=W_133)), # # perm=c(1, 3, 2)
c(phi10_133, phi30_133, phi20_133, A11_133, A31_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(1, 3, 2))),
alpha1_133_1, 1-alpha1_133_1-alpha2_133_1, 10, 30, 20), tolerance=1e-3)
expect_equal(sort_components(p=1, M=c(1, 2), d=3, params=theta_133gss_1, model="G-StMVAR", structural_pars=list(W=W_133)), # # perm=c(1, 3, 2)
c(phi10_133, phi30_133, phi20_133, A11_133, A31_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(1, 3, 2))),
alpha1_133_1, 1-alpha1_133_1-alpha2_133_1, 30, 20), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_1, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_1, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_2, structural_pars=list(W=W_133)), # # perm=c(2, 1, 3)
c(phi20_133, phi10_133, phi30_133, A21_133, A11_133, A31_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(2, 1, 3))),
alpha2_133_2, alpha1_133_2), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_2, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_2, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_3, structural_pars=list(W=W_133)), # # perm=c(3, 2, 1)
c(phi30_133, phi20_133, phi10_133, A31_133, A21_133, A11_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(3, 2, 1))),
1-alpha2_133_3-alpha1_133_3, alpha2_133_3), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_3, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_3, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_4, structural_pars=list(W=W_133)), # # perm=c(3, 1, 2)
c(phi30_133, phi10_133, phi20_133, A31_133, A11_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(3, 1, 2))),
1-alpha2_133_4-alpha1_133_4, alpha1_133_4), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_4, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_4, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
})
calc_mu <- function(p, M, d, params, model=c("GMVAR", "StMVAR", "G-StMVAR"), constraints=NULL, weight_constraints=NULL,
structural_pars=NULL) {
model <- match.arg(model)
params <- reform_constrained_pars(p, M, d, params, model=model, constraints=constraints, same_means=NULL,
weight_constraints=weight_constraints, structural_pars=structural_pars)
all_A <- pick_allA(p=p, M=M, d=d, params=params, structural_pars=structural_pars)
all_phi0 <- pick_phi0(p=p, M=M, d=d, params=params, structural_pars=structural_pars)
M <- sum(M)
vapply(1:M, function(m) solve(diag(d) - rowSums(all_A[, , , m, drop=FALSE], dims=2), all_phi0[,m]), numeric(d))
}
theta_112_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112, change_to="mean")
theta_122_mu <- change_parametrization(p=1, M=2, d=2, params=theta_122, change_to="mean")
theta_222_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222, change_to="mean")
theta_332_mu <- change_parametrization(p=3, M=3, d=2, params=theta_332, change_to="mean")
theta_342_mu <- change_parametrization(p=3, M=4, d=2, params=theta_342, change_to="mean")
theta_123_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123, change_to="mean")
theta_213_mu <- change_parametrization(p=2, M=1, d=3, params=theta_213, change_to="mean")
theta_222t_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222t, model="StMVAR", change_to="mean")
theta_222gs_mu <- change_parametrization(p=2, M=c(1, 1), d=2, params=theta_222gs, model="G-StMVAR", change_to="mean")
theta_332gs_mu <- change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gs, model="G-StMVAR", change_to="mean")
theta_332gs_mu2 <- change_parametrization(p=3, M=c(2, 1), d=2, params=theta_332gs2, model="G-StMVAR", change_to="mean")
theta_112c_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112c, constraints=C_112, change_to="mean")
theta_222c_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222c, constraints=C_222, change_to="mean")
theta_222c_mu2 <- change_parametrization(p=2, M=2, d=2, params=theta_222_c2, constraints=C_222_2, change_to="mean")
theta_123c_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123c, constraints=C_123, change_to="mean")
theta_123tc_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123tc, model="StMVAR", constraints=C_123, change_to="mean")
theta_332gsc_mu <- change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gsc, model="G-StMVAR", constraints=C_332, change_to="mean")
# SGMVAR
theta_112s_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112s, structural_pars=list(W=W_112), change_to="mean")
theta_222s_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222s, structural_pars=list(W=W_222), change_to="mean")
theta_123s_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123s, structural_pars=list(W=W_123), change_to="mean")
theta_112csWAR_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112csWAR, structural_pars=list(W=W_112),
constraints=C_112, change_to="mean")
theta_222csLAR_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222csLAR, structural_pars=list(W=W_222),
constraints=C_222, change_to="mean")
theta_123csL_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123csL, structural_pars=list(W=W_123),
constraints=NULL, change_to="mean")
theta_123gss_mu <- change_parametrization(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR",
structural_pars=list(W=W_123), change_to="mean")
theta_112tcsWAR_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112tcsWAR, model="StMVAR",
structural_pars=list(W=W_112), constraints=C_112, change_to="mean")
theta_123tcsLAR_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123tcsLAR, model="StMVAR", structural_pars=list(W=W_123),
constraints=C_123, change_to="mean")
# Weight and lambda constraints
theta_122w_mu <- change_parametrization(p=1, M=2, d=2, params=theta_122w, model="GMVAR", weight_constraints=0.7, change_to="mean")
theta_122wsF_mu <- change_parametrization(p=1, M=2, d=2, params=theta_122wsF, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1)), change_to="mean")
theta_332gswsWF_mu <- change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)), change_to="mean")
theta_222tcwsL_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222), change_to="mean")
theta_123twsF_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)), change_to="mean")
theta_123w_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123w, model="GMVAR", weight_constraints=0.6, change_to="mean")
test_that("change_parametrization works correctly", {
expect_equal(pick_phi0(p=1, M=1, d=2, params=theta_112_mu), calc_mu(p=1, M=1, d=2, params=theta_112))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112_mu, change_to="intercept"), theta_112)
expect_equal(pick_phi0(p=1, M=2, d=2, params=theta_122_mu), calc_mu(p=1, M=2, d=2, params=theta_122))
expect_equal(change_parametrization(p=1, M=2, d=2, params=theta_122_mu, change_to="intercept"), theta_122)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222_mu), calc_mu(p=2, M=2, d=2, params=theta_222))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222_mu, change_to="intercept"), theta_222)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222t_mu), calc_mu(p=2, M=2, d=2, params=theta_222t, model="StMVAR"))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222t_mu, model="StMVAR", change_to="intercept"), theta_222t)
expect_equal(pick_phi0(p=2, M=c(1, 1), d=2, params=theta_222gs_mu), calc_mu(p=2, M=2, d=2, params=theta_222gs, model="G-StMVAR"))
expect_equal(change_parametrization(p=2, M=c(1, 1), d=2, params=theta_222gs_mu, model="G-StMVAR", change_to="intercept"), theta_222gs)
expect_equal(pick_phi0(p=3, M=3, d=2, params=theta_332_mu), calc_mu(p=3, M=3, d=2, params=theta_332))
expect_equal(change_parametrization(p=3, M=3, d=2, params=theta_332_mu, change_to="intercept"), theta_332)
expect_equal(pick_phi0(p=3, M=c(1, 2), d=2, params=theta_332gs_mu), calc_mu(p=3, M=3, d=2, params=theta_332gs, model="G-StMVAR"))
expect_equal(change_parametrization(p=3, M=c(2, 1), d=2, params=theta_332gs_mu, model="G-StMVAR", change_to="intercept"), theta_332gs)
expect_equal(pick_phi0(p=3, M=c(1, 2), d=2, params=theta_332gs_mu2), calc_mu(p=3, M=3, d=2, params=theta_332gs2, model="G-StMVAR"))
expect_equal(change_parametrization(p=3, M=c(2, 1), d=2, params=theta_332gs_mu2, model="G-StMVAR", change_to="intercept"), theta_332gs2)
expect_equal(pick_phi0(p=3, M=4, d=2, params=theta_342_mu), calc_mu(p=3, M=4, d=2, params=theta_342))
expect_equal(change_parametrization(p=3, M=4, d=2, params=theta_342_mu, change_to="intercept"), theta_342)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123_mu), calc_mu(p=1, M=2, d=3, params=theta_123))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123_mu, change_to="intercept"), theta_123)
expect_equal(pick_phi0(p=2, M=1, d=3, params=theta_213_mu), calc_mu(p=2, M=1, d=3, params=theta_213))
expect_equal(change_parametrization(p=2, M=1, d=3, params=theta_213_mu, change_to="intercept"), theta_213)
expect_equal(matrix(theta_112c_mu[1:(1*2)], nrow=2, byrow=FALSE), calc_mu(p=1, M=1, d=2, constraints=C_112, params=theta_112c))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112c_mu, constraints=C_112, change_to="intercept"), theta_112c)
expect_equal(matrix(theta_222c_mu[1:(2*2)], nrow=2, byrow=FALSE), calc_mu(p=2, M=2, d=2, constraints=C_222, params=theta_222c))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222c_mu, constraints=C_222, change_to="intercept"), theta_222c)
expect_equal(matrix(theta_222c_mu2[1:(2*2)], nrow=2, byrow=FALSE), calc_mu(p=2, M=2, d=2, constraints=C_222_2, params=theta_222_c2))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222c_mu2, constraints=C_222_2, change_to="intercept"), theta_222_c2)
expect_equal(matrix(theta_123c_mu[1:(2*3)], nrow=3, byrow=FALSE), calc_mu(p=1, M=2, d=3, constraints=C_123, params=theta_123c))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123c_mu, constraints=C_123, change_to="intercept"), theta_123c)
expect_equal(matrix(theta_123tc_mu[1:(2*3)], nrow=3, byrow=FALSE),
calc_mu(p=1, M=2, d=3, constraints=C_123, params=theta_123tc, model="StMVAR"))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123tc_mu, constraints=C_123, model="StMVAR", change_to="intercept"),
theta_123tc)
expect_equal(matrix(theta_332gsc_mu[1:(3*2)], nrow=2, byrow=FALSE), calc_mu(p=3, M=c(1, 2), d=2, constraints=C_332,
params=theta_332gsc, model="G-StMVAR"))
expect_equal(change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gsc_mu, constraints=C_332, model="G-StMVAR",
change_to="intercept"), theta_332gsc)
# Structural
expect_equal(pick_phi0(p=1, M=1, d=2, params=theta_112s_mu, structural_pars=list(W=W_112)),
calc_mu(p=1, M=1, d=2, params=theta_112s, structural_pars=list(W=W_112)))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112s_mu, structural_pars=list(W=W_112), change_to="intercept"), theta_112s)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222s_mu, structural_pars=list(W=W_222)),
calc_mu(p=2, M=2, d=2, params=theta_222s, structural_pars=list(W=W_222)))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222s_mu, structural_pars=list(W=W_222), change_to="intercept"), theta_222s)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123s_mu, structural_pars=list(W=W_123)),
calc_mu(p=1, M=2, d=3, params=theta_123s, structural_pars=list(W=W_123)))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123s_mu, change_to="intercept", structural_pars=list(W=W_123)), theta_123s)
expect_equal(pick_phi0(p=1, M=c(1, 1), d=3, params=theta_123gss_mu, structural_pars=list(W=W_123)),
calc_mu(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", structural_pars=list(W=W_123)))
expect_equal(change_parametrization(p=1, M=c(1, 1), d=3, params=theta_123gss_mu, model="G-StMVAR",
change_to="intercept", structural_pars=list(W=W_123)), theta_123gss)
expect_equal(matrix(theta_112csWAR_mu[1:(1*2)], nrow=2, byrow=FALSE),
calc_mu(p=1, M=1, d=2, constraints=C_112, structural_pars=list(W=W_112), params=theta_112csWAR))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112csWAR_mu, constraints=C_112, structural_pars=list(W=W_112),
change_to="intercept"),
theta_112csWAR)
expect_equal(matrix(theta_112tcsWAR_mu[1:(1*2)], nrow=2, byrow=FALSE),
calc_mu(p=1, M=1, d=2, params=theta_112csWAR, model="StMVAR", constraints=C_112, structural_pars=list(W=W_112)))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112tcsWAR_mu, model="StMVAR", constraints=C_112,
structural_pars=list(W=W_112), change_to="intercept"),
theta_112tcsWAR)
expect_equal(matrix(theta_222csLAR_mu[1:(2*2)], nrow=2, byrow=FALSE),
calc_mu(p=2, M=2, d=2, constraints=C_222, structural_pars=list(W=W_222), params=theta_222csLAR))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222csLAR_mu, constraints=C_222, structural_pars=list(W=W_222),
change_to="intercept"),
theta_222csLAR)
expect_equal(matrix(theta_123csL_mu[1:(2*3)], nrow=3, byrow=FALSE),
calc_mu(p=1, M=2, d=3, constraints=NULL, structural_pars=list(W=W_123), params=theta_123csL))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123csL_mu, constraints=NULL, structural_pars=list(W=W_123),
change_to="intercept"),
theta_123csL)
expect_equal(matrix(theta_123tcsLAR_mu[1:(2*3)], nrow=3, byrow=FALSE),
calc_mu(p=1, M=2, d=3, constraints=C_123, structural_pars=list(W=W_123, C_lambda=C_lambda_123), params=theta_123tcsLAR))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123tcsLAR_mu, constraints=C_123, model="StMVAR",
structural_pars=list(W=W_123, C_lambda=C_lambda_123), change_to="intercept"),
theta_123tcsLAR)
# Fixed lambdas or alphas
expect_equal(pick_phi0(p=1, M=2, d=2, params=theta_122w_mu), calc_mu(p=1, M=2, d=2, params=theta_122w, model="GMVAR", weight_constraints=0.7))
expect_equal(change_parametrization(p=1, M=2, d=2, params=theta_122w_mu, model="GMVAR", weight_constraints=0.7, change_to="intercept"),
theta_122w)
expect_equal(pick_phi0(p=1, M=2, d=2, params=theta_122wsF_mu, structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))),
calc_mu(p=1, M=2, d=2, params=theta_122wsF, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))))
expect_equal(change_parametrization(p=1, M=2, d=2, params=theta_122wsF_mu, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1)), change_to="intercept"), theta_122wsF)
expect_equal(pick_phi0(p=3, M=c(1, 2), d=2, params=theta_332gswsWF_mu, structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
calc_mu(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))))
expect_equal(change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gswsWF_mu, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)), change_to="intercept"), theta_332gswsWF)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222tcwsL_mu, structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
calc_mu(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222)))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222tcwsL_mu, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222), change_to="intercept"), theta_222tcwsL)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123twsF_mu, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))),
calc_mu(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123twsF_mu, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)), change_to="intercept"), theta_123twsF)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123w_mu),
calc_mu(p=1, M=2, d=3, params=theta_123w, model="GMVAR", weight_constraints=0.6))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123w_mu, model="StMVAR", weight_constraints=0.6,
change_to="intercept"), theta_123w)
})
theta_122_cr <- c(upsilon2_122, upsilon2_122, alpha1_122)
theta_222_cr <- c(upsilon1_222, upsilon1_222, alpha1_222)
theta_332_cr <- c(upsilon1_332, upsilon2_332, upsilon2_332, alpha1_332, alpha2_332)
theta_123_cr1 <- c(upsilon1_123, upsilon1_123, alpha1_123)
theta_123_cr2 <- c(upsilon2_123, upsilon2_123, alpha1_123)
theta_222s <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), lambdas_222, alpha1_222)
theta_122t_cr <- c(theta_122_cr, 15, 20) # StMVAR
theta_222gs_cr <- c(theta_222_cr, 25) # G-StMVAR, M1=1, M2=1
theta_332gs_cr <- c(theta_332_cr, 20, 35) # G-StMVAR, M1=1, M2=2
theta_332gs_cr2 <- c(upsilon2_332, upsilon2_332, upsilon3_332, alpha1_332, alpha2_332, 20, 30) # G-StMVAR, M1=1, M2=2
theta_123t_cr <- c(theta_123_cr1, 20, 30) # StMVAR
## A(M)(p)_(p)(M)(d)
theta_122_crs <- c(phi10_122, phi10_122, vec(A11_122), vec(A11_122), Wvec(W_122), lambdas_122, alpha1_122)
theta_122_crs2 <- c(phi20_122, phi20_122, vec(A21_122), vec(A21_122), Wvec(W_122), lambdas_122, alpha1_122)
theta_222_crs <- c(phi10_222, phi10_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222), Wvec(W_222), lambdas_222, alpha1_222)
theta_332_crs <- c(phi10_332, phi20_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A21_332), vec(A22_332), vec(A23_332),
Wvec(W_332), lambdas2_332, lambdas3_332, alpha1_332, alpha2_332)
theta_123_crs <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), Wvec(W_123), lambdas_123, alpha1_123)
theta_123_crs2 <- c(phi20_123, phi20_123, vec(A21_123), vec(A21_123), Wvec(W_123), lambdas_123, alpha1_123)
theta_222t_crs <- c(theta_222_crs, 10, 25) # SStMVAR
theta_332gs_crs <- c(theta_332_crs, 20, 35) # SG-StMVAR, M1=1, M2=2
theta_123gs_crs <- c(theta_123_crs, 30) # SG-StMVAR, M1=1, M2=1
theta_123gs_crs2 <- c(theta_123_crs2, 25) # SG-StMVAR, M1=1, M2=1
test_that("change_regime works correctly", {
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122, m=1, regime_pars=upsilon2_122), theta_122_cr)
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122t, model="StMVAR", m=1, regime_pars=c(upsilon2_122, 15)), theta_122t_cr)
expect_equal(change_regime(p=2, M=2, d=2, params=theta_222, m=2, regime_pars=upsilon1_222), theta_222_cr)
expect_equal(change_regime(p=2, M=c(1, 1), d=2, params=theta_222gs, model="G-StMVAR", m=2, regime_pars=c(upsilon1_222, 25)), theta_222gs_cr)
expect_equal(change_regime(p=3, M=3, d=2, params=theta_332, m=3, regime_pars=upsilon2_332), theta_332_cr)
expect_equal(change_regime(p=3, M=c(1, 2), d=2, params=theta_332gs, model="G-StMVAR", m=3, regime_pars=c(upsilon2_332, 35)), theta_332gs_cr)
expect_equal(change_regime(p=3, M=c(1, 2), d=2, params=theta_332gs, model="G-StMVAR", m=1, regime_pars=c(upsilon2_332)), theta_332gs_cr2)
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123, m=2, regime_pars=upsilon1_123), theta_123_cr1)
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123t, m=2, model="StMVAR", regime_pars=c(upsilon1_123, 30)), theta_123t_cr)
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123, m=1, regime_pars=upsilon2_123), theta_123_cr2)
# SGMVAR
rpars122_m1 <-c(phi20_122, vec(A21_122))
rpars122_m2 <-c(phi10_122, vec(A11_122))
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122s, m=2, regime_pars=rpars122_m2,
structural_pars=list(W=W_122)), theta_122_crs, tol=1-6)
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122s, m=1, regime_pars=rpars122_m1,
structural_pars=list(W=W_122)), theta_122_crs2, tol=1e-6)
rpars222_m2 <- c(phi10_222, vec(A11_222), vec(A12_222))
expect_equal(change_regime(p=2, M=2, d=2, params=theta_222s, m=2, regime_pars=rpars222_m2,
structural_pars=list(W=W_222)), theta_222_crs, tol=1-6)
expect_equal(change_regime(p=2, M=2, d=2, params=theta_222ts, model="StMVAR", m=2, regime_pars=c(rpars222_m2, 25),
structural_pars=list(W=W_222)), theta_222t_crs, tol=1-6)
