tests/testthat/test_midaslag.R

In mpiktas/midasr: Mixed Data Sampling Regression

context("Testing mls")
accuracy <- sqrt(.Machine$double.eps)

test_that("Embedding to low frequency works as expected", {
  x <- 1:24
  x1 <- matrix(2 * (1:12), ncol = 1)
  x2 <- cbind(2 * (1:12), 2 * (1:12) - 1)
  x3 <- rbind(c(NA, NA, NA), cbind(2 * (2:12), 2 * (2:12) - 1, 2 * (2:12) - 2))
  x4 <- rbind(c(NA, NA), embed(x, 2))
  expect_equivalent(fmls(x, 0, 2), x1)
  expect_equivalent(fmls(x, 1, 2), x2)
  expect_equivalent(fmls(x, 2, 2), x3)
  expect_equivalent(fmls(x, 1, 1), x4)
})

test_that("mls and fmls give the same results", {
  set.seed(123)
  e <- rnorm(100)
  a <- mls(e, 0:10, 10)
  b <- fmls(e, 10, 10)
  expect_lt(sum(abs(a - b), na.rm = TRUE), accuracy)
})

test_that("fmls and dmls give the same results", {
  set.seed(123)
  e <- rnorm(100)
  a <- fmls(c(NA, diff(e)), 10, 10)
  b <- dmls(e, 10, 10)
  expect_lt(sum(abs(a - b), na.rm = TRUE), accuracy)
})

test_that("mlsd works for the ts objects", {
  x <- ts(c(1:144), frequency = 12)
  y <- ts(c(1:48), frequency = 4)

  m1 <- mlsd(x, 0:7, y)
  m2 <- mls(x, 0:7, 3)

  expect_true(sum(abs(m1 - m2), na.rm = TRUE) < accuracy)
})

data(USunempr)
data(USrealgdp)
yy <- diff(log(USrealgdp))
xx <- diff(USunempr)

test_that("mlsd returns the matrix of apropriate dimensions", {
  zz <- mlsd(xx, 0:24, yy)
  expect_true(nrow(zz) == length(yy))
})

test_that("Windowing works with mlsd from the right", {
  yy1 <- window(yy, end = 1980)
  zz <- mlsd(xx, 0:24, yy1)
  xx1 <- window(xx, end = c(1980, 12))
  expect_true(zz[nrow(zz), 1] == xx1[length(xx1)])
})

test_that("Windowing works with mlsd from the left", {
  yy1 <- window(yy, start = 1955, end = 1980)
  zz <- mlsd(xx, 0:24, yy1)
  xx1 <- window(xx, end = c(1980, 12))
  expect_true(zz[nrow(zz), 1] == xx1[length(xx1)])
})