inst/tinytest/test-VIF.R

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

# load data
#data(stocksCRSP)
#data(factorsSPGMI)

#stocks_factors <- selectCRSPandSPGMI(stocks = stocksCRSP, factors = factorsSPGMI,
#                                     dateSet = c("2006-01-31", "2010-12-31"),
#                                     stockItems = c("Date", "TickerLast",
#                                                    "CapGroup", "Sector",
#                                                    "Return", "Ret13WkBill",
#                                                    "mktIndexCRSP"),
#                                     factorItems = c("BP", "LogMktCap", "SEV"),
#                                     capChoice = "SmallCap",
#                                     Nstocks = 20)

 # fit a fundamental factor model with style variables BP and LogMktCap

#fundamental_model <- fitFfm(data = stocks_factors,
#                            asset.var = "TickerLast",
#                            ret.var = "Return",
#                            date.var = "Date",
#                            exposure.vars = c("BP", "LogMktCap")
#                            )

#test for output lengths
#out <- vif(fundamental_model)
#expect_equal(length(out), 2)

 # Fit a Fundamental Sector Factor Model with Intercept
#  sector_model <- fitFfm(data = stocks_factors,
#                         asset.var = "TickerLast",
#                         ret.var = "Return",
#                         date.var = "Date",
#                         exposure.vars = "Sector",
#                         addIntercept = TRUE)
#
# Test for errors when  less than 2 exploratory variables are used to fit model.
# expect_error(vif(sector_model),"At least 2 continuous variables required to find VIF")