rpars332_m3 <- c(phi20_332, vec(A21_332), vec(A22_332), vec(A23_332))
expect_equal(change_regime(p=3, M=3, d=2, params=theta_332sWC, m=3, regime_pars=rpars332_m3,
structural_pars=list(W=W_332)), theta_332_crs, tol=1-6)
expect_equal(change_regime(p=3, M=c(1, 2), d=2, params=theta_332gssWC, model="G-StMVAR", m=3, regime_pars=c(rpars332_m3, 35),
structural_pars=list(W=W_332)), theta_332gs_crs, tol=1-6)
rpars123_m2 <- c(phi10_123, vec(A11_123))
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123s, m=2, regime_pars=rpars123_m2,
structural_pars=list(W=W_123)), theta_123_crs, tol=1-6)
expect_equal(change_regime(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", m=2, regime_pars=c(rpars123_m2, 30),
structural_pars=list(W=W_123)), theta_123gs_crs, tol=1-6)
rpars123_m1 <- c(phi20_123, vec(A21_123))
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123s, m=1, regime_pars=rpars123_m1,
structural_pars=list(W=W_123)), theta_123_crs2, tol=1-6)
expect_equal(change_regime(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", m=1, regime_pars=rpars123_m1,
structural_pars=list(W=W_123)), theta_123gs_crs2, tol=1-6)
})
params122s <- c(1.03, 2.36, 1.79, 3, 1, -0.06, -0.04, 1, 1.02, -0.04, -0.02, 1.02, -0.89, -0.72, 0.37, -2.16, 7.16, 1.3, 0.37)
params222s <- c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, -0.89, -0.72, 0.37, -2.16, 7.16, 1.3, 0.37)
params222s_2 <- c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, -0.89, -0.72, 0.37, -2.16, 1.16, 1.3, 0.37)
params123s <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 1.13, 1.12, 1.08, 0.6)
params123s_2 <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 1.08, 1.13, 1.12, 0.6)
params123s_3 <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 1.12, 1.08, 1.13, 0.6)
params222cs <- c(-0.11, 2.83, 0.36, 3.19, 1.26, 1.34, -0.29, -0.36, -0.88, -0.76, 0.46, -2.16, 6.97, 1.2, 0.35)
params123cs <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 3, 1, 2, 0.6)
params122csm <- c(1.03, 2.36, 1, -0.06, -0.04, 1, -0.89, -0.72, 0.37, -2.16, 2, 1, 0.37)
params222csm <- c(1.03, 2.36, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, -0.89, -0.72, 0.37, -2.16, 2, 1, 0.37)
params123csm <- c(1.1, 2.2, 3.3, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2, -0.32, -0.13,
-0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 3, 2, 1, 0.6)
# structural_pars=list(W=matrix(c(1, 1, NA, NA), nrow=2, byrow=FALSE))
params132s <- c(1.15, 0.28, 0.32, 0.16, 1.83, 0.64, 0.13, -0.03, -1.05, 0.42, 0.46, 0.11, 0.14, 0.66, 0.08,
-0.03, -0.73, 0.66, 0.58, 0.02, -0.07, 0.11, 4, 1, 3.81, 10.75, 0.43, 0.4)
# SStMVAR
params122ts <- c(params122s, 10, 20)
params222ts <- c(params222s, 10, 20)
params123ts_2 <- c(params123s_2, 10, 20)
params222tcs <- c(params222cs, 10, 20)
params123tcsm <- c(params123csm, 10, 20)
# SG-StMVAR
params222gss_2 <- c(params222s_2, 20) # M1=1, M2=1
params123gss_3 <- c(params123s_3, 20) # M1=1, M2=1
params132gss <- c(params132s, 30) # M1=2, M1=1
params132gss_2 <- c(params132s, 20, 30) # M1=1, M2=2
params123gscs <- c(params123cs, 20) # M1=1, M2=1
params222gscsm <- c(params222csm, 20) # M1=1, M2=1
test_that("sort_W_and_lambdas works correctly", {
expect_equal(sort_W_and_lambdas(p=1, M=2, d=2, params=params122s),
c(1.03, 2.36, 1.79, 3, 1, -0.06, -0.04, 1, 1.02, -0.04, -0.02, 1.02, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=2, params=params122ts, model="StMVAR"),
c(1.03, 2.36, 1.79, 3, 1, -0.06, -0.04, 1, 1.02, -0.04, -0.02, 1.02, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37, 10, 20))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222s),
c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222ts, model="StMVAR"),
c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37, 10, 20))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222s_2), params222s_2)
expect_equal(sort_W_and_lambdas(p=2, M=c(1, 1), d=2, params=params222gss_2, model="G-StMVAR"), params222gss_2)
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123s),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 0.47, 0.39, -1.23, 1.08, 1.12, 1.13, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123s_2),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 1.08, 1.12, 1.13, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123ts_2, model="StMVAR"),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 1.08, 1.12, 1.13, 0.6, 10, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123s_3),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 1.08, 1.12, 1.13, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=c(1, 1), d=3, params=params123gss_3, model="G-StMVAR"),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 1.08, 1.12, 1.13, 0.6, 20))
expect_equal(sort_W_and_lambdas(p=1, M=c(2, 1), d=2, params=params132gss, model="G-StMVAR"),
c(1.15, 0.28, 0.32, 0.16, 1.83, 0.64, 0.13, -0.03, -1.05, 0.42, 0.46, 0.11, 0.14, 0.66, 0.08,
-0.03, -0.73, 0.66, -0.07, 0.11, 0.58, 0.02, 1, 4, 10.75, 3.81, 0.43, 0.4, 30))
expect_equal(sort_W_and_lambdas(p=1, M=c(1, 2), d=2, params=params132gss_2, model="G-StMVAR"),
c(1.15, 0.28, 0.32, 0.16, 1.83, 0.64, 0.13, -0.03, -1.05, 0.42, 0.46, 0.11, 0.14, 0.66, 0.08,
-0.03, -0.73, 0.66, -0.07, 0.11, 0.58, 0.02, 1, 4, 10.75, 3.81, 0.43, 0.4, 20, 30))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222cs),
c(-0.11, 2.83, 0.36, 3.19, 1.26, 1.34, -0.29, -0.36, 0.46, -2.16, -0.88, -0.76, 1.2, 6.97, 0.35))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222tcs, model="StMVAR"),
c(-0.11, 2.83, 0.36, 3.19, 1.26, 1.34, -0.29, -0.36, 0.46, -2.16, -0.88, -0.76, 1.2, 6.97, 0.35, 10, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123cs),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 0.47, 0.39, -1.23, 1, 2, 3, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=c(1, 1), d=3, params=params123gscs, model="G-StMVAR"),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 0.47, 0.39, -1.23, 1, 2, 3, 0.6, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=2, params=params122csm),
c(1.03, 2.36, 1, -0.06, -0.04, 1, 0.37, -2.16, -0.89, -0.72, 1, 2, 0.37))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222csm),
c(1.03, 2.36, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 0.37, -2.16, -0.89, -0.72, 1, 2, 0.37))
expect_equal(sort_W_and_lambdas(p=2, M=c(1, 1), d=2, params=params222gscsm, model="G-StMVAR"),
c(1.03, 2.36, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 0.37, -2.16, -0.89, -0.72, 1, 2, 0.37, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123tcsm, model="StMVAR"),
c(1.1, 2.2, 3.3, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2, -0.32, -0.13,
-0.23, -3, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 0.47, 0.39, -1.23, 1, 2, 3, 0.6, 10, 20))
})
test_that("sort_and_standardize_alphas works correctly", {
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), constraints=1), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.2, 0.5), same_means=1), c(0.3, 0.2, 0.5))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.2, 0.5), structural_pars=list(W=1, C_lambda=1)), c(0.3, 0.2, 0.5))
expect_equal(sort_and_standardize_alphas(alphas=c(3, 1, 6), constraints=1), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.9, 0.1)), c(0.9, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(0.4, 0.6)), c(0.6, 0.4))
expect_equal(sort_and_standardize_alphas(alphas=c(4, 6)), c(0.6, 0.4))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6)), c(0.6, 0.3, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(8, 2), structural_pars=list(1)), c(0.8, 0.2))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.7), structural_pars=list(1)), c(0.7, 0.3))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), structural_pars=list(1)), c(0.6, 0.3, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(3, 2, 5), structural_pars=list(1)), c(0.5, 0.3, 0.2))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), model="StMVAR"), c(0.6, 0.3, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(4, 6), model="StMVAR"), c(0.6, 0.4))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), constraints=1, model="G-StMVAR"), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.4, 0.6), M=c(1, 1), model="G-StMVAR"), c(0.4, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(4, 6), M=c(1, 1), model="G-StMVAR"), c(0.4, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), M=c(1, 2), model="G-StMVAR"), c(0.3, 0.6, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(3, 1, 6), M=c(2, 1), model="G-StMVAR"), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(1, 2, 3, 4), M=c(2, 2), model="G-StMVAR"), c(0.2, 0.1, 0.4, 0.3))
expect_equal(sort_and_standardize_alphas(alphas=c(1, 2, 3, 4), M=c(1, 3), model="G-StMVAR"), c(0.1, 0.4, 0.3, 0.2))
expect_equal(sort_and_standardize_alphas(alphas=c(1, 3, 2, 4), M=c(3, 1), model="G-StMVAR"), c(0.3, 0.2, 0.1, 0.4))
})
theta_112t_2 <- c(theta_112, 10)
theta_222_sorted <- sort_components(p=2, M=2, d=2, params=theta_222)
theta_222t_2 <- c(theta_222, 22, 20)
theta_222t_3 <- c(theta_222, 10, 20)
theta_222gs_2 <- c(theta_222, 100)
theta_332t_2 <- c(theta_332, 10, 20, 30)
theta_332t_3 <- c(theta_332, 10, 30, 20)
theta_332gs_2 <- c(theta_332, 20, 30)
# p=1, M=2, d=2, model="StMVAR", weight_constraints=0.83, structural_pars=list(W=W_122, fixed_lambdas=c(7, 3))
params12twsF <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), 10, 1000)
test_that("stmvarpar_to_gstmvar works correctly", {
expect_equal(suppressWarnings(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=100)$params),
theta_112t_2, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=9)$params), theta_112, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=9)$reg_order), 1, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=9)$M), c(1, 0), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112ts, model="StMVAR", maxdf=9)$params), theta_112s, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222t_2, model="StMVAR", maxdf=10)$params),
theta_222_sorted, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222t_2, model="StMVAR", maxdf=20)$params),
c(theta_222, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222t_3, model="StMVAR", maxdf=10)$params),
c(theta_222_sorted, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=c(1, 1), d=2, params=theta_222gs_2, model="G-StMVAR", maxdf=20)$params),
theta_222_sorted, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=20)$params),
c(upsilon3_332, upsilon1_332, upsilon2_332, 1-alpha1_332-alpha2_332, alpha1_332, 10, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=20)$M), c(1, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=20)$reg_order),
c(3, 1, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=10)$params),
c(upsilon2_332, upsilon3_332, upsilon1_332, alpha2_332, 1-alpha1_332-alpha2_332, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_3, model="StMVAR", maxdf=20)$params),
c(upsilon2_332, upsilon1_332, upsilon3_332, alpha2_332, alpha1_332, 10, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_3, model="StMVAR", maxdf=20)$M), c(1, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_3, model="StMVAR", maxdf=20)$reg_order),
c(2, 1, 3), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gs_2, model="G-StMVAR", maxdf=20)$params),
c(upsilon1_332, upsilon3_332, upsilon2_332, alpha1_332, 1-alpha1_332-alpha2_332, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gs_2, model="G-StMVAR", maxdf=20)$M),
c(2, 1), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gs_2, model="G-StMVAR", maxdf=20)$reg_order),
c(1, 3, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112tcsWAR, model="StMVAR", constraints=C_112,
structural_pars=list(W=W_112), maxdf=3)$params), theta_112csWAR, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=c(1, 1), d=2, params=c(theta_122c, 10), model="G-StMVAR",
constraints=C_122, maxdf=3)$params),
c(phi20_122, vec(A11_122), vech(Omega2_122), phi10_122, vec(A11_122), vech(Omega1_122), 1-alpha1_122), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=c(1, 1), d=2, params=c(theta_122csLAR, 10), model="G-StMVAR",
constraints=C_122, structural_pars=list(W=W_122, C_lambda=C_lambda_122), maxdf=3)$params),
c(phi20_122, phi10_122, vec(A11_122), vec(A11_122), redecompose_Omegas(M=2, d=2, W=W_122, lambdas=c(0.5, 0.5), perm=2:1)[1:4],
2, 2, 1-alpha1_122), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c, 20, 10), model="StMVAR", constraints=C_222,
maxdf=10)$params),
c(theta_222c, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c, 10, 20), model="StMVAR", constraints=C_222,
maxdf=10)$params),
c(phi20_222, vec(A11_222), vec(A12_222), vech(Omega2_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega1_222), 1-alpha1_222, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=c(theta_332csWLAR, 20, 30), model="G-StMVAR",
constraints=C_332, structural_pars=list(W=W_332, C_lambda=C_lambda_332), maxdf=20)$params),
c(phi10_332, phi30_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332),
vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), 2, 2, 1, 1, alpha1_332, 1-alpha1_332-alpha2_332, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c_int, 10, 20), model="StMVAR",
constraints=C_222, same_means=list(1:2), maxdf=10)$params),
c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega2_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega1_222), 1-alpha1_222, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c_int, 20, 10), model="StMVAR",
constraints=C_222, same_means=list(1:2), maxdf=10)$params),
c(theta_222c_int, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c_int, 20, 10), model="StMVAR",
constraints=C_222, same_means=list(1:2), maxdf=10)$same_means),
list(1:2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=c(theta_332c_int, 30, 20), model="G-StMVAR",
constraints=C_332, structural_pars=list(W=W_332, C_lambda=C_lambda_332), maxdf=20)$params),
c(theta_332c_int, 20), tol=1e-6)
redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(1, 1, 2), perm=2:1)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=c(theta_123csLAR_int, 10, 20), model="StMVAR", constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123), same_means=list(1:2),
maxdf=10)$params),
c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(1, 1, 2), perm=2:1)[1:9],
1, 1, 0.5, 1-alpha1_123, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=11.5)$params),
c(upsilon2_122, upsilon1_122, 11), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=11.5)$weight_constraints), 0.3, tol=1e-6)
expect_equal(suppressWarnings(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=13)$params), theta_122tw, tol=1e-6)
expect_equal(suppressWarnings(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=13)$weight_constraints), 0.7, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=c(1, 1), d=2, params=theta_122gsws, model="G-StMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122), maxdf=10)$params),
c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR",
weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)), maxdf=11.5)$params),
c(phi10_332, phi30_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A31_332),
vec(A32_332), vec(A33_332), vec(A21_332), vec(A22_332), vec(A23_332), Wvec(W_332), 11), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR",
weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$weight_constraints), c(0.5, 0.2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR",
weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$fixed_lambdas),
c(6, 1, 7, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR",
constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222),
maxdf=10)$params),
c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR",
weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)),
maxdf=11.5)$params),
c(phi20_123, phi10_123, vec(A21_123), vec(A11_123),
redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(3, 2, 1), perm=2:1)[1:9], 11), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR",
weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)),
maxdf=11.5)$weight_constraints), 0.4, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR",
weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)),
maxdf=11.5)$fixed_lambdas),
redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(3, 2, 1), perm=2:1)[10:12], tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$params),
c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332)), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$weight_constraints), c(0.5, 0.3), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$same_means), list(1, 2:3), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$fixed_lambdas), NULL, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR",
same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$params),
c(phi10_332, phi30_332, vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
vec(A11_332), vec(A12_332), vec(A13_332),
Wvec(redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(7, 2, 6, 1), perm=c(2, 3, 1))[1:4]),
alpha2_332, 1-alpha1_332-alpha2_332, 11),
tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR",
same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$same_means), list(c(1, 3), 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR",
same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$fixed_lambdas),
redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(7, 2, 6, 1), perm=c(2, 3, 1))[5:8], tol=1e-6)
expect_equal(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=params12twsF, model="StMVAR", weight_constraints=0.83,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 3)), maxdf=100)$params,
c(phi20_122, phi10_122, vec(A21_122), vec(A11_122),
redecompose_Omegas(M=2, d=2, W=W_122, lambdas=c(7, 3), perm=2:1)[1:4], 10), tolerance=1e-6)
expect_equal(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=params12twsF, model="StMVAR", weight_constraints=0.83,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 3)), maxdf=100)$weight_constraints,
1 - 0.83, tolerance=1e-6)
expect_equal(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=params12twsF, model="StMVAR", weight_constraints=0.83,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 3)), maxdf=100)$fixed_lambdas,
c(0.1428571, 0.3333333), tolerance=1e-5)
})
rpars122_1 <-c(phi20_122, vec(A21_122))
rpars122_2 <-c(phi10_122, vec(A11_122))
rpars122t_1 <- c(rpars122_1, 1001)
rpars122t_2 <- c(rpars122_2, 1010)
rpars332_1 <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332))
rpars332_2 <- c(phi20_332, vec(A21_332), vec(A22_332), vec(A23_332))
rpars332t_1 <- c(rpars332_1, 3)
rpars332t_2 <- c(rpars332_2, 13)
test_that("regime_distance works correctly", {
expect_equal(regime_distance(regime_pars1=rpars122_1, regime_pars2=rpars122_2), 1.274159, tol=1e-4)
expect_equal(regime_distance(regime_pars1=rpars122t_1, regime_pars2=rpars122t_2), 1.274159, tol=1e-4)
expect_equal(regime_distance(regime_pars1=rpars332_1, regime_pars2=rpars332_2), 0.7478055, tol=1e-4)
expect_equal(regime_distance(regime_pars1=rpars332t_1, regime_pars2=rpars332t_2), 0.7668853, tol=1e-4)
})
Try the gmvarkit package in your browser
Any scripts or data that you put into this service are public.
