Nothing
context("test-id.garch.R")
test_that("unrestricted id.garch estimation with 3-dim works", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(USA, p = 6)
x1 <- id.garch(v1)
expect_equal(round(x1$Lik, 1), -549.3)
expect_equal(round(sum(x1$B), 2), -1.75)
expect_equal(x1$K, 3)
expect_equal(x1$n, 169)
#expect_equal(x1$restrictions,0)
expect_equal(x1$p, 6)
expect_equal(x1$iteration, 5)
expect_match(x1$method, "GARCH")
})
test_that("unrestricted id.garch with 2-dim works", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(USA[,-3], p = 3, ic = "AIC" )
x1 <- id.garch(v1)
expect_equal(round(x1$Lik), -412)
expect_equal(round(sum(x1$B), 2), 1.79)
expect_equal(x1$K, 2)
expect_equal(x1$n, 172)
#expect_equal(x1$restrictions, 0)
expect_equal(x1$p, 3)
expect_equal(x1$iteration, 5)
expect_match(x1$method, "GARCH")
})
test_that("unrestricted id.garch with 2-dim works with constant + trend", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(USA[,-3], p = 3, type = 'both')
x1 <- id.garch(v1)
expect_equal(round(x1$Lik, 2), -406.55)
expect_equal(round(sum(x1$B), 2), -1.29)
expect_equal(x1$K, 2)
expect_equal(x1$n, 172)
#expect_equal(x1$restrictions, 0)
expect_equal(x1$p, 3)
expect_equal(x1$iteration, 5)
expect_match(x1$method, "GARCH")
})
test_that("unrestricted id.garch with 2-dim works without deterministic term", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(USA[,-3], p = 3, type = 'none')
x1 <- id.garch(v1)
expect_equal(round(x1$Lik), -414)
expect_equal(round(sum(x1$B), 2), 1.85)
expect_equal(x1$K, 2)
expect_equal(x1$n, 172)
#expect_equal(x1$restrictions, 0)
expect_equal(x1$p, 3)
expect_equal(x1$iteration, 5)
expect_match(x1$method, "GARCH")
})
test_that("unrestricted id.garch Luetkepohl Netsunajev example works", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(LN, p = 3)
x1 <- id.garch(v1, max.iter = 10)
expect_equal(round(x1$Lik), -2891)
expect_equal(x1$K, 5)
expect_equal(x1$n, 447)
#expect_equal(x1$restrictions, 0)
expect_equal(x1$p, 3)
expect_equal(x1$iteration, 10)
expect_equal(round(unname(x1$GARCH_parameter[1,1]), 2), 0.38)
expect_equal(round(unname(x1$GARCH_parameter[2,1]), 2), 0.34)
expect_equal(round(unname(x1$GARCH_parameter[3,1]), 2), 0.25)
expect_equal(round(unname(x1$GARCH_parameter[4,1]), 2), 0.14)
expect_equal(round(unname(x1$GARCH_parameter[5,1]), 2), 0.1)
expect_equal(round(unname(x1$GARCH_parameter[1,2]), 2), 0.09)
expect_equal(round(unname(x1$GARCH_parameter[2,2]), 2), 0.61)
expect_equal(round(unname(x1$GARCH_parameter[3,2]), 2), 0.24)
expect_equal(round(unname(x1$GARCH_parameter[4,2]), 2), 0.81)
expect_equal(round(unname(x1$GARCH_parameter[5,2]), 2), 0.82)
expect_match(x1$method, "GARCH")
})
test_that("restricted id.garch with 3-dim works", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(USA, p = 6, ic = "AIC" )
restmat <- matrix(NA,3,3)
restmat[1, c(2,3)] <- 0
restmat[2, 3] <- 0
x1 <- id.garch(v1, restriction_matrix = restmat)
expect_equal(round(x1$Lik, 2), -556.08)
expect_gt(x1$lRatioTest$`Test statistic`, 0)
expect_equal(x1$K, 3)
expect_equal(x1$n, 169)
expect_equal(x1$restrictions, 3)
expect_equal(x1$p, 6)
expect_equal(x1$iteration, 5)
expect_match(x1$method, "GARCH")
})
test_that("Restricted id.garch Luetkepohl Netsunajev example works with R3 model", {
skip_on_cran()
set.seed(23211)
v1 <- vars::VAR(LN, p = 3)
restmat <- matrix(NA, 5, 5)
restmat[1, 2:5] <- 0
restmat[2, 3:5] <- 0
restmat[3, 4:5] <- 0
x1 <- id.garch(v1, max.iter = 10, restriction_matrix = restmat)
expect_equal(round(x1$Lik), -2984)
expect_gt(x1$lRatioTest$`Test statistic`, 0)
expect_equal(x1$K, 5)
expect_equal(x1$n, 447)
#expect_equal(x1$restrictions, 0)
expect_equal(x1$p, 3)
expect_equal(x1$iteration, 10)
expect_match(x1$method, "GARCH")
})
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