Nothing
require("Xtratsfa")
data("CanadianMoneyData.asof.6Feb2004", package="CDNmoney")
fuzz <- 1e-6
all.ok <- TRUE
### Construct data
cpi <- 100 * M1total / M1real
seriesNames(cpi) <- "CPI"
popm <- M1total / M1PerCapita
seriesNames(popm) <- "Population of Canada"
z <- tframed(tbind(
MB2001,
MB486 + MB452 + MB453 ,
NonbankCheq,
MB472 + MB473 + MB487p,
MB475,
NonbankNonCheq + MB454 + NonbankTerm + MB2046 + MB2047 + MB2048 +
MB2057 + MB2058 + MB482),
names=c("currency", "personal cheq.", "NonbankCheq",
"N-P demand & notice", "N-P term", "Investment")
)
z <- tfwindow(z, start=c(1986,1))
if( all(c(2003,12) ==end(z))) z <-tfwindow(z, end=c(2003,11))
MBcomponents <- 1e8 * z/matrix(tfwindow(popm * cpi,tf=tframe(z)),Tobs(z),6)
### Specify "true" parameters and factors
Omega <- diag(c(72.633490218431234, 1233.026245431895177, 87.337721037020572,
629.392699084312198, 3967.982989812266169, 12163.258995566555313))
Boblq <- t(matrix(c(
8.8424730199723260, 5.2034757439511159,
23.8239003553122046, -12.5767326858555819,
5.1878379834837549, -1.9710231572687940,
36.7834439249370746, 16.9430526918934632,
-2.8494845070603847, 31.0224248853059343,
2.6047417719514878, 47.6304267232332990), 2,6))
PhiOblq <- t(matrix(c(
1.0000000000000002220, 0.0094910545788177599,
0.0094910545788177599, 1.0000000000000002220),2,2))
etaBart <- MBcomponents %*% solve(Omega) %*% Boblq %*% (
solve( t(Boblq) %*% solve(Omega) %*% Boblq ) )
DetaBart <- diff(etaBart, lag=1)
SDE <- cov(DetaBart)
RR1 <- chol(SDE) # upper triangular: SDE = RR1' RR1
RR2 <- chol(PhiOblq) # ditto
PP <- t(RR2) %*% solve(t(RR1))
etaTrue <- tframed(etaBart %*% t(PP), tf=tframe(MBcomponents))
Psi <- 0.5 * Omega
rngValue10 <- list(seed=10, kind="Mersenne-Twister", normal.kind="Inversion")
simBoblq <- simulate(TSFmodel(Boblq, f=etaTrue,
positive.measures=FALSE), Cov=Psi, rng=rngValue10) #, noIC=TRUE)
### Tests to check that calculated values have not changed
MCV <- estTSF.MCV(simBoblq, 2, BpermuteTarget=Boblq)
fuzz <- 1e-3 # these calculations seems pretty loose
fuzz <- 5e-3 # Ubuntu R-2.15.0 32bit with new BLAS, April 2012
sc <- c(1, .001, 1, .1, .001, .001)
# tst <- diag(c(71.42258, 799.9341, 98.45952, 551.7778, 3347.282, 15654.85))
# tst <- diag(c(71.4225821, 799.934200, 98.4595138, 551.777863, 3347.28245, 15654.8487081)
# tst <- diag(c(71.422581583681989, 799.934205589292446, 98.459513786151646,
# 551.777874545039595, 3347.282450463255373, 15654.848694313757733))
# above values were for standardized solution in early code version
# tst <- diag(c(11846.2227854133052, 1473425.34799820324, 13339.2314805768619,
# 1211867.99363448448, 13121645.4180298559, 276236562.08169359))
# above was with noIC=TRUE
# tst <- diag(c(9966.78703285981646, 2870921.23687064834, 10806.4046910142024, 1278091.05062660715, 13390468.3517206945, 228421802.981480092)) #Ubuntu R-2.15.0 32bit with new BLAS, April 2012
# tst <- diag(c(9966.78707990818839, 2870921.21104566799, 10806.4047895932163, 1278091.0373137875, 13390468.3000131808, 228421805.47522977 )) #Linux Mandrake 32bit
# tst <- diag(c(9966.78709684525347, 2870921.20979451109, 10806.4046430631024, 1278091.03411219502, 13390468.3642241284, 228421806.29665792 )) # rhlinux 2.4.2 32 bit
tst <- diag(c(9966.7870963179721, 2870921.20457918523, 10806.4047684349462, 1278091.03316546604, 13390468.3072009329, 228421806.313319385)) #Solaris
err <- max(diag(sc) * abs( TSFmodel(MCV)$Omega - tst ))
if( fuzz < err ) {
cat("Calculated value is not the same as test value in test MCV Omega. Value:\n")
cat("fuzz:", fuzz, " err:", err, "\n")
printTestValue(diag(TSFmodel(MCV)$Omega), digits=18)