gmvarkit documentation built on Nov. 15, 2023, 1:07 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
context("Parameter reforms")
library(gmvarkit)
data0 <- t(t(gdpdef))
data2 <- unname(data0)
data3 <- cbind(1:244, data2)
n_obs <- nrow(data3) # 244
dat2_1 <- reform_data(data2, p=1)
dat2_2 <- reform_data(data2, p=2)
dat2_3 <- reform_data(data2, p=3)
dat3_1 <- reform_data(data3, p=1)
dat3_2 <- reform_data(data3, p=2)
test_that("reform_data works correctly", {
expect_equal(dat2_1, data2)
expect_equal(nrow(dat2_2), n_obs - 2 + 1)
expect_equal(dat2_2[1,], c(data2[2,], data2[1,]))
expect_equal(dat2_2[23,], c(data2[24,], data2[23,]))
expect_equal(dat2_2[nrow(dat2_2),], c(data2[244,], data2[243,]))
expect_equal(nrow(dat2_3), n_obs - 3 + 1)
expect_equal(dat2_3[1,], c(data2[3,], data2[2,], data2[1,]))
expect_equal(dat2_3[100,], c(data2[102,], data2[101,], data2[100,]))
expect_equal(dat2_3[nrow(dat2_3),], c(data2[244,], data2[243,], data2[242,]))
expect_equal(dat3_1, data3)
expect_equal(nrow(dat3_2), n_obs - 2 + 1)
expect_equal(dat3_2[1,], c(data3[2,], data3[1,]))
expect_equal(dat3_2[13,], c(data3[14,], data3[13,]))
expect_equal(dat3_2[nrow(dat3_2),], c(data3[244,], data3[243,]))
})
## A(M)(p)_(p)(M)(d)
# p=1, M=1, d=2
phi10_112 <- c(1.03, 2.36)
A11_112 <- matrix(c(1.25, 0.06, 0.04, 1.34), nrow=2, byrow=FALSE)
Omega1_112 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
theta_112 <- c(phi10_112, vec(A11_112), vech(Omega1_112))
W_112 <- t(chol(Omega1_112))
theta_112s <- c(phi10_112, vec(A11_112), vec(W_112)) # SGMVAR
Omega1_112s <- tcrossprod(W_112)
theta_112ts <- c(theta_112s, 10)
theta_112sWC <- c(phi10_112, vec(A11_112), Wvec(W_112)) # SGMVAR W constrained
# p=1, M=2, d=2
phi10_122 <- c(1.03, 2.36)
A11_122 <- matrix(c(1, -0.06, -0.04, 1), nrow=2, byrow=FALSE)
Omega1_122 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
phi20_122 <- c(1.79, 3.00)
A21_122 <- A11_122 + 0.02
Omega2_122 <- matrix(c(5.88, 3.56, 3.56, 9.80), nrow=2, byrow=FALSE)
alpha1_122 <- 0.37
upsilon1_122 <- c(phi10_122, vec(A11_122), vech(Omega1_122))
upsilon2_122 <- c(phi20_122, vec(A21_122), vech(Omega2_122))
theta_122 <- c(upsilon1_122, upsilon2_122, alpha1_122)
WL_122 <- diag_Omegas(Omega1_122, Omega2_122)
W_122 <- matrix(WL_122[1:(2^2)], nrow=2, byrow=FALSE)
lambdas_122 <- WL_122[(2^2 + 1):length(WL_122)]
theta_122s <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, alpha1_122) # SGMVAR
theta_122t <- c(theta_122, 10, 20)
# p=2, M=2, d=2
phi10_222 <- c(1.03, 2.36)
A11_222 <- matrix(c(1.25, 0.06, 0.04, 1.34), nrow=2, byrow=FALSE)
A12_222 <- matrix(c(-0.29, -0.08, -0.05, -0.36), nrow=2, byrow=FALSE)
Omega1_222 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
phi20_222 <- c(1.79, 3.00)
A21_222 <- matrix(c(1.20, 0.05, 0.05, 1.30), nrow=2, byrow=FALSE)
A22_222 <- matrix(c(-0.30, -0.10, -0.05, -0.40), nrow=2, byrow=FALSE)
Omega2_222 <- matrix(c(5.88, 3.56, 3.56, 9.80), nrow=2, byrow=FALSE)
alpha1_222 <- 0.37
upsilon1_222 <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222))
upsilon2_222 <- c(phi20_222, vec(A21_222), vec(A22_222), vech(Omega2_222))
theta_222 <- c(upsilon1_222, upsilon2_222, alpha1_222)
WL_222 <- diag_Omegas(Omega1_222, Omega2_222)
W_222 <- matrix(WL_222[1:(2^2)], nrow=2, byrow=FALSE)
lambdas_222 <- WL_222[(2^2 + 1):length(WL_222)]
theta_222s <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), lambdas_222, alpha1_222) # SGMVAR
Omega1_222s <- tcrossprod(W_222)
Omega2_222s <- W_222%*%tcrossprod(diag(lambdas_222), W_222)
theta_222t <- c(theta_222, 10, 20) # StMVAR
theta_222gs <- c(theta_222, 20) # G-StMVAR
theta_222ts <- c(theta_222s, 10, 20) # SStMVAR
theta_222gss <- c(theta_222s, 20) # SG-StMVAR
# p=3, M=3, d=2
phi10_332 <- c(1.03, 2.36)
A11_332 <- matrix(c(1.25, 0.06, 0.04, 1.34), nrow=2, byrow=FALSE)
A12_332 <- matrix(c(-0.29, -0.08, -0.05, -0.36), nrow=2, byrow=FALSE)
A13_332 <- matrix(c(1, 0.21, 0.12, 2), nrow=2, byrow=FALSE)
Omega1_332 <- matrix(c(0.93, -0.15, -0.15, 5.20), nrow=2, byrow=FALSE)
phi20_332 <- c(1.79, 3.00)
A21_332 <- matrix(c(1.20, 0.05, 0.05, 1.30), nrow=2, byrow=FALSE)
A22_332 <- matrix(c(-0.30, -0.10, -0.05, -0.40), nrow=2, byrow=FALSE)
A23_332 <- matrix(c(0.30, 0.10, 0.05, 0.40), nrow=2, byrow=FALSE)
Omega2_332 <- matrix(c(5.88, 3.56, 3.56, 9.80), nrow=2, byrow=FALSE)
phi30_332 <- c(1.79, 3.00)
A31_332 <- matrix(c(1.30, 0.03, 0.08, 1.33), nrow=2, byrow=FALSE)
A32_332 <- matrix(c(-0.50, -0.20, -0.01, -0.40), nrow=2, byrow=FALSE)
A33_332 <- matrix(c(0.50, 0.20, 0.01, 0.40), nrow=2, byrow=FALSE)
Omega3_332 <- matrix(c(5.00, 3.00, 3.00, 9.00), nrow=2, byrow=FALSE)
alpha1_332 <- 0.5
alpha2_332 <- 0.3
upsilon1_332 <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332))
upsilon2_332 <- c(phi20_332, vec(A21_332), vec(A22_332), vec(A23_332), vech(Omega2_332))
upsilon3_332 <- c(phi30_332, vec(A31_332), vec(A32_332), vec(A33_332), vech(Omega3_332))
theta_332 <- c(upsilon1_332, upsilon2_332, upsilon3_332, alpha1_332, alpha2_332)
W_332 <- matrix(c(-0.8924620, 0, 0.3653923, -2.1643472), nrow=2, byrow=FALSE)
lambdas2_332 <- c(7.16, 1.30)
lambdas3_332 <- c(6.10, 1.22)
theta_332s <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
vec(W_332), lambdas2_332, lambdas3_332, alpha1_332, alpha2_332) # SGMVAR
Omega1_332s <- tcrossprod(W_332)
Omega2_332s <- W_332%*%tcrossprod(diag(lambdas2_332), W_332)
Omega3_332s <- W_332%*%tcrossprod(diag(lambdas3_332), W_332)
theta_332_froms <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332s), # based on SGMVAR
phi20_332, vec(A21_332), vec(A22_332), vec(A23_332), vech(Omega2_332s),
phi30_332, vec(A31_332), vec(A32_332), vec(A33_332), vech(Omega3_332s),
alpha1_332, alpha2_332)
theta_332sWC <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
Wvec(W_332), lambdas2_332, lambdas3_332, alpha1_332, alpha2_332) # SGMVAR W constrained
theta_332t <- c(theta_332, 10, 20, 30) # StMVAR
theta_332gs <- c(theta_332, 20, 30) # G-StMVAR, M1=1, M2=2
theta_332gs2 <- c(theta_332, 30) # G-StMVAR, M1=2, M2=1
theta_332ts <- c(theta_332s, 10, 20, 30) # SStMVAR
theta_332gss <- c(theta_332s, 30) # SG-StMVAR, M1=2, M2=1
theta_332gssWC <- c(theta_332sWC, 20, 30) # SG-StMVAR, M1=1, M2=2
# p=1, M=2, d=3
phi10_123 <- c(1.1, 2.2, 3.3)
A11_123 <- matrix(c(1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3), nrow=3, byrow=FALSE)
Omega1_123 <- matrix(c(1, 0.22, 0.33, 0.22, 2, 0.44, 0.33, 0.44, 3), nrow=3, byrow=FALSE)
phi20_123 <- c(1.11, 2.22, 3.33)
A21_123 <- matrix(c(-1, -0.21, -0.31, -0.12, -2, -0.32, -0.13, -0.23, -3), nrow=3, byrow=FALSE)
Omega2_123 <- matrix(c(1.1, 0.222, 0.333, 0.222, 2.2, 0.444, 0.333, 0.444, 3.3), nrow=3, byrow=FALSE)
alpha1_123 <- 0.6
upsilon1_123 <- c(phi10_123, vec(A11_123), vech(Omega1_123))
upsilon2_123 <- c(phi20_123, vec(A21_123), vech(Omega2_123))
theta_123 <- c(upsilon1_123, upsilon2_123, alpha1_123)
WL_123 <- diag_Omegas(Omega1_123, Omega2_123)
W_123 <- matrix(WL_123[1:(3^2)], nrow=3, byrow=FALSE)
lambdas_123 <- WL_123[(3^2 + 1):length(WL_123)]
theta_123s <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), lambdas_123, alpha1_123) # SGMVAR
theta_123t <- c(theta_123, 20, 25) # StMVAR
theta_123gs <- c(theta_123, 25) # G-StMVAR
theta_123ts <- c(theta_123s, 20, 25) # StMVAR
theta_123gss <- c(theta_123s, 25) # G-StMVAR
# p=2, M=1, d=3
phi10_213 <- c(1.1, 2.2, 3.3)
A11_213 <- matrix(c(1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3), nrow=3, byrow=FALSE)
A12_213 <- matrix(c(-1, -0.21, -0.31, -0.12, -2, -0.32, -0.13, -0.23, -3), nrow=3, byrow=FALSE)
Omega1_213 <- matrix(c(1, 0.22, 0.33, 0.22, 2, 0.44, 0.33, 0.44, 3), nrow=3, byrow=FALSE)
upsilon1_213 <- c(phi10_213, vec(A11_213), vec(A12_213), vech(Omega1_213))
theta_213 <- upsilon1_213
W_213 <- t(chol(Omega1_213))
theta_213s <- c(phi10_213, vec(A11_213), vec(A12_213), vec(W_213)) # SGMVAR
theta_213sWC <- c(phi10_213, vec(A11_213), vec(A12_213), Wvec(W_213)) # SGMVAR W constrained
## A(M)(p)_(p)(M)(d)
rbind_diags <- function(p, M, d) {
I <- diag(p*d^2)
Reduce(rbind, replicate(M, I, simplify=FALSE))
}
## Constraining AR-parameters to be the same for all regimes
# p=1, M=1, d=2
C_112 <- rbind_diags(p=1, M=1, d=2)
theta_112c <- c(phi10_112, vec(A11_112), vech(Omega1_112))
theta_112csWAR <- c(phi10_112, vec(A11_112), Wvec(W_112)) # SGMVAR W and AR
theta_112tcsWAR <- c(theta_112csWAR, 10) # SStMVAR W and AR
# p=1, M=2, d=2
C_122 <- rbind_diags(p=1, M=2, d=2)
theta_122c <- c(phi10_122, phi20_122, vec(A11_122), vech(Omega1_122), vech(Omega2_122), alpha1_122)
theta_122c_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi20_122, vec(A11_122), vech(Omega2_122), alpha1_122)
C_lambda_122 <- matrix(c(1, 1), nrow=2)
theta_122csL <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), 0.5, alpha1_122) # SGMVAR lambdas
theta_122csL_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), 0.5, 0.5, alpha1_122)
theta_122csLAR <- c(phi10_122, phi20_122, vec(A11_122), vec(W_122), 0.5, alpha1_122) # SGMVAR lambdas and AR
theta_122csLAR_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A11_122), vec(W_122), 0.5, 0.5, alpha1_122)
theta_122gsc <- c(theta_122c, 20) # G-StMVAR AR
theta_122gsc_expanded <- c(theta_122c_expanded, 20) # G-StMVAR AR
theta_122gscsLAR <- c(theta_122csLAR, 20) # SG-StMVAR lambdas and AR, M1=1, M2=1
theta_122gscsLAR_expanded <- c(theta_122csLAR_expanded, 20)
# p=2, M=2, d=2
C_222 <- rbind_diags(p=2, M=2, d=2)
theta_222c <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), alpha1_222)
theta_222c_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi20_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), alpha1_222)
theta_222tc <- c(theta_222c, 10, 20) # StMVAR
theta_222tc_expanded <- c(theta_222c_expanded, 10, 20)
C_lambda_222 <- matrix(c(1, 2), nrow=2)
theta_222csL <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), 0.2, alpha1_222) # SGMVAR lambdas
theta_222csL_expanded <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), 0.2, 2*0.2, alpha1_222)
theta_222csLAR <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2, alpha1_222) # SGMVAR lambdas and AR
theta_222csLAR_expanded <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), 0.2, 2*0.2, alpha1_222)
# p=3, M=3, d=2
C_332 <- rbind_diags(p=3, M=3, d=2)
theta_332c <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi20_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332csWAR <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332) # SGMVAR W and AR
theta_332csWAR_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332),
vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332)
C_lambda_332 <- matrix(c(1, 1, 0, 0, 0, 0, 1, 1), nrow=4, byrow=FALSE)
theta_332csWL <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), 1, 2, alpha1_332, alpha2_332) # SGMVAR W and L
theta_332csWL_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), 1, 1, 2, 2, alpha1_332, alpha2_332)
theta_332csWLAR <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), 1, 2,
alpha1_332, alpha2_332) # SGMVAR W, L, and AR
theta_332csWLAR_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332),
vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), 1, 1, 2, 2, alpha1_332, alpha2_332)
theta_332gsc <- c(theta_332c, 30) # SG-StMVAR AR, M1=2, M2=1
theta_332gsc_expanded <- c(theta_332c_expanded, 30)
theta_332gscsWLAR <- c(theta_332csWLAR, 20, 30) # SG-StMVAR, W, L, AR, M1=1, M2=2
theta_332gscsWLAR_expanded <- c(theta_332csWLAR_expanded, 20, 30)
# p=1, M=2, d=3
C_123 <- rbind_diags(p=1, M=2, d=3)
theta_123c <- c(phi10_123, phi20_123, vec(A11_123), vech(Omega1_123), vech(Omega2_123), alpha1_123)
theta_123c_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi20_123, vec(A11_123), vech(Omega2_123), alpha1_123)
C_lambda_123 <- matrix(c(1, 1, 0, 0, 0, 1), nrow=3, byrow=FALSE)
theta_123csL <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 2, alpha1_123) # SGMVAR lambdas
theta_123csL_expanded <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 1, 2, alpha1_123)
theta_123csLAR <- c(phi10_123, phi20_123, vec(A11_123), vec(W_123), 1, 2, alpha1_123) # SGMVAR lambdas and AR
theta_123csLAR_expanded <- c(phi10_123, phi20_123, vec(A11_123), vec(A11_123), vec(W_123), 1, 1, 2, alpha1_123)
theta_123tc <- c(theta_123c, 10, 20) # StMVAR, AR
theta_123tc_expanded <- c(theta_123c_expanded, 10, 20)
theta_123tcsLAR <- c(theta_123csLAR, 10, 20) # SStMVAR, L, AR
theta_123tcsLAR_expanded <- c(theta_123csLAR_expanded, 10, 20) # SStMVAR, L, AR
# p=2, M=1, d=3
C_213 <- rbind_diags(p=2, M=1, d=3)
theta_213c <- c(phi10_213, vec(A11_213), vec(A12_213), vech(Omega1_213))
theta_213csWAR <- c(phi10_213, vec(A11_213), vec(A12_213), Wvec(W_213))
