help_var_bayes <- function(coef_spec, contem_spec = coef_spec, cov_spec, exogen_spec = NULL, include_mean = FALSE) { vix_endog <- etf_vix[1:50, 1:2] vix_exog <- NULL if (!is.null(exogen_spec)) { vix_exog <- etf_vix[1:50, 3:4] } set.seed(1) var_bayes( y = vix_endog, p = 1, exogen = vix_exog, s = 0, num_iter = 5, num_burn = 0, coef_spec = coef_spec, contem_spec = contem_spec, cov_spec = cov_spec, exogen_spec = exogen_spec, include_mean = include_mean ) } # var_bayes()------------------------- test_that("VAR-Minn-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(), contem_spec = set_bvar(), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "ldltmod") }) test_that("VAR-HS-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_horseshoe(), contem_spec = set_horseshoe(), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "hsmod") expect_true(all(c("lambda", "tau", "kappa") %in% fit_test$param_names)) }) test_that("VARX-HS-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_horseshoe(), contem_spec = set_horseshoe(), cov_spec = set_ldlt(), exogen_spec = set_horseshoe(), include_mean = TRUE ) expect_s3_class(fit_test, "hsmod") expect_true(all(c("lambda", "tau", "kappa") %in% fit_test$param_names)) }) test_that("VAR-SSVS-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ssvs(), contem_spec = set_ssvs(), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "ssvsmod") expect_true("gamma" %in% fit_test$param_names) }) test_that("VARX-SSVS-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ssvs(), contem_spec = set_ssvs(), cov_spec = set_ldlt(), exogen_spec = set_ssvs(), include_mean = FALSE ) expect_s3_class(fit_test, "ssvsmod") expect_true("gamma" %in% fit_test$param_names) }) test_that("VAR-Hierminn-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(lambda = set_lambda()), contem_spec = set_bvar(lambda = set_lambda()), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "ldltmod") }) test_that("VARX-Hierminn-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(lambda = set_lambda()), contem_spec = set_bvar(lambda = set_lambda()), cov_spec = set_ldlt(), exogen_spec = set_bvar(lambda = set_lambda()), include_mean = FALSE ) expect_s3_class(fit_test, "ldltmod") }) test_that("VAR-NG-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ng(), contem_spec = set_ng(), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "ngmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VARX-NG-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ng(), contem_spec = set_ng(), cov_spec = set_ldlt(), exogen_spec = set_ng(), include_mean = FALSE ) expect_s3_class(fit_test, "ngmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VAR-DL-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_dl(), contem_spec = set_dl(), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "dlmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VARX-DL-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_dl(), contem_spec = set_dl(), cov_spec = set_ldlt(), exogen_spec = set_dl(), include_mean = FALSE ) expect_s3_class(fit_test, "dlmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VAR-GDP-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_gdp(), contem_spec = set_gdp(), cov_spec = set_ldlt(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "gdpmod") # expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VARX-GDP-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_gdp(), contem_spec = set_gdp(), cov_spec = set_ldlt(), exogen_spec = set_gdp(), include_mean = FALSE ) expect_s3_class(fit_test, "gdpmod") # expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VAR-Minn-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(), contem_spec = set_bvar(), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "svmod") }) test_that("VARX-Minn-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(), contem_spec = set_bvar(), cov_spec = set_sv(), exogen_spec = set_bvar(), include_mean = FALSE ) expect_s3_class(fit_test, "svmod") }) test_that("VAR-HS-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_horseshoe(), contem_spec = set_horseshoe(), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "hsmod") expect_true(all(c("lambda", "tau", "kappa") %in% fit_test$param_names)) }) test_that("VARX-HS-LDLT", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_horseshoe(), contem_spec = set_horseshoe(), cov_spec = set_sv(), exogen_spec = set_horseshoe(), include_mean = FALSE ) expect_s3_class(fit_test, "hsmod") expect_true(all(c("lambda", "tau", "kappa") %in% fit_test$param_names)) }) test_that("VAR-SSVS-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ssvs(), contem_spec = set_ssvs(), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "ssvsmod") expect_true("gamma" %in% fit_test$param_names) }) test_that("VARX-SSVS-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ssvs(), contem_spec = set_ssvs(), cov_spec = set_sv(), exogen_spec = set_ssvs(), include_mean = FALSE ) expect_s3_class(fit_test, "ssvsmod") expect_true("gamma" %in% fit_test$param_names) }) test_that("VAR-Hierminn-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(lambda = set_lambda()), contem_spec = set_bvar(lambda = set_lambda()), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "svmod") }) test_that("VARX-Hierminn-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_bvar(lambda = set_lambda()), contem_spec = set_bvar(lambda = set_lambda()), cov_spec = set_sv(), exogen_spec = set_bvar(lambda = set_lambda()), include_mean = FALSE ) expect_s3_class(fit_test, "svmod") }) test_that("VAR-NG-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ng(), contem_spec = set_ng(), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "ngmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VARX-NG-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_ng(), contem_spec = set_ng(), cov_spec = set_sv(), exogen_spec = set_ng(), include_mean = FALSE ) expect_s3_class(fit_test, "ngmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VAR-DL-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_dl(), contem_spec = set_dl(), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "dlmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VARX-DL-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_dl(), contem_spec = set_dl(), cov_spec = set_sv(), exogen_spec = set_dl(), include_mean = FALSE ) expect_s3_class(fit_test, "dlmod") expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VAR-GDP-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_gdp(), contem_spec = set_gdp(), cov_spec = set_sv(), exogen_spec = NULL, include_mean = FALSE ) expect_s3_class(fit_test, "gdpmod") # expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("VARX-GDP-SV", { skip_on_cran() set.seed(1) fit_test <- help_var_bayes( coef_spec = set_gdp(), contem_spec = set_gdp(), cov_spec = set_sv(), exogen_spec = set_gdp(), include_mean = FALSE ) expect_s3_class(fit_test, "gdpmod") # expect_true(all(c("lambda", "tau") %in% fit_test$param_names)) }) test_that("Multi chain", { skip_on_cran() set.seed(1) iter_test <- 5 chain_test <- 2 fit_test <- var_bayes( etf_vix[1:50, 1:2], p = 1, num_chains = chain_test, num_iter = iter_test, num_burn = 0, thinning = 1, include_mean = FALSE ) expect_equal( nrow(fit_test$param), iter_test * chain_test ) }) #> Test passed 🌈