tests/testthat/test-estimation.R

In mfGARCH: Mixed-Frequency GARCH Models

test_that("Estimation K = 0", {
  expect_warning(
    mgarch_0 <- fit_mfgarch(data = df_financial,
                            y = "return",
                            K = 0)$par
  )

  expect_warning(
    mgarch_0 <- fit_mfgarch(data = df_financial,
                            y = "return",
                            gamma = FALSE,
                            K = 0)$par
  )
})

test_that("Estimation K = 1",{

  expect_equal(
    fit_mfgarch(data = df_financial[1:3000, ],
                y = "return",
                x = "nfci",
                gamma = TRUE,
                low.freq = "week",
                K = 1)$variance.ratio,
    30.830933045276875504
  )

  expect_equal(
    fit_mfgarch(data = df_financial[1:3000, ],
                y = "return",
                x = "nfci",
                low.freq = "week",
                gamma = FALSE,
                K = 1)$variance.ratio,
    53.461662482177914058
  )
})

test_that("Estimation K > 1", {
  expect_equal(
    fit_mfgarch(data = df_financial[1:3000, ],
                y = "return",
                x = "nfci",
                low.freq = "week",
                K = 52)$variance.ratio,
    54.052884655522021262
  )

  expect_equal(
    fit_mfgarch(data = df_financial[1:3000, ],
                y = "return",
                x = "nfci",
                low.freq = "week",
                gamma = FALSE,
                K = 52)$variance.ratio,
    59.96264020017222407
  )

  expect_equal(
    fit_mfgarch(data = df_financial[1:3000, ],
                y = "return",
                x = "nfci",
                low.freq = "week",
                gamma = FALSE,
                K = 52,
                weighting = "beta.unrestricted")$variance.ratio,
    58.795726277274134475
  )

})

test_that("Esimtation two covariates", {
  expect_equal(
    fit_mfgarch(data = dplyr::filter(df_mfgarch, is.na(vix) == FALSE),
                y = "return", x = "vix", low.freq = "date", K = 12,
                x.two = "nai", K.two = 36, low.freq.two = "year_month")$variance.ratio,
    71.736241116258895545
  )
})

test_that("Error testing", {

  expect_error( # K should not be smaller than 0 and should be an integer
    fit_mfgarch(data = df_financial,
                y = "return",
                x = "nfci",
                K = -10)
  )
  expect_error( # K should not be smaller than 0 and should be an integer
    fit_mfgarch(data = df_financial,
                y = "return",
                x = "nfci",
                K = 0.22)
  )
  expect_error( # nfci includes NAs
    fit_mfgarch(data = (df_financial$nfci[1:2] <- NA),
                y = "return",
                x = "nfci",
                K = 52)
  )
  expect_error(
    fit_mfgarch(data = (df_financial$return[1:2] <- NA),
                y = "return",
                x = "nfci",
                K = 52)
  )

  # expect_equal(
  #   get_alfred_series("INDPRO", "test",
  #                     observation_start = "2013-03-01", observation_end = "2013-03-01",
  #                     realtime_start = "2015-02-02", realtime_end = "2015-02-02"),
  #   data.frame(
  #     date = as.Date("2013-03-01"),
  #     realtime_period  = as.Date("2015-02-02"),
  #     test = 99.488)
  # )
  # expect_equal(
  #   dplyr::filter(get_alfred_series("INDPRO", "test",
  #                                   realtime_start = "2015-02-02", realtime_end = "2015-02-02"),
  #                 date == "2013-03-01"),
  #   data.frame(
  #     date = as.Date("2013-03-01"),
  #     realtime_period  = as.Date("2015-02-02"),
  #     test = 99.488)
  # )
  # expect_equal(
  #   dplyr::filter(get_alfred_series("INDPRO", "test",
  #                                   observation_start = "2009-03-01", observation_end = "2009-03-01"),
  #                 realtime_period == "2015-02-18"),
  #   data.frame(
  #     date = as.Date("2009-03-01"),
  #     realtime_period = as.Date("2015-02-18"),
  #     test = 85.6157)
  # )
  # expect_equal(
  #   get_fred_series("INDPRO", "test",
  #                   observation_start = "2009-03-01", observation_end = "2009-03-01"),
  #   data.frame(
  #     date = as.Date("2009-03-01"),
  #     test = 89.1913)
  # )
  # expect_equal(
  #   dplyr::filter(get_fred_series("INDPRO", "test"),
  #                 date == "2009-03-01"),
  #   data.frame(
  #     date = as.Date("2009-03-01"),
  #     test = 89.1913)
  # )
  # expect_error(
  #   get_fred_series(1231232, "test",
  #                   observation_start = "2009-03-01", observation_end = "2009-03-01")
  # )
  # expect_error(
  #   get_alfred_series(1231232, "test",
  #                     observation_start = "2009-03-01", observation_end = "2009-03-01")
  # )
})