# p=2, M=2, d=2, constrain AR-parameters to be the same for all regimes
# and constrain the of-diagonal elements of AR-matrices to be zero.
mat0 <- matrix(c(1, rep(0, 10), 1, rep(0, 8), 1, rep(0, 10), 1), nrow=2*2^2, byrow=FALSE)
C_222_2 <- rbind(mat0, mat0)
A21_222_c2 <- A11_222_c2 <- matrix(c(1.26, 0, 0, 1.34), nrow=2, byrow=FALSE)
A22_222_c2 <- A12_222_c2 <- matrix(c(-0.29, 0, 0, -0.36), nrow=2, byrow=FALSE)
phi10_222_c2 <- c(-0.11, 2.83)
phi20_222_c2 <- c(0.36, 3.19)
Omega1_222_c2 <- matrix(c(0.98, -0.33, -0.33, 5.24), nrow=2, byrow=FALSE)
Omega2_222_c2 <- matrix(c(5.60, 3.46, 3.46, 9.62), nrow=2, byrow=FALSE)
alpha1_222_c2 <- 0.35
theta_222_c2 <- c(phi10_222_c2, phi20_222_c2, 1.26, 1.34, -0.29, -0.36, vech(Omega1_222_c2),
vech(Omega2_222_c2), alpha1_222_c2)
theta_222_c2_expanded <- c(phi10_222_c2, vec(A11_222_c2), vec(A12_222_c2), vech(Omega1_222_c2),
phi20_222_c2, vec(A21_222_c2), vec(A22_222_c2), vech(Omega2_222_c2),
alpha1_222_c2)
WL_222c2 <- diag_Omegas(Omega1_222_c2, Omega2_222_c2)
W_222c2 <- matrix(WL_222c2[1:(2^2)], nrow=2, byrow=FALSE)
lambdas_222c2 <- WL_222c2[(2^2 + 1):length(WL_222c2)]
theta_222_c2s <- c(phi10_222_c2, phi20_222_c2, 1.26, 1.34, -0.29, -0.36, vec(W_222c2), lambdas_222c2, alpha1_222_c2) # SGMVAR AR
theta_222_c2s_expanded <- c(phi10_222_c2, phi20_222_c2, vec(A11_222_c2), vec(A12_222_c2), vec(A11_222_c2), vec(A12_222_c2),
vec(W_222c2), lambdas_222c2, alpha1_222_c2)
## Models with same_means
# p=1, M=1, d=2, same_means=list(1)
theta_112_int <- c(phi10_112, vec(A11_112), vech(Omega1_112))
theta_112_int_expanded <- theta_112_int
theta_112t_int <- c(theta_112_int, 10)
theta_112t_int_expanded <- theta_112t_int
# p=1, M=2, d=2, same_means=list(1:2)
theta_122_int <- c(phi10_122, vec(A11_122), vec(A21_122), vech(Omega1_122), vech(Omega2_122), alpha1_122)
theta_122_int_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi10_122, vec(A21_122), vech(Omega2_122), alpha1_122)
# p=1, M=2, d=2, same_means=list(1, 2)
theta_122_int2 <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vech(Omega1_122), vech(Omega2_122), alpha1_122)
theta_122_int2_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi20_122, vec(A21_122), vech(Omega2_122), alpha1_122)
# p=1, M=2, d=2, constraints=C_122, structural_pars=list(W=W_122, C_lambda=C_lambda_122), same_means=list(1:2)
theta_122csL_int <- c(phi10_122, vec(A11_122), vec(W_122), 0.5, alpha1_122)
theta_122csL_int_expanded <- c(phi10_122, phi10_122, vec(A11_122), vec(A11_122), vec(W_122), 0.5, 0.5, alpha1_122)
# p=2, M=2, d=2, constraints=C_222, same_means=list(1:2)
theta_222c_int <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), alpha1_222)
theta_222c_int_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), alpha1_222)
theta_222tc_int <- c(theta_222c_int, 10, 20) # StMVAR
theta_222tc_int_expanded <- c(theta_222c_int_expanded, 10, 20)
# p=2, M=2, d=2, constraints=C_222, structural_pars=list(W=W_222, C_lambda=C_lambda_222), same_means=list(1:2)
theta_222csLAR_int <- c(phi10_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2, alpha1_222)
theta_222csLAR_int_expanded <- c(phi10_222, phi10_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), 0.2, 2*0.2, alpha1_222)
# p=3, M=3, d=2, constraints=C_332, same_means=list(1, 2:3)
theta_332c_int <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_int_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi20_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332gsc_int <- c(theta_332c_int, 20, 30) # G-StMVAR, M1=1, M2=2
theta_332gsc_int_expanded <- c(theta_332c_int_expanded, 20, 30)
# p=3, M=3, d=2, constraints=C_332, same_means=list(2, c(1, 3))
theta_332c_int2 <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_int2_expanded <- c(phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi10_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
# p=3, M=3, d=2, constraints=C_332, same_means=list(1:3)
theta_332c_int3 <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), alpha1_332, alpha2_332)
theta_332c_int3_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi10_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi10_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), alpha1_332, alpha2_332)
# p=3, M=3, d=2, constraints=C_332, structural_pars=list(W=W_332), same_means=list(c(1, 3), 2)
theta_332csWAR_int <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332)
theta_332csWAR_int_expanded <- c(phi10_332, phi20_332, phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332),
vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), lambdas2_332,
lambdas3_332, alpha1_332, alpha2_332)
# p=3, M=3, d=2, structural_pars=list(W=W_332, C_lambda=C_lambda_332), same_means=list(1:2, 3)
theta_332csWL_int <- c(phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), 1, 2, alpha1_332, alpha2_332)
theta_332csWL_int_expanded <- c(phi10_332, phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), 1, 1, 2, 2,
alpha1_332, alpha2_332)
# p=3, M=3, d=2, constraints=C_332, structural_pars=list(W=W_332, C_lambda=C_lambda_332), same_means=list(2:3, 1)
theta_332csWLAR_int <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), 1, 2,
alpha1_332, alpha2_332)
theta_332csWLAR_int_expanded <- c(phi20_332, phi10_332, phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332),
vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332), vec(W_332), 1, 1, 2, 2, alpha1_332, alpha2_332)
# p=1, M=2, d=3, same_means=list(1:2)
theta_123_int <- c(phi10_123, vec(A11_123), vec(A21_123), vech(Omega1_123), vech(Omega2_123), alpha1_123)
theta_123_int_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi10_123, vec(A21_123), vech(Omega2_123), alpha1_123)
# p=1, M=2, d=3, constraints=C_123, same_means=list(1:2)
theta_123c_int <- c(phi10_123, vec(A11_123), vech(Omega1_123), vech(Omega2_123), alpha1_123)
theta_123c_int_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi10_123, vec(A11_123), vech(Omega2_123), alpha1_123)
# p=1, M=2, d=3, structural_pars=list(W=W_123, C_lambda=C_lambda_123) same_means=list(1:2)
theta_123csL_int <- c(phi10_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 2, alpha1_123)
theta_123csL_int_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A21_123), vec(W_123), 1, 1, 2, alpha1_123)
# p=1, M=2, d=3, constraints=C_123, structural_pars=list(W=W_123, C_lambda=C_lambda_123) same_means=list(1:2)
theta_123csLAR_int <- c(phi10_123, vec(A11_123), vec(W_123), 1, 2, alpha1_123) # SGMVAR lambdas and AR
theta_123csLAR_int_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), vec(W_123), 1, 1, 2, alpha1_123)
theta_123tcsLAR_int <- c(theta_123csLAR_int, 10, 20) # SStMVAR
theta_123tcsLAR_int_expanded <- c(theta_123csLAR_int_expanded, 10, 20)
# p=2, M=1, d=3, constraints=C_213, same_means=list(1)
theta_213c_int <- c(phi10_213, vec(A11_213), vec(A12_213), vech(Omega1_213))
theta_213c_int_expanded <- theta_213c_int
# p=2, M=1, d=3, constraints=C_213, structural_pars=list(W=W_213), same_means=list(1)
theta_213csWAR_int <- c(phi10_213, vec(A11_213), vec(A12_213), Wvec(W_213))
theta_213csWAR_int_expanded <- c(phi10_213, vec(A11_213), vec(A12_213), vec(W_213))
## Models with weight_constraints and/or fixed_lambdas
# p=1, M=2, d=2, model="GMVAR", weight_constraints=0.7
theta_122w <- c(upsilon1_122, upsilon2_122)
theta_122w_expanded <- c(upsilon1_122, upsilon2_122, 0.7)
# p=1, M=2, d=2, model="StMVAR", weight_constraints=0.7
theta_122tw <- c(upsilon1_122, upsilon2_122, 11, 12)
theta_122tw_expanded <- c(upsilon1_122, upsilon2_122, 0.7, 11, 12)
# p=1, M=2, d=2, model="GMVAR", weight_constraints=0.7, structural_pars=list(W=W_122)
theta_122ws <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122)
theta_122ws_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, 0.7)
# p=1, M=c(1, 1), d=2, model="G-StMVAR", weight_constraints=0.7, structural_pars=list(W=W_122)
theta_122gsws <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, 11)
theta_122gsws_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122, 0.7, 11)
# p=1, M=2, d=2, model="GMVAR", weight_constraints=0.7, structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))
theta_122wsF <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122))
theta_122wsF_expanded <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), c(7, 1), 0.7)
# p=3, M=3, d=2, model="GMVAR", weight_constraints=c(0.5, 0.3)
theta_332w <- c(upsilon1_332, upsilon2_332, upsilon3_332)
theta_332w_expanded <- c(upsilon1_332, upsilon2_332, upsilon3_332, c(0.5, 0.3))
# p=3, M=3, d=2, model="GMVAR", weight_constraints=c(0.5, 0.3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))
theta_332wsWF <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332))
theta_332wsWF_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), c(7, 2, 6, 1), c(0.5, 0.3))
# p=3, M=c(1, 2), d=2, model="G-StMVAR", weight_constraints=c(0.5, 0.3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))
theta_332gswsWF <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), 11, 12)
theta_332gswsWF_expanded <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332),
c(7, 2, 6, 1), c(0.5, 0.3), 11, 12)
# p=2, M=2, d=2, model="StMVAR", constraints=C_222, weight_constraints=0.7
theta_222tcw <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), 11, 12)
theta_222tcw_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi20_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), 0.7, 11, 12)
# p=2, M=2, d=2, model="StMVAR", constraints=C_222, weight_constraints=0.7, structural_pars=list(W=W_222, C_lambda=C_lambda_222)
theta_222tcwsL <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2, 11, 12)
theta_222tcwsL_expanded <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), 0.2, 2*0.2, 0.7, 11, 12)
# p=1, M=2, d=3, model="GMVAR", weight_constraints=0.6
theta_123w <- c(upsilon1_123, upsilon2_123)
theta_123w_expanded <- c(upsilon1_123, upsilon2_123, 0.6)
# p=1, M=2, d=3, model="StMVAR", weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))
theta_123twsF <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), 11, 12)
theta_123twsF_expanded <- c(phi10_123, phi20_123, vec(A11_123), vec(A21_123), vec(W_123), c(3, 2, 1), 0.6, 11, 12)
# p=1, M=c(1, 1), d=2, model="G-StMVAR", same_means=list(1:2), weight_constraints=0.7
theta_122gsmw <- c(phi10_122, vec(A11_122), vec(A21_122), vech(Omega1_122), vech(Omega2_122), 11)
theta_122gsmw_expanded <- c(phi10_122, vec(A11_122), vech(Omega1_122), phi10_122, vec(A21_122), vech(Omega2_122), 0.7, 11)
# p=1, M=2, d=2, model="GMVAR", constraints=C_122, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_122, fixed_lambdas=c(4, 3))
theta_122cmwsF <- c(phi10_122, vec(A11_122), vec(W_122))
theta_122cmwsF_expanded <- c(phi10_122, phi10_122, vec(A11_122), vec(A11_122), vec(W_122), c(4, 3), 0.7)
# p=2, M=2, d=2, model="StMVAR", constraints=C_222, same_means=list(1:2), weight_constraints=0.7
theta_222tcmw <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), vech(Omega2_222), 11, 12)
theta_222tcmw_expanded <- c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega1_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega2_222), 0.7, 11, 12)
# p=2, M=2, d=2, model="GMVAR", constraints=C_222, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_222, fixed_lambdas=c(6, 1))
theta_222cmwsF <- c(phi10_222, vec(A11_222), vec(A12_222), vec(W_222))
theta_222cmwsF_expanded <- c(phi10_222, phi10_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222),
vec(W_222), c(6, 1), 0.7)
# p=3, M=c(2, 1), d=2, model="G-StMVAR", constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3)
theta_332gscmw <- c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332), 11)
theta_332gscmw_expanded <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), phi20_332, vec(A11_332),
vec(A12_332), vec(A13_332), vech(Omega2_332), phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vech(Omega3_332), c(0.5, 0.3), 11)
# p=3, M=3, d=2, model="StMVAR", same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
theta_332tmsWF <- c(phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332), vec(A22_332), vec(A23_332),
vec(A31_332), vec(A32_332), vec(A33_332), Wvec(W_332), alpha1_332, alpha2_332, 11, 12, 13)
theta_332tmsWF_expanded <- c(phi10_332, phi10_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A21_332),
vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332), vec(W_332), c(7, 2, 6, 1),
alpha1_332, alpha2_332, 11, 12, 13)
# p=3, M=3, d=2, model="GMVAR", constraints=C_332, same_means=list(1:3), weight_constraints=c(0.5, 0.3),
# structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))
theta_332cmwsWF <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332))
theta_332cmwsWF_expanded <- c(phi10_332, phi10_332, phi10_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332),
vec(W_332), c(7, 2, 6, 1), c(0.5, 0.3))
# p=1, M=c(1, 1), d=3, model="G-StMVAR", constraints=C_123, same_means=list(1:2), weight_constraints=0.7
theta_123gscmw <- c(phi10_123, vec(A11_123), vech(Omega1_123), vech(Omega2_123), 11)
theta_123gscmw_expanded <- c(phi10_123, vec(A11_123), vech(Omega1_123), phi10_123, vec(A11_123), vech(Omega2_123), 0.7, 11)
# p=1, M=2, d=3, model="GMVAR", constraints=C_123, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_123, C_lambda=C_lambda_123)
theta_123cmwsL <- c(phi10_123, vec(A11_123), vec(W_123), 1, 2)
theta_123cmwsL_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), vec(W_123), 1, 1, 2, 0.7)
# p=1, M=2, d=3, model="StMVAR", constraints=C_123, same_means=list(1:2), weight_constraints=0.7,
# structural_pars=list(W=W_123, fixed_lambdas=c(4, 3, 2))
theta_123tcmwsF <- c(phi10_123, vec(A11_123), vec(W_123), 11, 12)
theta_123tcmwsF_expanded <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), vec(W_123), c(4, 3, 2), 0.7, 11, 12)
## Extra:
# p=1, M=2, d=2, model="GMVAR", constraints=C_122, same_means=list(1:2), parametrization="mean"
theta_122cm <- c(0.804831, 0.54569, 0.303675, 0.023641, -0.132479, 0.852206, 0.287346, 0.004983,
0.025076, 1.119671, -0.017208, 0.142676, 0.647105)
theta_122cm_expanded <- c(0.804831, 0.54569, # mu
0.303675, 0.023641, -0.132479, 0.852206, # A
0.287346, 0.004983, 0.025076, # Omega 1
0.804831, 0.54569, # mu
0.303675, 0.023641, -0.132479, 0.852206, # A
1.119671, -0.017208, 0.142676, # Omega 2
0.647105) # Alpha
test_that("reform_constrained_pars works correctly", {
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122cm, model="GMVAR", constraints=C_122,
same_means=list(1:2)), theta_122cm_expanded)
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112c, constraints=C_112), theta_112)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122c, constraints=C_122), theta_122c_expanded)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gsc, model="G-StMVAR", constraints=C_122), theta_122gsc_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222, constraints=NULL), theta_222)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222c, constraints=C_222), theta_222c_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tc, model="StMVAR", constraints=C_222), theta_222tc_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c, constraints=C_332), theta_332c_expanded)
expect_equal(reform_constrained_pars(p=3, M=c(2, 1), d=2, params=theta_332gsc, model="G-StMVAR", constraints=C_332), theta_332gsc_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123c, constraints=C_123), theta_123c_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tc, model="StMVAR", constraints=C_123), theta_123tc_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213c, constraints=C_213), theta_213)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222_c2, constraints=C_222_2), theta_222_c2_expanded)
# Structural only W constrained
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112sWC, structural_pars=list(W=W_112)), theta_112s)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332sWC, structural_pars=list(W=W_332)), theta_332s)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213sWC, structural_pars=list(W=W_213)), theta_213s)
