tests/testthat/test-regime_var.R

In sovereign: State-Dependent Empirical Analysis

test_that("threshold VAR workflow", {

  # simple time series
  AA = c(1:100) + rnorm(100)
  BB = c(1:100) + rnorm(100)
  CC = AA + BB^2 + rnorm(100)
  date = seq.Date(from = as.Date('2000-01-01'), by = 'month', length.out = 100)
  Data = data.frame(date = date, AA, BB, CC)

  # estimate VAR
  rvar =
    RVAR(
      data = Data,
      p = 1,
      type = 'both',
      horizon = 10,
      freq = 'month')

  expect_true(is.list(rvar))
  expect_true(is.list(rvar$model))
  expect_true(is.list(rvar$forecasts))
  expect_true(is.list(rvar$residuals))

  # estimate VAR (with lag selection)

  Data = dplyr::mutate(Data, reg = dplyr::if_else(AA > median(AA), 1, 0))

  rvar =
    RVAR(
      data = Data,
      regime = 'reg',
      horizon = 10,
      freq = 'month',
      lag.ic = 'BIC',
      lag.max = 4)

  expect_true(is.list(rvar))
  expect_true(is.list(rvar$model))
  expect_true(is.list(rvar$forecasts))
  expect_true(is.list(rvar$residuals))

  # estimate IRF
  irf =
    rvar_irf(
      rvar,
      bootstrap.num = 10,
      CI = c(0.05,0.95))

  expect_true(is.data.frame(irf[[1]]))

  # estimate forecast error variance decomposition
  fevd =
    rvar_fevd(
      rvar,
      horizon = 10)

  expect_true(is.list(fevd))

  plot.fevd.1 = plot_fevd(fevd[[1]])
  plot.fevd.2 = plot_fevd(fevd[[2]])

  expect_true(is.list(plot.fevd.1))
  expect_true(is.list(plot.fevd.1))

  # estimate hd
  hd = rvar_hd(rvar)

  expect_true(is.data.frame(hd))

  # plot hd
  plot.hd = plot_hd(hd)

  expect_true(is.list(plot.hd))


})