tests/testthat/test-id.garch.R

In alexanderlange53/SVAR_Identification_Package: Data-Driven Identification of SVAR Models

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")
})