# Structural only lambdas constrained
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122csL, structural_pars=list(W=W_122, C_lambda=C_lambda_122)),
theta_122csL_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222csL, structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
theta_222csL_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csL, structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123csL_expanded)
# Structural AR parameters only constrained
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222_c2s, constraints=C_222_2, structural_pars=list(W=W_222c2)),
theta_222_c2s_expanded)
# Structural W and AR parameters constrained
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112csWAR, constraints=C_112, structural_pars=list(W=W_112)), theta_112s)
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112tcsWAR, model="StMVAR", constraints=C_112, structural_pars=list(W=W_112)),
theta_112ts)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWAR, constraints=C_332, structural_pars=list(W=W_332)),
theta_332csWAR_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213csWAR, constraints=C_213, structural_pars=list(W=W_213)), theta_213s)
# Structural lambdas and AR parameters
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122csLAR, constraints=C_122,
structural_pars=list(W=W_122, C_lambda=C_lambda_122)),
theta_122csLAR_expanded)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gscsLAR, constraints=C_122, model="G-StMVAR",
structural_pars=list(W=W_122, C_lambda=C_lambda_122)),
theta_122gscsLAR_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222csLAR, constraints=C_222,
structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
theta_222csLAR_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csLAR, constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123csLAR_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tcsLAR, model="StMVAR", constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123tcsLAR_expanded)
# Structural W and Lambda parameters constrained
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWL, structural_pars=list(W=W_332, C_lambda=C_lambda_332)),
theta_332csWL_expanded)
# Structural W, Lambda, and AR parameters constrained
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWLAR, constraints=C_332,
structural_pars=list(W=W_332, C_lambda=C_lambda_332)),
theta_332csWLAR_expanded)
expect_equal(reform_constrained_pars(p=3, M=c(1, 2), d=2, params=theta_332gscsWLAR, model="G-StMVAR", constraints=C_332,
structural_pars=list(W=W_332, C_lambda=C_lambda_332)),
theta_332gscsWLAR_expanded)
# Models with same_means
expect_equal(reform_constrained_pars(p=1, M=1, d=2, params=theta_112_int, same_means=list(1)), theta_112_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122_int, same_means=list(1:2)), theta_122_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122_int2, same_means=list(1, 2)), theta_122_int2_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122csL_int, constraints=C_122,
structural_pars=list(W=W_122, C_lambda=C_lambda_122),
same_means=list(1:2)), theta_122csL_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222c_int, constraints=C_222, same_means=list(1:2)),
theta_222c_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tc_int, model="StMVAR", constraints=C_222, same_means=list(1:2)),
theta_222tc_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222csLAR_int, constraints=C_222,
structural_pars=list(W=W_222, C_lambda=C_lambda_222),
same_means=list(1:2)), theta_222csLAR_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c_int, constraints=C_332, same_means=list(1, 2:3)),
theta_332c_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=c(1, 2), d=2, params=theta_332gsc_int, model="G-StMVAR", constraints=C_332,
same_means=list(1, 2:3)), theta_332gsc_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c_int2, constraints=C_332, same_means=list(2, c(1, 3))),
theta_332c_int2_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332c_int3, constraints=C_332, same_means=list(1:3)),
theta_332c_int3_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWAR_int, constraints=C_332, structural_pars=list(W=W_332),
same_means=list(c(1, 3), 2)), theta_332csWAR_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWL_int, structural_pars=list(W=W_332, C_lambda=C_lambda_332),
same_means=list(1:2, 3)), theta_332csWL_int_expanded)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332csWLAR_int, constraints=C_332,
structural_pars=list(W=W_332, C_lambda=C_lambda_332), same_means=list(2:3, 1)),
theta_332csWLAR_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123_int, same_means=list(1:2)),
theta_123_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123c_int, constraints=C_123, same_means=list(1:2)),
theta_123c_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csL_int, structural_pars=list(W=W_123, C_lambda=C_lambda_123),
same_means=list(1:2)),
theta_123csL_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123csLAR_int, constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123), same_means=list(1:2)),
theta_123csLAR_int_expanded)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tcsLAR_int, model="StMVAR", constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123), same_means=list(1:2)),
theta_123tcsLAR_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213c_int, constraints=C_213, same_means=list(1)),
theta_213c_int_expanded)
expect_equal(reform_constrained_pars(p=2, M=1, d=3, params=theta_213csWAR_int, constraints=C_213, structural_pars=list(W=W_213),
same_means=list(1)), theta_213csWAR_int_expanded)
## weights_constraints and/or fixed_lambdas
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122w, model="GMVAR", weight_constraints=0.7),
theta_122w_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7),
theta_122tw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122ws, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122)), theta_122ws_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gsws, model="G-StMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122)), theta_122gsws_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122wsF, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))), theta_122wsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332w, model="GMVAR", weight_constraints=c(0.5, 0.3)),
theta_332w_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332wsWF, model="GMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332wsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332gswsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tcw, model="StMVAR", constraints=C_222, weight_constraints=0.7),
theta_222tcw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
theta_222tcwsL_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123w, model="GMVAR", weight_constraints=0.6),
theta_123w_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))),
theta_123twsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=2, params=theta_122gsmw, model="G-StMVAR", same_means=list(1:2),
weight_constraints=0.7), theta_122gsmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=2, params=theta_122cmwsF, model="GMVAR", constraints=C_122, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_122, fixed_lambdas=c(4, 3))),
theta_122cmwsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222tcmw, model="StMVAR", constraints=C_222, same_means=list(1:2),
weight_constraints=0.7), theta_222tcmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=2, M=2, d=2, params=theta_222cmwsF, model="GMVAR", constraints=C_222, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_222, fixed_lambdas=c(6, 1))),
theta_222cmwsF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR", constraints=C_332, same_means=list(1, 2:3),
weight_constraints=c(0.5, 0.3)),
theta_332gscmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR", same_means=list(1:2, 3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332tmsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=3, M=3, d=2, params=theta_332cmwsWF, model="GMVAR", constraints=C_332, same_means=list(1:3),
weight_constraints=c(0.5, 0.3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
theta_332cmwsWF_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=c(1, 1), d=3, params=theta_123gscmw, model="G-StMVAR", constraints=C_123, same_means=list(1:2),
weight_constraints=0.7),
theta_123gscmw_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123cmwsL, model="GMVAR", constraints=C_123, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_123, C_lambda=C_lambda_123)),
theta_123cmwsL_expanded, tolerance=1e-4)
expect_equal(reform_constrained_pars(p=1, M=2, d=3, params=theta_123tcmwsF, model="StMVAR", constraints=C_123, same_means=list(1:2),
weight_constraints=0.7, structural_pars=list(W=W_123, fixed_lambdas=c(4, 3, 2))),
theta_123tcmwsF_expanded, tolerance=1e-4)
})
test_that("reform_structural_pars works correctly", {
expect_equal(reform_structural_pars(p=1, M=1, d=2, params=theta_112s, structural_pars=list(W=W_112)), theta_112, tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=2, d=2, params=theta_122s, structural_pars=list(W=W_122)), theta_122, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=2, d=2, params=theta_222s, structural_pars=list(W=W_222)), theta_222, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=2, d=2, params=theta_222ts, model="StMVAR", structural_pars=list(W=W_222)),
theta_222t, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=c(1, 1), d=2, params=theta_222gss, model="G-StMVAR", structural_pars=list(W=W_222)),
theta_222gs, tolerance=1e-4)
expect_equal(reform_structural_pars(p=3, M=3, d=2, params=theta_332s, structural_pars=list(W=W_332)), theta_332_froms, tolerance=1e-4)
expect_equal(reform_structural_pars(p=3, M=3, d=2, params=theta_332ts, model="StMVAR", structural_pars=list(W=W_332)),
c(theta_332_froms, 10, 20, 30), tolerance=1e-4)
expect_equal(reform_structural_pars(p=3, M=c(2, 1), d=2, params=theta_332gss, model="G-StMVAR", structural_pars=list(W=W_332)),
c(theta_332_froms, 30), tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=2, d=3, params=theta_123s, structural_pars=list(W=W_123)), theta_123, tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=2, d=3, params=theta_123ts, model="StMVAR", structural_pars=list(W=W_123)), theta_123t,
tolerance=1e-4)
expect_equal(reform_structural_pars(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", structural_pars=list(W=W_123)),
theta_123gs, tolerance=1e-4)
expect_equal(reform_structural_pars(p=2, M=1, d=3, params=theta_213s, structural_pars=list(W=W_213)), theta_213, tolerance=1e-4)
})
allA_112 <- pick_allA(p=1, M=1, d=2, params=theta_112)
allA_122 <- pick_allA(p=1, M=2, d=2, params=theta_122)
allA_222 <- pick_allA(p=2, M=2, d=2, params=theta_222)
allA_332 <- pick_allA(p=3, M=3, d=2, params=theta_332)
allA_123 <- pick_allA(p=1, M=2, d=3, params=theta_123)
allA_213 <- pick_allA(p=2, M=1, d=3, params=theta_213)
lower_part <- function(p, d) {
cbind(diag(nrow=d*(p-1)), matrix(0, nrow=d*(p - 1), ncol=d))
}
test_that("form_boldA works correctly", {
expect_equal(form_boldA(p=1, M=1, d=2, all_A=allA_112)[, , 1], A11_112)
expect_equal(form_boldA(p=1, M=2, d=2, all_A=allA_122)[, , 1], A11_122)
expect_equal(form_boldA(p=1, M=2, d=2, all_A=allA_122)[, , 2], A21_122)
expect_equal(form_boldA(p=1, M=c(1, 1), d=2, all_A=allA_122)[, , 2], A21_122)
expect_equal(form_boldA(p=2, M=2, d=2, all_A=allA_222)[, , 1], rbind(cbind(A11_222, A12_222), lower_part(p=2, d=2)))
expect_equal(form_boldA(p=2, M=2, d=2, all_A=allA_222)[, , 2], rbind(cbind(A21_222, A22_222), lower_part(p=2, d=2)))
expect_equal(form_boldA(p=3, M=3, d=2, all_A=allA_332)[, , 1], rbind(cbind(A11_332, A12_332, A13_332), lower_part(p=3, d=2)))
expect_equal(form_boldA(p=3, M=3, d=2, all_A=allA_332)[, , 2], rbind(cbind(A21_332, A22_332, A23_332), lower_part(p=3, d=2)))
expect_equal(form_boldA(p=3, M=3, d=2, all_A=allA_332)[, , 3], rbind(cbind(A31_332, A32_332, A33_332), lower_part(p=3, d=2)))
expect_equal(form_boldA(p=1, M=2, d=3, all_A=allA_123)[, , 1], A11_123)
expect_equal(form_boldA(p=1, M=2, d=3, all_A=allA_123)[, , 2], A21_123)
expect_equal(form_boldA(p=2, M=1, d=3, all_A=allA_213)[, , 1], rbind(cbind(A11_213, A12_213), lower_part(p=2, d=3)))
})
## A(M)(p)_(p)(M)(d)
# p=3, M=3, d=2
alpha1_332_2 <- 0.1; alpha2_332_2 <- 0.4
theta_332_2 <- c(upsilon1_332, upsilon2_332, upsilon3_332, alpha1_332_2, alpha2_332_2)
alpha1_332_3 <- 0.5; alpha2_332_3 <- 0.2
theta_332_3 <- c(upsilon1_332, upsilon2_332, upsilon3_332, alpha1_332_3, alpha2_332_3)
theta_332t_2 <- c(theta_332_2, 10, 20, 30) # StMVAR
theta_332gs_2 <- c(theta_332_2, 30) # SG-StMVAR, M1=2, M2=1
theta_332gs_2_2 <- c(theta_332_2, 20, 30) # SG-StMVAR, M1=1, M2=2
theta_332gs_3 <- c(theta_332_3, 30) # SG-StMVAR, M1=2, M2=1
theta_332gs_3_2 <- c(theta_332_3, 20, 30) # SG-StMVAR, M1=1, M2=2
theta_332s_2 <- c(phi10_332, phi20_332, phi30_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
Wvec(W_332), lambdas2_332, lambdas3_332, alpha1_332_2, alpha2_332_2) # SGMVAR
theta_332ts_2 <- c(theta_332s_2, 10, 20, 30) # StMVAR
# p=3, M=4, d=2
upsilon1_342 <- upsilon1_332; upsilon2_342 <- upsilon2_332; upsilon3_342 <- upsilon3_332; upsilon4_342 <- upsilon3_342+0.07
alpha1_342 <- 0.1; alpha2_342 <- 0.2; alpha3_342 <- 0.3
theta_342 <- c(upsilon1_342, upsilon2_342, upsilon3_342, upsilon4_342, alpha1_342, alpha2_342, alpha3_342)
alpha1_342_2 <- 0.2; alpha2_342_2 <- 0.3; alpha3_342_2 <- 0.4
theta_342_2 <- c(upsilon1_342, upsilon2_342, upsilon3_342, upsilon4_342, alpha1_342_2, alpha2_342_2, alpha3_342_2)
alpha1_342_3 <- 0.3; alpha2_342_3 <- 0.4; alpha3_342_3 <- 0.1
theta_342_3 <- c(upsilon1_342, upsilon2_342, upsilon3_342, upsilon4_342, alpha1_342_3, alpha2_342_3, alpha3_342_3)
theta_342gs <- c(theta_342, 30, 40) # G-StMVAR, M1=2, M2=2
theta_342gs_2 <- c(theta_342_2, 40) # G-StMVAR, M1=3, M2=1
theta_342gs_3 <- c(theta_342_3, 20, 30, 40) # G-StMVAR, M1=1, M2=3
phi1_342 <- c(vec(A11_332), vec(A12_332), vec(A13_332))
phi2_342 <- c(vec(A21_332), vec(A22_332), vec(A23_332))
phi3_342 <- c(vec(A31_332), vec(A32_332), vec(A33_332))
phi4_342 <- phi3_342 + 0.1
phi30_342 <- phi30_332; phi20_342 <- phi20_332; phi10_342 <- phi10_332
phi40_342 <- phi30_342 + 0.1
lambdas2_342 <- lambdas2_332; lambdas3_342 <- lambdas3_332
lambdas4_342 <- lambdas3_342 + 0.2
W_342 <- W_332
theta_342s <- c(phi10_342, phi20_342, phi30_342, phi40_342, phi1_342, phi2_342, phi3_342, phi4_342,
Wvec(W_342), lambdas2_342, lambdas3_342, lambdas4_342, alpha1_342, alpha2_342, alpha3_342) # SGMVAR
theta_342s_2 <- c(phi10_342, phi20_342, phi30_342, phi40_342, phi1_342, phi2_342, phi3_342, phi4_342,
Wvec(W_342), lambdas2_342, lambdas3_342, lambdas4_342, alpha1_342_2, alpha2_342_2, alpha3_342_2) # SGMVAR
theta_342s_3 <- c(phi10_342, phi20_342, phi30_342, phi40_342, phi1_342, phi2_342, phi3_342, phi4_342,
Wvec(W_342), lambdas2_342, lambdas3_342, lambdas4_342, alpha1_342_3, alpha2_342_3, alpha3_342_3) # SGMVAR
theta_342gss <- c(theta_342s, 20, 30, 40) # SG-StMVAR, M1=1, M2=3
theta_342gss_2 <- c(theta_342s_2, 30, 40) # SG-StMVAR, M1=2, M2=2
theta_342gss_3 <- c(theta_342s_3, 40) # SG-StMVAR, M1=3, M2=1
# p=1, M=2, d=3
alpha1_123_2 <- 0.3
theta_123_2 <- c(upsilon1_123, upsilon2_123, alpha1_123_2)
theta_123t_2 <- c(theta_123_2, 10, 20) # StMVAR
# p=1, M=3, d=3, structural_pars=list(W=W_133)
W_133 <- matrix(c(1, 2, 0, 4, 5, 6, 0, 8, 9), nrow=3)
phi10_133 <- c(0.388, 2.682, -0.388)
phi20_133 <- c(2.433, 5.961, 1.898)
phi30_133 <- c(-0.044, 3.139, 2.595)
A11_133 <- c(0.412, 0.03, 0.117, 0.005, -0.141, 0.038, -0.309, 0.252, 0.043)
A21_133 <- c(0.395, 0.088, -0.108, 0.111, -0.183, -0.227, 0.053, -0.087, 0.007)
A31_133 <- c(0.015, -0.114, -0.111, -0.027, 0.227, -0.275, 0.118, 0.064, 0.198)
W_133pars_with0 <- c(0.215, 0.302, 0, 0.384, 0.986, 1.421, 0, 1.296, 0.684)
lambdas2_133 <- c(1.277, 0.573, 1.225)
lambdas3_133 <- c(0.947, 1.241, 0.084)
alpha1_133_1 <- 0.5; alpha2_133_1 <- 0.1 # perm=c(1, 3, 2)
alpha1_133_2 <- 0.3; alpha2_133_2 <- 0.5 # perm=c(2, 1, 3)
alpha1_133_3 <- 0.1; alpha2_133_3 <- 0.2 # perm=c(3, 2, 1)