cat("sc * difference:\n")
print(sc * (diag(TSFmodel(MCV)$Omega) - tst), digits=18)
all.ok <- FALSE
}
fuzz <- 1e-4
fuzz <- 2e-4 # Ubuntu R-2.15.0 32bit with new BLAS, April 2012
# using early version of GPA (which had maxit=500, eps=1e-5, and possibly did
# normalizing by default)
# tst <- t(matrix(c(
# 9.6866236556731, 1.2156968549497,
# 17.9895767862875, -26.1636780627097,
# 4.3301526007547, -4.0822934487357,
# 39.4829847914003, 9.0531912201123,
# 7.4118579519281, 23.2372975261621,
# 10.5951625314755, 43.3583874127802,), 2,6))
# tst <- t(matrix(c(
# 9.68663723189133563 , 1.21554402804356032 ,
# 17.9891888023571624 , -26.1639729507464942,
# 4.33009141537641185 , -4.08236356269950562,
# 39.4830997183881465 , 9.05256988612227786 ,
# 7.41219266841411439 , 23.2371892270431815 ,
# 10.5957883486466713 , 43.3582364486415983 ), 2,6 ))
# above values were for standardized solution in early code version
# tst <- t(matrix(c(
# 124.751337808165744 , 15.6546322554203083 ,
# 772.055488039573902 , -1122.89882148998618,
# 50.4003585755806895 , -47.516915385944209 ,
# 1850.36224102330857 , 424.24565500000989 ,
# 464.081940294668414 , 1454.89470466839225 ,
# 1407.50328648021605 , 5759.53938387771541), 2, 6))
# above was with noIC=TRUE
tst <- t(matrix(c(
109.354937454847843, 73.001795485260331 , 849.958197318555676, -82.564164508841003 , 75.9666761936852453, -33.779799193871618 , 1447.47533281976303, 1207.13633223128204, 13.4443728967860263, 1822.2528547668453, -1210.59538374664044, 7054.36195742316522
# 109.354938938463064, 73.0017935937713673, 849.958181642596173, -82.5641635307219559, 75.9666761758222009, -33.7798011412103563, 1447.47535841832178, 1207.13629711310136, 13.4444178739732099, 1822.2528378858824, -1210.59537627989221, 7054.3621375790517 # Ubuntu R-2.15.0 32bit with new BLAS, April 2012
), 2, 6))
err <- max(abs( loadings(TSFmodel(MCV)) - tst))
if( fuzz < err ) {
cat("Calculated value is not the same as test value in test MCV B. Value:\n")
cat("fuzz:", fuzz, " err:", err, "\n")
printTestValue(loadings(TSFmodel(MCV)), digits=18)
cat("difference:\n")
print(loadings(TSFmodel(MCV)) - tst, digits=18)
all.ok <- FALSE
}
# tst <- t(matrix(c(
# 0.0282660945928011054 , 0.00532388742712527983 , 0.0100080365499765726 ,
# 0.0147802011762550936 , 0.00034203296490857262 , 9.29305758269045027e-05 ,
# 0.0091296645921125838 , -0.0226178722663341047 , -0.0289490407797269797,
# 0.00986116492877566093, 0.00467540068524106671, 0.00186900858818767773), 6,2))
# above values were for standardized solution in early code version
#tst <- t(matrix(c(
# 0.0021948054681218453 , 0.000124040336464103525 , 0.00085979049475167033 ,
# 0.000315383954203503239 , 5.46404221332856348e-06 , 6.99811003524386613e-07,
# 0.000708864031780438763 , -0.000527006691047342724 , -0.0024871365499258228,
# 0.000210413247346309727 , 7.46741413033312425e-05 , 1.40700186026543045e-05),
# 6, 2))
# above was with noIC=TRUE
tst <- t(matrix(c(
0.00235110282533738555 , 0.000154202151030251197 , 0.00464088114676523313,
0.000167135414647799797 , -5.40725249262582089e-05 , -1.49349497208849697e-05,
0.00130144904891139131 , -0.000141069169012622624 , -0.00525085351390403975,
0.000280987014057921451 , 0.000105501927863463382 , 2.61584287352887356e-05),
6, 2 ))
if( fuzz < max(abs(MCV$LB - tst ))) {
cat("Calculated value is not the same as test value in test MCV LB. Value:\n")
printTestValue(MCV$LB, digits=18)
cat("difference:\n")
print(MCV$LB - tst, digits=18)
all.ok <- FALSE
}
cat("tests completed.\n")
if (! all.ok) stop("some tests FAILED")
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