alpha1_133_4 <- 0.2; alpha2_133_4 <- 0.1 # perm=c(3, 1, 2)
theta_133s_1 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_1, alpha2_133_1)
theta_133s_2 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_2, alpha2_133_2)
theta_133s_3 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_3, alpha2_133_3)
theta_133s_4 <- c(phi10_133, phi20_133, phi30_133,
A11_133, A21_133, A31_133,
Wvec(W_133pars_with0), lambdas2_133, lambdas3_133,
alpha1_133_4, alpha2_133_4)
theta_133ts_1 <- c(theta_133s_1, 10, 20, 30) # SStMVAR
theta_133gss_1 <- c(theta_133s_1, 20, 30) # GS-StMVAR, M1=1, M2=2
set.seed(1); DAT3 <- matrix(round(rnorm(150), 3), ncol=3)
test_that("sort_components works correctly", {
expect_equal(sort_components(p=1, M=1, d=2, params=theta_112), theta_112)
expect_equal(sort_components(p=1, M=2, d=2, params=theta_122), c(upsilon2_122, upsilon1_122, 1-alpha1_122))
expect_equal(sort_components(p=2, M=2, d=2, params=theta_222), c(upsilon2_222, upsilon1_222, 1-alpha1_222))
expect_equal(sort_components(p=2, M=2, d=2, params=theta_222t, model="StMVAR"), c(upsilon2_222, upsilon1_222, 1-alpha1_222, 20, 10))
expect_equal(sort_components(p=2, M=c(1, 1), d=2, params=theta_222gs, model="G-StMVAR"), theta_222gs)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332), theta_332)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332_2), c(upsilon3_332, upsilon2_332, upsilon1_332,
1-alpha1_332_2-alpha2_332_2, alpha2_332_2))
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332_3), c(upsilon1_332, upsilon3_332, upsilon2_332,
alpha1_332_3, 1-alpha1_332_3-alpha2_332_3))
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR"),
c(upsilon3_332, upsilon2_332, upsilon1_332, 1-alpha1_332_2-alpha2_332_2, alpha2_332_2, 30, 20, 10))
expect_equal(sort_components(p=3, M=c(2, 1), d=2, params=theta_332gs_2, model="G-StMVAR"), c(upsilon2_332, upsilon1_332,
upsilon3_332, alpha2_332_2, alpha1_332_2, 30))
expect_equal(sort_components(p=3, M=c(1, 2), d=2, params=theta_332gs_2_2, model="G-StMVAR"),
c(upsilon1_332, upsilon3_332, upsilon2_332, alpha1_332_2, 1-alpha1_332_2-alpha2_332_2, 30, 20))
expect_equal(sort_components(p=3, M=c(2, 1), d=2, params=theta_332gs_3, model="G-StMVAR"), theta_332gs_3)
expect_equal(sort_components(p=3, M=c(1, 2), d=2, params=theta_332gs_3_2, model="G-StMVAR"),
c(upsilon1_332, upsilon3_332, upsilon2_332, alpha1_332_3, 1-alpha1_332_3-alpha2_332_3, 30, 20))
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342),
c(upsilon4_342, upsilon3_342, upsilon2_342, upsilon1_342, 1-alpha1_342-alpha2_342-alpha3_342, alpha3_342, alpha2_342))
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342_2),
c(upsilon3_342, upsilon2_342, upsilon1_342, upsilon4_342, alpha3_342_2, alpha2_342_2, alpha1_342_2))
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342_3),
c(upsilon2_342, upsilon1_342, upsilon4_342, upsilon3_342, alpha2_342_3, alpha1_342_3, 1-alpha1_342_3-alpha2_342_3-alpha3_342_3))
expect_equal(sort_components(p=3, M=c(2, 2), d=2, params=theta_342gs, model="G-StMVAR"), # perm = 2, 1, 4, 3
c(upsilon2_342, upsilon1_342, upsilon4_342, upsilon3_342, alpha2_342, alpha1_342, 1-alpha1_342-alpha2_342-alpha3_342, 40, 30))
expect_equal(sort_components(p=3, M=c(3, 1), d=2, params=theta_342gs_2, model="G-StMVAR"), # perm = 3, 2, 1, 4
c(upsilon3_342, upsilon2_342, upsilon1_342, upsilon4_342, alpha3_342_2, alpha2_342_2, alpha1_342_2, 40))
expect_equal(sort_components(p=3, M=c(1, 3), d=2, params=theta_342gs_3, model="G-StMVAR"), # perm = 1, 2, 4, 3
c(upsilon1_342, upsilon2_342, upsilon4_342, upsilon3_342, alpha1_342_3, alpha2_342_3,
1-alpha1_342_3-alpha2_342_3-alpha3_342_3, 20, 40, 30))
expect_equal(sort_components(p=1, M=2, d=3, params=theta_123), theta_123)
expect_equal(sort_components(p=1, M=2, d=3, params=theta_123_2), c(upsilon2_123, upsilon1_123, 1-alpha1_123_2))
expect_equal(sort_components(p=1, M=2, d=3, params=theta_123t_2, model="StMVAR"), c(upsilon2_123, upsilon1_123, 1-alpha1_123_2, 20, 10))
expect_equal(sort_components(p=2, M=1, d=3, params=theta_213), theta_213)
# Structural (redecompose_Omegas is tested in matcal and should work)
expect_equal(sort_components(p=1, M=2, d=2, params=theta_122s, structural_pars=list(W=W_122)),
c(phi20_122, phi10_122, vec(A21_122), vec(A11_122), redecompose_Omegas(M=2, d=2, W=W_122, lambdas=lambdas_122, perm=2:1),
1-alpha1_122), tolerance=1e-3)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332s, structural_pars=list(W=W_332)), theta_332s)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332s_2, structural_pars=list(W=W_332)),
c(phi30_332, phi20_332, phi10_332, vec(A31_332), vec(A32_332), vec(A33_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A11_332), vec(A12_332), vec(A13_332),
Wvec(redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(lambdas2_332, lambdas3_332), perm=c(3, 2, 1))),
1 - alpha1_332_2 - alpha2_332_2, alpha2_332_2), tolerance=1e-3)
expect_equal(sort_components(p=3, M=3, d=2, params=theta_332ts_2, model="StMVAR", structural_pars=list(W=W_332)),
c(phi30_332, phi20_332, phi10_332, vec(A31_332), vec(A32_332), vec(A33_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A11_332), vec(A12_332), vec(A13_332),
Wvec(redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(lambdas2_332, lambdas3_332), perm=c(3, 2, 1))),
1 - alpha1_332_2 - alpha2_332_2, alpha2_332_2, 30, 20, 10), tolerance=1e-3)
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342s, structural_pars=list(W=W_342)), # perm=c(4, 3, 2, 1)
c(phi40_342, phi30_342, phi20_342, phi10_342, phi4_342, phi3_342, phi2_342, phi1_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(4, 3, 2, 1))),
1 - alpha1_342 - alpha2_342 - alpha3_342, alpha3_342, alpha2_342), tolerance=1e-3)
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342s_2, structural_pars=list(W=W_342)), # perm=c(3, 2, 1, 4)
c(phi30_342, phi20_342, phi10_342, phi40_342, phi3_342, phi2_342, phi1_342, phi4_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(3, 2, 1, 4))),
alpha3_342_2, alpha2_342_2, alpha1_342_2), tolerance=1e-3)
expect_equal(sort_components(p=3, M=4, d=2, params=theta_342s_3, structural_pars=list(W=W_342)), # perm=c(2, 1, 4, 3)
c(phi20_342, phi10_342, phi40_342, phi30_342, phi2_342, phi1_342, phi4_342, phi3_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(2, 1, 4, 3))),
alpha2_342_3, alpha1_342_3, 1 - alpha1_342_3 - alpha2_342_3 - alpha3_342_3), tolerance=1e-3)
expect_equal(sort_components(p=3, M=c(1, 3), d=2, params=theta_342gss, model="G-StMVAR", structural_pars=list(W=W_342)), # perm=c(1, 4, 3, 2)
c(phi10_342, phi40_342, phi30_342, phi20_342, phi1_342, phi4_342, phi3_342, phi2_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(1, 4, 3, 2))),
alpha1_342, 1 - alpha1_342 - alpha2_342 - alpha3_342, alpha3_342, 40, 30, 20), tolerance=1e-3)
expect_equal(sort_components(p=3, M=c(2, 2), d=2, params=theta_342gss_2, model="G-StMVAR", structural_pars=list(W=W_342)), # perm=c(2, 1, 3, 4)
c(phi20_342, phi10_342, phi30_342, phi40_342, phi2_342, phi1_342, phi3_342, phi4_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(2, 1, 3, 4))),
alpha2_342_2, alpha1_342_2, alpha3_342_2, 30, 40), tolerance=1e-3)
expect_equal(sort_components(p=3, M=c(3, 1), d=2, params=theta_342gss_3, model="G-StMVAR", structural_pars=list(W=W_342)), # perm=c(2, 1, 3, 4)
c(phi20_342, phi10_342, phi30_342, phi40_342, phi2_342, phi1_342, phi3_342, phi4_342,
Wvec(redecompose_Omegas(M=4, d=2, W=W_342, lambdas=c(lambdas2_342, lambdas3_342, lambdas4_342), perm=c(2, 1, 3, 4))),
alpha2_342_3, alpha1_342_3, alpha3_342_3, 40), tolerance=1e-3)
# p=1, M=3, d=3
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_1, structural_pars=list(W=W_133)), # # perm=c(1, 3, 2)
c(phi10_133, phi30_133, phi20_133, A11_133, A31_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(1, 3, 2))),
alpha1_133_1, 1-alpha1_133_1-alpha2_133_1), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133ts_1, model="StMVAR", structural_pars=list(W=W_133)), # # perm=c(1, 3, 2)
c(phi10_133, phi30_133, phi20_133, A11_133, A31_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(1, 3, 2))),
alpha1_133_1, 1-alpha1_133_1-alpha2_133_1, 10, 30, 20), tolerance=1e-3)
expect_equal(sort_components(p=1, M=c(1, 2), d=3, params=theta_133gss_1, model="G-StMVAR", structural_pars=list(W=W_133)), # # perm=c(1, 3, 2)
c(phi10_133, phi30_133, phi20_133, A11_133, A31_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(1, 3, 2))),
alpha1_133_1, 1-alpha1_133_1-alpha2_133_1, 30, 20), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_1, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_1, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_2, structural_pars=list(W=W_133)), # # perm=c(2, 1, 3)
c(phi20_133, phi10_133, phi30_133, A21_133, A11_133, A31_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(2, 1, 3))),
alpha2_133_2, alpha1_133_2), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_2, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_2, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_3, structural_pars=list(W=W_133)), # # perm=c(3, 2, 1)
c(phi30_133, phi20_133, phi10_133, A31_133, A21_133, A11_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(3, 2, 1))),
1-alpha2_133_3-alpha1_133_3, alpha2_133_3), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_3, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_3, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
expect_equal(sort_components(p=1, M=3, d=3, params=theta_133s_4, structural_pars=list(W=W_133)), # # perm=c(3, 1, 2)
c(phi30_133, phi10_133, phi20_133, A31_133, A11_133, A21_133,
Wvec(redecompose_Omegas(M=3, d=3, W=W_133pars_with0, lambdas=c(lambdas2_133, lambdas3_133), perm=c(3, 1, 2))),
1-alpha2_133_4-alpha1_133_4, alpha1_133_4), tolerance=1e-3)
expect_equal(loglikelihood(data=DAT3, p=1, M=3, params=sort_components(p=1, M=3, d=3, params=theta_133s_4, structural_pars=list(W=W_133)),
structural_pars=list(W=W_133), conditional=FALSE),
loglikelihood(data=DAT3, p=1, M=3, params=theta_133s_4, structural_pars=list(W=W_133), conditional=FALSE), tolerance=1e-3)
})
calc_mu <- function(p, M, d, params, model=c("GMVAR", "StMVAR", "G-StMVAR"), constraints=NULL, weight_constraints=NULL,
structural_pars=NULL) {
model <- match.arg(model)
params <- reform_constrained_pars(p, M, d, params, model=model, constraints=constraints, same_means=NULL,
weight_constraints=weight_constraints, structural_pars=structural_pars)
all_A <- pick_allA(p=p, M=M, d=d, params=params, structural_pars=structural_pars)
all_phi0 <- pick_phi0(p=p, M=M, d=d, params=params, structural_pars=structural_pars)
M <- sum(M)
vapply(1:M, function(m) solve(diag(d) - rowSums(all_A[, , , m, drop=FALSE], dims=2), all_phi0[,m]), numeric(d))
}
theta_112_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112, change_to="mean")
theta_122_mu <- change_parametrization(p=1, M=2, d=2, params=theta_122, change_to="mean")
theta_222_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222, change_to="mean")
theta_332_mu <- change_parametrization(p=3, M=3, d=2, params=theta_332, change_to="mean")
theta_342_mu <- change_parametrization(p=3, M=4, d=2, params=theta_342, change_to="mean")
theta_123_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123, change_to="mean")
theta_213_mu <- change_parametrization(p=2, M=1, d=3, params=theta_213, change_to="mean")
theta_222t_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222t, model="StMVAR", change_to="mean")
theta_222gs_mu <- change_parametrization(p=2, M=c(1, 1), d=2, params=theta_222gs, model="G-StMVAR", change_to="mean")
theta_332gs_mu <- change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gs, model="G-StMVAR", change_to="mean")
theta_332gs_mu2 <- change_parametrization(p=3, M=c(2, 1), d=2, params=theta_332gs2, model="G-StMVAR", change_to="mean")
theta_112c_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112c, constraints=C_112, change_to="mean")
theta_222c_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222c, constraints=C_222, change_to="mean")
theta_222c_mu2 <- change_parametrization(p=2, M=2, d=2, params=theta_222_c2, constraints=C_222_2, change_to="mean")
theta_123c_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123c, constraints=C_123, change_to="mean")
theta_123tc_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123tc, model="StMVAR", constraints=C_123, change_to="mean")
theta_332gsc_mu <- change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gsc, model="G-StMVAR", constraints=C_332, change_to="mean")
# SGMVAR
theta_112s_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112s, structural_pars=list(W=W_112), change_to="mean")
theta_222s_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222s, structural_pars=list(W=W_222), change_to="mean")
theta_123s_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123s, structural_pars=list(W=W_123), change_to="mean")
theta_112csWAR_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112csWAR, structural_pars=list(W=W_112),
constraints=C_112, change_to="mean")
theta_222csLAR_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222csLAR, structural_pars=list(W=W_222),
constraints=C_222, change_to="mean")
theta_123csL_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123csL, structural_pars=list(W=W_123),
constraints=NULL, change_to="mean")
theta_123gss_mu <- change_parametrization(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR",
structural_pars=list(W=W_123), change_to="mean")
theta_112tcsWAR_mu <- change_parametrization(p=1, M=1, d=2, params=theta_112tcsWAR, model="StMVAR",
structural_pars=list(W=W_112), constraints=C_112, change_to="mean")
theta_123tcsLAR_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123tcsLAR, model="StMVAR", structural_pars=list(W=W_123),
constraints=C_123, change_to="mean")
# Weight and lambda constraints
theta_122w_mu <- change_parametrization(p=1, M=2, d=2, params=theta_122w, model="GMVAR", weight_constraints=0.7, change_to="mean")
theta_122wsF_mu <- change_parametrization(p=1, M=2, d=2, params=theta_122wsF, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1)), change_to="mean")
theta_332gswsWF_mu <- change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)), change_to="mean")
theta_222tcwsL_mu <- change_parametrization(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222), change_to="mean")
theta_123twsF_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)), change_to="mean")
theta_123w_mu <- change_parametrization(p=1, M=2, d=3, params=theta_123w, model="GMVAR", weight_constraints=0.6, change_to="mean")
test_that("change_parametrization works correctly", {
expect_equal(pick_phi0(p=1, M=1, d=2, params=theta_112_mu), calc_mu(p=1, M=1, d=2, params=theta_112))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112_mu, change_to="intercept"), theta_112)
expect_equal(pick_phi0(p=1, M=2, d=2, params=theta_122_mu), calc_mu(p=1, M=2, d=2, params=theta_122))
expect_equal(change_parametrization(p=1, M=2, d=2, params=theta_122_mu, change_to="intercept"), theta_122)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222_mu), calc_mu(p=2, M=2, d=2, params=theta_222))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222_mu, change_to="intercept"), theta_222)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222t_mu), calc_mu(p=2, M=2, d=2, params=theta_222t, model="StMVAR"))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222t_mu, model="StMVAR", change_to="intercept"), theta_222t)
expect_equal(pick_phi0(p=2, M=c(1, 1), d=2, params=theta_222gs_mu), calc_mu(p=2, M=2, d=2, params=theta_222gs, model="G-StMVAR"))
expect_equal(change_parametrization(p=2, M=c(1, 1), d=2, params=theta_222gs_mu, model="G-StMVAR", change_to="intercept"), theta_222gs)
expect_equal(pick_phi0(p=3, M=3, d=2, params=theta_332_mu), calc_mu(p=3, M=3, d=2, params=theta_332))
expect_equal(change_parametrization(p=3, M=3, d=2, params=theta_332_mu, change_to="intercept"), theta_332)
expect_equal(pick_phi0(p=3, M=c(1, 2), d=2, params=theta_332gs_mu), calc_mu(p=3, M=3, d=2, params=theta_332gs, model="G-StMVAR"))
expect_equal(change_parametrization(p=3, M=c(2, 1), d=2, params=theta_332gs_mu, model="G-StMVAR", change_to="intercept"), theta_332gs)
expect_equal(pick_phi0(p=3, M=c(1, 2), d=2, params=theta_332gs_mu2), calc_mu(p=3, M=3, d=2, params=theta_332gs2, model="G-StMVAR"))
expect_equal(change_parametrization(p=3, M=c(2, 1), d=2, params=theta_332gs_mu2, model="G-StMVAR", change_to="intercept"), theta_332gs2)
expect_equal(pick_phi0(p=3, M=4, d=2, params=theta_342_mu), calc_mu(p=3, M=4, d=2, params=theta_342))
expect_equal(change_parametrization(p=3, M=4, d=2, params=theta_342_mu, change_to="intercept"), theta_342)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123_mu), calc_mu(p=1, M=2, d=3, params=theta_123))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123_mu, change_to="intercept"), theta_123)
expect_equal(pick_phi0(p=2, M=1, d=3, params=theta_213_mu), calc_mu(p=2, M=1, d=3, params=theta_213))
expect_equal(change_parametrization(p=2, M=1, d=3, params=theta_213_mu, change_to="intercept"), theta_213)
expect_equal(matrix(theta_112c_mu[1:(1*2)], nrow=2, byrow=FALSE), calc_mu(p=1, M=1, d=2, constraints=C_112, params=theta_112c))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112c_mu, constraints=C_112, change_to="intercept"), theta_112c)
expect_equal(matrix(theta_222c_mu[1:(2*2)], nrow=2, byrow=FALSE), calc_mu(p=2, M=2, d=2, constraints=C_222, params=theta_222c))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222c_mu, constraints=C_222, change_to="intercept"), theta_222c)
expect_equal(matrix(theta_222c_mu2[1:(2*2)], nrow=2, byrow=FALSE), calc_mu(p=2, M=2, d=2, constraints=C_222_2, params=theta_222_c2))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222c_mu2, constraints=C_222_2, change_to="intercept"), theta_222_c2)
expect_equal(matrix(theta_123c_mu[1:(2*3)], nrow=3, byrow=FALSE), calc_mu(p=1, M=2, d=3, constraints=C_123, params=theta_123c))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123c_mu, constraints=C_123, change_to="intercept"), theta_123c)
expect_equal(matrix(theta_123tc_mu[1:(2*3)], nrow=3, byrow=FALSE),
calc_mu(p=1, M=2, d=3, constraints=C_123, params=theta_123tc, model="StMVAR"))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123tc_mu, constraints=C_123, model="StMVAR", change_to="intercept"),
theta_123tc)
expect_equal(matrix(theta_332gsc_mu[1:(3*2)], nrow=2, byrow=FALSE), calc_mu(p=3, M=c(1, 2), d=2, constraints=C_332,
params=theta_332gsc, model="G-StMVAR"))
expect_equal(change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gsc_mu, constraints=C_332, model="G-StMVAR",
change_to="intercept"), theta_332gsc)
# Structural
expect_equal(pick_phi0(p=1, M=1, d=2, params=theta_112s_mu, structural_pars=list(W=W_112)),
calc_mu(p=1, M=1, d=2, params=theta_112s, structural_pars=list(W=W_112)))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112s_mu, structural_pars=list(W=W_112), change_to="intercept"), theta_112s)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222s_mu, structural_pars=list(W=W_222)),
calc_mu(p=2, M=2, d=2, params=theta_222s, structural_pars=list(W=W_222)))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222s_mu, structural_pars=list(W=W_222), change_to="intercept"), theta_222s)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123s_mu, structural_pars=list(W=W_123)),
calc_mu(p=1, M=2, d=3, params=theta_123s, structural_pars=list(W=W_123)))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123s_mu, change_to="intercept", structural_pars=list(W=W_123)), theta_123s)
expect_equal(pick_phi0(p=1, M=c(1, 1), d=3, params=theta_123gss_mu, structural_pars=list(W=W_123)),
calc_mu(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", structural_pars=list(W=W_123)))
expect_equal(change_parametrization(p=1, M=c(1, 1), d=3, params=theta_123gss_mu, model="G-StMVAR",
change_to="intercept", structural_pars=list(W=W_123)), theta_123gss)
expect_equal(matrix(theta_112csWAR_mu[1:(1*2)], nrow=2, byrow=FALSE),
calc_mu(p=1, M=1, d=2, constraints=C_112, structural_pars=list(W=W_112), params=theta_112csWAR))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112csWAR_mu, constraints=C_112, structural_pars=list(W=W_112),
change_to="intercept"),
theta_112csWAR)
expect_equal(matrix(theta_112tcsWAR_mu[1:(1*2)], nrow=2, byrow=FALSE),
calc_mu(p=1, M=1, d=2, params=theta_112csWAR, model="StMVAR", constraints=C_112, structural_pars=list(W=W_112)))
expect_equal(change_parametrization(p=1, M=1, d=2, params=theta_112tcsWAR_mu, model="StMVAR", constraints=C_112,
structural_pars=list(W=W_112), change_to="intercept"),
theta_112tcsWAR)
expect_equal(matrix(theta_222csLAR_mu[1:(2*2)], nrow=2, byrow=FALSE),
calc_mu(p=2, M=2, d=2, constraints=C_222, structural_pars=list(W=W_222), params=theta_222csLAR))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222csLAR_mu, constraints=C_222, structural_pars=list(W=W_222),
change_to="intercept"),
theta_222csLAR)
expect_equal(matrix(theta_123csL_mu[1:(2*3)], nrow=3, byrow=FALSE),
calc_mu(p=1, M=2, d=3, constraints=NULL, structural_pars=list(W=W_123), params=theta_123csL))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123csL_mu, constraints=NULL, structural_pars=list(W=W_123),
change_to="intercept"),
theta_123csL)
expect_equal(matrix(theta_123tcsLAR_mu[1:(2*3)], nrow=3, byrow=FALSE),
calc_mu(p=1, M=2, d=3, constraints=C_123, structural_pars=list(W=W_123, C_lambda=C_lambda_123), params=theta_123tcsLAR))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123tcsLAR_mu, constraints=C_123, model="StMVAR",
structural_pars=list(W=W_123, C_lambda=C_lambda_123), change_to="intercept"),
theta_123tcsLAR)
# Fixed lambdas or alphas
expect_equal(pick_phi0(p=1, M=2, d=2, params=theta_122w_mu), calc_mu(p=1, M=2, d=2, params=theta_122w, model="GMVAR", weight_constraints=0.7))
expect_equal(change_parametrization(p=1, M=2, d=2, params=theta_122w_mu, model="GMVAR", weight_constraints=0.7, change_to="intercept"),
theta_122w)
expect_equal(pick_phi0(p=1, M=2, d=2, params=theta_122wsF_mu, structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))),
calc_mu(p=1, M=2, d=2, params=theta_122wsF, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1))))
expect_equal(change_parametrization(p=1, M=2, d=2, params=theta_122wsF_mu, model="GMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 1)), change_to="intercept"), theta_122wsF)
expect_equal(pick_phi0(p=3, M=c(1, 2), d=2, params=theta_332gswsWF_mu, structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))),
calc_mu(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1))))
expect_equal(change_parametrization(p=3, M=c(1, 2), d=2, params=theta_332gswsWF_mu, model="G-StMVAR", weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)), change_to="intercept"), theta_332gswsWF)
expect_equal(pick_phi0(p=2, M=2, d=2, params=theta_222tcwsL_mu, structural_pars=list(W=W_222, C_lambda=C_lambda_222)),
calc_mu(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222)))
expect_equal(change_parametrization(p=2, M=2, d=2, params=theta_222tcwsL_mu, model="StMVAR", constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222), change_to="intercept"), theta_222tcwsL)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123twsF_mu, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))),
calc_mu(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1))))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123twsF_mu, model="StMVAR", weight_constraints=0.6,
structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)), change_to="intercept"), theta_123twsF)
expect_equal(pick_phi0(p=1, M=2, d=3, params=theta_123w_mu),
calc_mu(p=1, M=2, d=3, params=theta_123w, model="GMVAR", weight_constraints=0.6))
expect_equal(change_parametrization(p=1, M=2, d=3, params=theta_123w_mu, model="StMVAR", weight_constraints=0.6,
change_to="intercept"), theta_123w)
})
theta_122_cr <- c(upsilon2_122, upsilon2_122, alpha1_122)
theta_222_cr <- c(upsilon1_222, upsilon1_222, alpha1_222)
theta_332_cr <- c(upsilon1_332, upsilon2_332, upsilon2_332, alpha1_332, alpha2_332)
theta_123_cr1 <- c(upsilon1_123, upsilon1_123, alpha1_123)
theta_123_cr2 <- c(upsilon2_123, upsilon2_123, alpha1_123)
theta_222s <- c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(A21_222),
vec(A22_222), vec(W_222), lambdas_222, alpha1_222)
theta_122t_cr <- c(theta_122_cr, 15, 20) # StMVAR
theta_222gs_cr <- c(theta_222_cr, 25) # G-StMVAR, M1=1, M2=1
theta_332gs_cr <- c(theta_332_cr, 20, 35) # G-StMVAR, M1=1, M2=2
theta_332gs_cr2 <- c(upsilon2_332, upsilon2_332, upsilon3_332, alpha1_332, alpha2_332, 20, 30) # G-StMVAR, M1=1, M2=2
theta_123t_cr <- c(theta_123_cr1, 20, 30) # StMVAR
## A(M)(p)_(p)(M)(d)
theta_122_crs <- c(phi10_122, phi10_122, vec(A11_122), vec(A11_122), Wvec(W_122), lambdas_122, alpha1_122)
theta_122_crs2 <- c(phi20_122, phi20_122, vec(A21_122), vec(A21_122), Wvec(W_122), lambdas_122, alpha1_122)
theta_222_crs <- c(phi10_222, phi10_222, vec(A11_222), vec(A12_222), vec(A11_222), vec(A12_222), Wvec(W_222), lambdas_222, alpha1_222)
theta_332_crs <- c(phi10_332, phi20_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332),
vec(A21_332), vec(A22_332), vec(A23_332), vec(A21_332), vec(A22_332), vec(A23_332),
Wvec(W_332), lambdas2_332, lambdas3_332, alpha1_332, alpha2_332)
theta_123_crs <- c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), Wvec(W_123), lambdas_123, alpha1_123)
theta_123_crs2 <- c(phi20_123, phi20_123, vec(A21_123), vec(A21_123), Wvec(W_123), lambdas_123, alpha1_123)
theta_222t_crs <- c(theta_222_crs, 10, 25) # SStMVAR
theta_332gs_crs <- c(theta_332_crs, 20, 35) # SG-StMVAR, M1=1, M2=2
theta_123gs_crs <- c(theta_123_crs, 30) # SG-StMVAR, M1=1, M2=1
theta_123gs_crs2 <- c(theta_123_crs2, 25) # SG-StMVAR, M1=1, M2=1
test_that("change_regime works correctly", {
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122, m=1, regime_pars=upsilon2_122), theta_122_cr)
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122t, model="StMVAR", m=1, regime_pars=c(upsilon2_122, 15)), theta_122t_cr)
expect_equal(change_regime(p=2, M=2, d=2, params=theta_222, m=2, regime_pars=upsilon1_222), theta_222_cr)
expect_equal(change_regime(p=2, M=c(1, 1), d=2, params=theta_222gs, model="G-StMVAR", m=2, regime_pars=c(upsilon1_222, 25)), theta_222gs_cr)
expect_equal(change_regime(p=3, M=3, d=2, params=theta_332, m=3, regime_pars=upsilon2_332), theta_332_cr)
expect_equal(change_regime(p=3, M=c(1, 2), d=2, params=theta_332gs, model="G-StMVAR", m=3, regime_pars=c(upsilon2_332, 35)), theta_332gs_cr)
expect_equal(change_regime(p=3, M=c(1, 2), d=2, params=theta_332gs, model="G-StMVAR", m=1, regime_pars=c(upsilon2_332)), theta_332gs_cr2)
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123, m=2, regime_pars=upsilon1_123), theta_123_cr1)
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123t, m=2, model="StMVAR", regime_pars=c(upsilon1_123, 30)), theta_123t_cr)
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123, m=1, regime_pars=upsilon2_123), theta_123_cr2)
# SGMVAR
rpars122_m1 <-c(phi20_122, vec(A21_122))
rpars122_m2 <-c(phi10_122, vec(A11_122))
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122s, m=2, regime_pars=rpars122_m2,
structural_pars=list(W=W_122)), theta_122_crs, tol=1-6)
expect_equal(change_regime(p=1, M=2, d=2, params=theta_122s, m=1, regime_pars=rpars122_m1,
structural_pars=list(W=W_122)), theta_122_crs2, tol=1e-6)
rpars222_m2 <- c(phi10_222, vec(A11_222), vec(A12_222))
expect_equal(change_regime(p=2, M=2, d=2, params=theta_222s, m=2, regime_pars=rpars222_m2,
structural_pars=list(W=W_222)), theta_222_crs, tol=1-6)
expect_equal(change_regime(p=2, M=2, d=2, params=theta_222ts, model="StMVAR", m=2, regime_pars=c(rpars222_m2, 25),
structural_pars=list(W=W_222)), theta_222t_crs, tol=1-6)
rpars332_m3 <- c(phi20_332, vec(A21_332), vec(A22_332), vec(A23_332))
expect_equal(change_regime(p=3, M=3, d=2, params=theta_332sWC, m=3, regime_pars=rpars332_m3,
structural_pars=list(W=W_332)), theta_332_crs, tol=1-6)
expect_equal(change_regime(p=3, M=c(1, 2), d=2, params=theta_332gssWC, model="G-StMVAR", m=3, regime_pars=c(rpars332_m3, 35),
structural_pars=list(W=W_332)), theta_332gs_crs, tol=1-6)
rpars123_m2 <- c(phi10_123, vec(A11_123))
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123s, m=2, regime_pars=rpars123_m2,
structural_pars=list(W=W_123)), theta_123_crs, tol=1-6)
expect_equal(change_regime(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", m=2, regime_pars=c(rpars123_m2, 30),
structural_pars=list(W=W_123)), theta_123gs_crs, tol=1-6)
rpars123_m1 <- c(phi20_123, vec(A21_123))
expect_equal(change_regime(p=1, M=2, d=3, params=theta_123s, m=1, regime_pars=rpars123_m1,
structural_pars=list(W=W_123)), theta_123_crs2, tol=1-6)
expect_equal(change_regime(p=1, M=c(1, 1), d=3, params=theta_123gss, model="G-StMVAR", m=1, regime_pars=rpars123_m1,
structural_pars=list(W=W_123)), theta_123gs_crs2, tol=1-6)
})
params122s <- c(1.03, 2.36, 1.79, 3, 1, -0.06, -0.04, 1, 1.02, -0.04, -0.02, 1.02, -0.89, -0.72, 0.37, -2.16, 7.16, 1.3, 0.37)
params222s <- c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, -0.89, -0.72, 0.37, -2.16, 7.16, 1.3, 0.37)
params222s_2 <- c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, -0.89, -0.72, 0.37, -2.16, 1.16, 1.3, 0.37)
params123s <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 1.13, 1.12, 1.08, 0.6)
params123s_2 <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 1.08, 1.13, 1.12, 0.6)
params123s_3 <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 1.12, 1.08, 1.13, 0.6)
params222cs <- c(-0.11, 2.83, 0.36, 3.19, 1.26, 1.34, -0.29, -0.36, -0.88, -0.76, 0.46, -2.16, 6.97, 1.2, 0.35)
params123cs <- c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 3, 1, 2, 0.6)
params122csm <- c(1.03, 2.36, 1, -0.06, -0.04, 1, -0.89, -0.72, 0.37, -2.16, 2, 1, 0.37)
params222csm <- c(1.03, 2.36, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, -0.89, -0.72, 0.37, -2.16, 2, 1, 0.37)
params123csm <- c(1.1, 2.2, 3.3, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2, -0.32, -0.13,
-0.23, -3, 0.47, 0.39, -1.23, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 3, 2, 1, 0.6)
# structural_pars=list(W=matrix(c(1, 1, NA, NA), nrow=2, byrow=FALSE))
params132s <- c(1.15, 0.28, 0.32, 0.16, 1.83, 0.64, 0.13, -0.03, -1.05, 0.42, 0.46, 0.11, 0.14, 0.66, 0.08,
-0.03, -0.73, 0.66, 0.58, 0.02, -0.07, 0.11, 4, 1, 3.81, 10.75, 0.43, 0.4)
# SStMVAR
params122ts <- c(params122s, 10, 20)
params222ts <- c(params222s, 10, 20)
params123ts_2 <- c(params123s_2, 10, 20)
params222tcs <- c(params222cs, 10, 20)
params123tcsm <- c(params123csm, 10, 20)
# SG-StMVAR
params222gss_2 <- c(params222s_2, 20) # M1=1, M2=1
params123gss_3 <- c(params123s_3, 20) # M1=1, M2=1
params132gss <- c(params132s, 30) # M1=2, M1=1
params132gss_2 <- c(params132s, 20, 30) # M1=1, M2=2
params123gscs <- c(params123cs, 20) # M1=1, M2=1
params222gscsm <- c(params222csm, 20) # M1=1, M2=1
test_that("sort_W_and_lambdas works correctly", {
expect_equal(sort_W_and_lambdas(p=1, M=2, d=2, params=params122s),
c(1.03, 2.36, 1.79, 3, 1, -0.06, -0.04, 1, 1.02, -0.04, -0.02, 1.02, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=2, params=params122ts, model="StMVAR"),
c(1.03, 2.36, 1.79, 3, 1, -0.06, -0.04, 1, 1.02, -0.04, -0.02, 1.02, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37, 10, 20))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222s),
c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222ts, model="StMVAR"),
c(1.03, 2.36, 1.79, 3, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 1.2, 0.05, 0.05, 1.3, -0.3, -0.1,
-0.05, -0.4, 0.37, -2.16, -0.89, -0.72, 1.3, 7.16, 0.37, 10, 20))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222s_2), params222s_2)
expect_equal(sort_W_and_lambdas(p=2, M=c(1, 1), d=2, params=params222gss_2, model="G-StMVAR"), params222gss_2)
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123s),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 0.47, 0.39, -1.23, 1.08, 1.12, 1.13, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123s_2),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 1.08, 1.12, 1.13, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123ts_2, model="StMVAR"),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 1.08, 1.12, 1.13, 0.6, 10, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123s_3),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 1.08, 1.12, 1.13, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=c(1, 1), d=3, params=params123gss_3, model="G-StMVAR"),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, 0.47, 0.39, -1.23, -0.67, -0.92, -1.2, 1.08, 1.12, 1.13, 0.6, 20))
expect_equal(sort_W_and_lambdas(p=1, M=c(2, 1), d=2, params=params132gss, model="G-StMVAR"),
c(1.15, 0.28, 0.32, 0.16, 1.83, 0.64, 0.13, -0.03, -1.05, 0.42, 0.46, 0.11, 0.14, 0.66, 0.08,
-0.03, -0.73, 0.66, -0.07, 0.11, 0.58, 0.02, 1, 4, 10.75, 3.81, 0.43, 0.4, 30))
expect_equal(sort_W_and_lambdas(p=1, M=c(1, 2), d=2, params=params132gss_2, model="G-StMVAR"),
c(1.15, 0.28, 0.32, 0.16, 1.83, 0.64, 0.13, -0.03, -1.05, 0.42, 0.46, 0.11, 0.14, 0.66, 0.08,
-0.03, -0.73, 0.66, -0.07, 0.11, 0.58, 0.02, 1, 4, 10.75, 3.81, 0.43, 0.4, 20, 30))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222cs),
c(-0.11, 2.83, 0.36, 3.19, 1.26, 1.34, -0.29, -0.36, 0.46, -2.16, -0.88, -0.76, 1.2, 6.97, 0.35))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222tcs, model="StMVAR"),
c(-0.11, 2.83, 0.36, 3.19, 1.26, 1.34, -0.29, -0.36, 0.46, -2.16, -0.88, -0.76, 1.2, 6.97, 0.35, 10, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123cs),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 0.47, 0.39, -1.23, 1, 2, 3, 0.6))
expect_equal(sort_W_and_lambdas(p=1, M=c(1, 1), d=3, params=params123gscs, model="G-StMVAR"),
c(1.1, 2.2, 3.3, 1.11, 2.22, 3.33, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2,
-0.32, -0.13, -0.23, -3, 0.58, -1, 0.18, -0.67, -0.92, -1.2, 0.47, 0.39, -1.23, 1, 2, 3, 0.6, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=2, params=params122csm),
c(1.03, 2.36, 1, -0.06, -0.04, 1, 0.37, -2.16, -0.89, -0.72, 1, 2, 0.37))
expect_equal(sort_W_and_lambdas(p=2, M=2, d=2, params=params222csm),
c(1.03, 2.36, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 0.37, -2.16, -0.89, -0.72, 1, 2, 0.37))
expect_equal(sort_W_and_lambdas(p=2, M=c(1, 1), d=2, params=params222gscsm, model="G-StMVAR"),
c(1.03, 2.36, 1.25, 0.06, 0.04, 1.34, -0.29, -0.08, -0.05, -0.36, 0.37, -2.16, -0.89, -0.72, 1, 2, 0.37, 20))
expect_equal(sort_W_and_lambdas(p=1, M=2, d=3, params=params123tcsm, model="StMVAR"),
c(1.1, 2.2, 3.3, 1, 0.21, 0.31, 0.12, 2, 0.32, 0.13, 0.23, 3, -1, -0.21, -0.31, -0.12, -2, -0.32, -0.13,
-0.23, -3, -0.67, -0.92, -1.2, 0.58, -1, 0.18, 0.47, 0.39, -1.23, 1, 2, 3, 0.6, 10, 20))
})
test_that("sort_and_standardize_alphas works correctly", {
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), constraints=1), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.2, 0.5), same_means=1), c(0.3, 0.2, 0.5))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.2, 0.5), structural_pars=list(W=1, C_lambda=1)), c(0.3, 0.2, 0.5))
expect_equal(sort_and_standardize_alphas(alphas=c(3, 1, 6), constraints=1), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.9, 0.1)), c(0.9, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(0.4, 0.6)), c(0.6, 0.4))
expect_equal(sort_and_standardize_alphas(alphas=c(4, 6)), c(0.6, 0.4))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6)), c(0.6, 0.3, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(8, 2), structural_pars=list(1)), c(0.8, 0.2))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.7), structural_pars=list(1)), c(0.7, 0.3))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), structural_pars=list(1)), c(0.6, 0.3, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(3, 2, 5), structural_pars=list(1)), c(0.5, 0.3, 0.2))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), model="StMVAR"), c(0.6, 0.3, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(4, 6), model="StMVAR"), c(0.6, 0.4))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), constraints=1, model="G-StMVAR"), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.4, 0.6), M=c(1, 1), model="G-StMVAR"), c(0.4, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(4, 6), M=c(1, 1), model="G-StMVAR"), c(0.4, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(0.3, 0.1, 0.6), M=c(1, 2), model="G-StMVAR"), c(0.3, 0.6, 0.1))
expect_equal(sort_and_standardize_alphas(alphas=c(3, 1, 6), M=c(2, 1), model="G-StMVAR"), c(0.3, 0.1, 0.6))
expect_equal(sort_and_standardize_alphas(alphas=c(1, 2, 3, 4), M=c(2, 2), model="G-StMVAR"), c(0.2, 0.1, 0.4, 0.3))
expect_equal(sort_and_standardize_alphas(alphas=c(1, 2, 3, 4), M=c(1, 3), model="G-StMVAR"), c(0.1, 0.4, 0.3, 0.2))
expect_equal(sort_and_standardize_alphas(alphas=c(1, 3, 2, 4), M=c(3, 1), model="G-StMVAR"), c(0.3, 0.2, 0.1, 0.4))
})
theta_112t_2 <- c(theta_112, 10)
theta_222_sorted <- sort_components(p=2, M=2, d=2, params=theta_222)
theta_222t_2 <- c(theta_222, 22, 20)
theta_222t_3 <- c(theta_222, 10, 20)
theta_222gs_2 <- c(theta_222, 100)
theta_332t_2 <- c(theta_332, 10, 20, 30)
theta_332t_3 <- c(theta_332, 10, 30, 20)
theta_332gs_2 <- c(theta_332, 20, 30)
# p=1, M=2, d=2, model="StMVAR", weight_constraints=0.83, structural_pars=list(W=W_122, fixed_lambdas=c(7, 3))
params12twsF <- c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), 10, 1000)
test_that("stmvarpar_to_gstmvar works correctly", {
expect_equal(suppressWarnings(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=100)$params),
theta_112t_2, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=9)$params), theta_112, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=9)$reg_order), 1, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112t_2, model="StMVAR", maxdf=9)$M), c(1, 0), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112ts, model="StMVAR", maxdf=9)$params), theta_112s, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222t_2, model="StMVAR", maxdf=10)$params),
theta_222_sorted, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222t_2, model="StMVAR", maxdf=20)$params),
c(theta_222, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222t_3, model="StMVAR", maxdf=10)$params),
c(theta_222_sorted, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=c(1, 1), d=2, params=theta_222gs_2, model="G-StMVAR", maxdf=20)$params),
theta_222_sorted, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=20)$params),
c(upsilon3_332, upsilon1_332, upsilon2_332, 1-alpha1_332-alpha2_332, alpha1_332, 10, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=20)$M), c(1, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=20)$reg_order),
c(3, 1, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_2, model="StMVAR", maxdf=10)$params),
c(upsilon2_332, upsilon3_332, upsilon1_332, alpha2_332, 1-alpha1_332-alpha2_332, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_3, model="StMVAR", maxdf=20)$params),
c(upsilon2_332, upsilon1_332, upsilon3_332, alpha2_332, alpha1_332, 10, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_3, model="StMVAR", maxdf=20)$M), c(1, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332t_3, model="StMVAR", maxdf=20)$reg_order),
c(2, 1, 3), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gs_2, model="G-StMVAR", maxdf=20)$params),
c(upsilon1_332, upsilon3_332, upsilon2_332, alpha1_332, 1-alpha1_332-alpha2_332, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gs_2, model="G-StMVAR", maxdf=20)$M),
c(2, 1), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gs_2, model="G-StMVAR", maxdf=20)$reg_order),
c(1, 3, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=1, d=2, params=theta_112tcsWAR, model="StMVAR", constraints=C_112,
structural_pars=list(W=W_112), maxdf=3)$params), theta_112csWAR, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=c(1, 1), d=2, params=c(theta_122c, 10), model="G-StMVAR",
constraints=C_122, maxdf=3)$params),
c(phi20_122, vec(A11_122), vech(Omega2_122), phi10_122, vec(A11_122), vech(Omega1_122), 1-alpha1_122), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=c(1, 1), d=2, params=c(theta_122csLAR, 10), model="G-StMVAR",
constraints=C_122, structural_pars=list(W=W_122, C_lambda=C_lambda_122), maxdf=3)$params),
c(phi20_122, phi10_122, vec(A11_122), vec(A11_122), redecompose_Omegas(M=2, d=2, W=W_122, lambdas=c(0.5, 0.5), perm=2:1)[1:4],
2, 2, 1-alpha1_122), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c, 20, 10), model="StMVAR", constraints=C_222,
maxdf=10)$params),
c(theta_222c, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c, 10, 20), model="StMVAR", constraints=C_222,
maxdf=10)$params),
c(phi20_222, vec(A11_222), vec(A12_222), vech(Omega2_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega1_222), 1-alpha1_222, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=c(theta_332csWLAR, 20, 30), model="G-StMVAR",
constraints=C_332, structural_pars=list(W=W_332, C_lambda=C_lambda_332), maxdf=20)$params),
c(phi10_332, phi30_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A11_332), vec(A12_332), vec(A13_332),
vec(A11_332), vec(A12_332), vec(A13_332), Wvec(W_332), 2, 2, 1, 1, alpha1_332, 1-alpha1_332-alpha2_332, 20), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c_int, 10, 20), model="StMVAR",
constraints=C_222, same_means=list(1:2), maxdf=10)$params),
c(phi10_222, vec(A11_222), vec(A12_222), vech(Omega2_222), phi10_222, vec(A11_222), vec(A12_222),
vech(Omega1_222), 1-alpha1_222, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c_int, 20, 10), model="StMVAR",
constraints=C_222, same_means=list(1:2), maxdf=10)$params),
c(theta_222c_int, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=c(theta_222c_int, 20, 10), model="StMVAR",
constraints=C_222, same_means=list(1:2), maxdf=10)$same_means),
list(1:2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=c(theta_332c_int, 30, 20), model="G-StMVAR",
constraints=C_332, structural_pars=list(W=W_332, C_lambda=C_lambda_332), maxdf=20)$params),
c(theta_332c_int, 20), tol=1e-6)
redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(1, 1, 2), perm=2:1)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=c(theta_123csLAR_int, 10, 20), model="StMVAR", constraints=C_123,
structural_pars=list(W=W_123, C_lambda=C_lambda_123), same_means=list(1:2),
maxdf=10)$params),
c(phi10_123, phi10_123, vec(A11_123), vec(A11_123), redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(1, 1, 2), perm=2:1)[1:9],
1, 1, 0.5, 1-alpha1_123, 10), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=11.5)$params),
c(upsilon2_122, upsilon1_122, 11), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=11.5)$weight_constraints), 0.3, tol=1e-6)
expect_equal(suppressWarnings(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=13)$params), theta_122tw, tol=1e-6)
expect_equal(suppressWarnings(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=theta_122tw, model="StMVAR", weight_constraints=0.7,
maxdf=13)$weight_constraints), 0.7, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=c(1, 1), d=2, params=theta_122gsws, model="G-StMVAR", weight_constraints=0.7,
structural_pars=list(W=W_122), maxdf=10)$params),
c(phi10_122, phi20_122, vec(A11_122), vec(A21_122), vec(W_122), lambdas_122), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR",
weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)), maxdf=11.5)$params),
c(phi10_332, phi30_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vec(A31_332),
vec(A32_332), vec(A33_332), vec(A21_332), vec(A22_332), vec(A23_332), Wvec(W_332), 11), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR",
weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$weight_constraints), c(0.5, 0.2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(1, 2), d=2, params=theta_332gswsWF, model="G-StMVAR",
weight_constraints=c(0.5, 0.3),
structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$fixed_lambdas),
c(6, 1, 7, 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=2, M=2, d=2, params=theta_222tcwsL, model="StMVAR",
constraints=C_222, weight_constraints=0.7,
structural_pars=list(W=W_222, C_lambda=C_lambda_222),
maxdf=10)$params),
c(phi10_222, phi20_222, vec(A11_222), vec(A12_222), vec(W_222), 0.2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR",
weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)),
maxdf=11.5)$params),
c(phi20_123, phi10_123, vec(A21_123), vec(A11_123),
redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(3, 2, 1), perm=2:1)[1:9], 11), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR",
weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)),
maxdf=11.5)$weight_constraints), 0.4, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=1, M=2, d=3, params=theta_123twsF, model="StMVAR",
weight_constraints=0.6, structural_pars=list(W=W_123, fixed_lambdas=c(3, 2, 1)),
maxdf=11.5)$fixed_lambdas),
redecompose_Omegas(M=2, d=3, W=W_123, lambdas=c(3, 2, 1), perm=2:1)[10:12], tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$params),
c(phi10_332, phi20_332, vec(A11_332), vec(A12_332), vec(A13_332), vech(Omega1_332), vech(Omega2_332),
vech(Omega3_332)), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$weight_constraints), c(0.5, 0.3), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$same_means), list(1, 2:3), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=c(2, 1), d=2, params=theta_332gscmw, model="G-StMVAR",
constraints=C_332, same_means=list(1, 2:3), weight_constraints=c(0.5, 0.3),
maxdf=10)$fixed_lambdas), NULL, tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR",
same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$params),
c(phi10_332, phi30_332, vec(A21_332), vec(A22_332), vec(A23_332), vec(A31_332), vec(A32_332), vec(A33_332),
vec(A11_332), vec(A12_332), vec(A13_332),
Wvec(redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(7, 2, 6, 1), perm=c(2, 3, 1))[1:4]),
alpha2_332, 1-alpha1_332-alpha2_332, 11),
tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR",
same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$same_means), list(c(1, 3), 2), tol=1e-6)
expect_equal(suppressMessages(stmvarpars_to_gstmvar(p=3, M=3, d=2, params=theta_332tmsWF, model="StMVAR",
same_means=list(1:2, 3), structural_pars=list(W=W_332, fixed_lambdas=c(7, 2, 6, 1)),
maxdf=11.5)$fixed_lambdas),
redecompose_Omegas(M=3, d=2, W=W_332, lambdas=c(7, 2, 6, 1), perm=c(2, 3, 1))[5:8], tol=1e-6)
expect_equal(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=params12twsF, model="StMVAR", weight_constraints=0.83,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 3)), maxdf=100)$params,
c(phi20_122, phi10_122, vec(A21_122), vec(A11_122),
redecompose_Omegas(M=2, d=2, W=W_122, lambdas=c(7, 3), perm=2:1)[1:4], 10), tolerance=1e-6)
expect_equal(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=params12twsF, model="StMVAR", weight_constraints=0.83,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 3)), maxdf=100)$weight_constraints,
1 - 0.83, tolerance=1e-6)
expect_equal(stmvarpars_to_gstmvar(p=1, M=2, d=2, params=params12twsF, model="StMVAR", weight_constraints=0.83,
structural_pars=list(W=W_122, fixed_lambdas=c(7, 3)), maxdf=100)$fixed_lambdas,
c(0.1428571, 0.3333333), tolerance=1e-5)
})
rpars122_1 <-c(phi20_122, vec(A21_122))
rpars122_2 <-c(phi10_122, vec(A11_122))
rpars122t_1 <- c(rpars122_1, 1001)
rpars122t_2 <- c(rpars122_2, 1010)
rpars332_1 <- c(phi10_332, vec(A11_332), vec(A12_332), vec(A13_332))
rpars332_2 <- c(phi20_332, vec(A21_332), vec(A22_332), vec(A23_332))
rpars332t_1 <- c(rpars332_1, 3)
rpars332t_2 <- c(rpars332_2, 13)
test_that("regime_distance works correctly", {
expect_equal(regime_distance(regime_pars1=rpars122_1, regime_pars2=rpars122_2), 1.274159, tol=1e-4)
expect_equal(regime_distance(regime_pars1=rpars122t_1, regime_pars2=rpars122t_2), 1.274159, tol=1e-4)
expect_equal(regime_distance(regime_pars1=rpars332_1, regime_pars2=rpars332_2), 0.7478055, tol=1e-4)
expect_equal(regime_distance(regime_pars1=rpars332t_1, regime_pars2=rpars332t_2), 0.7668853, tol=1e-4)
})
Try the gmvarkit package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.