R Under development (unstable) (2024-10-26 r87273 ucrt) -- "Unsuffered Consequences"
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> library(broom)
> library(tsDyn)
> library(vars)
Loading required package: MASS
Loading required package: strucchange
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: urca
Loading required package: lmtest
> suppressMessages(library(dplyr))
> library(purrr)
> 
> data(Canada)
> 
> options(useFancyQuotes=FALSE) # useful for all.equal comparison
> 
> #########################
> ##### VECM #####
> #########################
> 
> ### unrestricted cons
> vecm_l1_co_tsD <-VECM(Canada, lag=1, include="const", estim="ML")
> vecm_l3_co_tsD <-VECM(Canada, lag=3, include="const", estim="ML")
> 
> vecm_l1_co_var <- ca.jo(Canada, K=2, ecdet="none", spec="transitory")
> vecm_l3_co_var <- ca.jo(Canada, K=4, ecdet="none", spec="transitory")
> 
> ### unrestricted cons and trend
> vecm_l1_bo_tsD <-VECM(Canada, lag=1, include="both", estim="ML")
> vecm_l3_bo_tsD <-VECM(Canada, lag=3, include="both", estim="ML")
> 
> trend_it <- function(start = 3) matrix(c(rep(0, start-1), seq_len(nrow(Canada)-start+1)), ncol =1, dimnames = list(NULL, "trend"))
> vecm_l1_bo_var <- ca.jo(Canada, K=2, ecdet="none", spec="transitory", dumvar = trend_it(3))
> vecm_l3_bo_var <- ca.jo(Canada, K=4, ecdet="none", spec="transitory", dumvar = trend_it(5))
> 
> 
> ### restricted cons
> vecm_l1_LRco_tsD <-VECM(Canada, lag=1, LRinclude="const", estim="ML", include="none")
> vecm_l1_LRco_var <- ca.jo(Canada, K=2, ecdet="const", spec="transitory")
> 
> vecm_l3_LRco_tsD <-VECM(Canada, lag=3, LRinclude="const", estim="ML", include="none")
> vecm_l3_LRco_var <- ca.jo(Canada, K=4, ecdet="const", spec="transitory")
> 
> ### restricted trend
> vecm_l1_LRtr_tsD <-VECM(Canada, lag=1, LRinclude="trend", estim="ML")
> vecm_l1_LRtr_var <- ca.jo(Canada, K=2, ecdet="trend", spec="transitory")
> 
> vecm_l3_LRtr_tsD <-VECM(Canada, lag=3, LRinclude="trend", estim="ML")
> vecm_l3_LRtr_var <- ca.jo(Canada, K=4, ecdet="trend", spec="transitory")
> 
> all_models <- list(
+   l1_co = list(vecm_l1_co_var, vecm_l1_co_tsD), 
+   l3_co = list(vecm_l3_co_var, vecm_l3_co_tsD), 
+   l1_bo = list(vecm_l1_bo_var, vecm_l1_bo_tsD),
+   l3_bo = list(vecm_l3_bo_var, vecm_l3_bo_tsD),
+   l1_LRco = list(vecm_l1_LRco_var, vecm_l1_LRco_tsD),
+   l3_LRco = list(vecm_l3_LRco_var, vecm_l3_LRco_tsD),
+   l1_LRtr = list(vecm_l1_LRtr_var, vecm_l1_LRtr_tsD),
+   l3_LRtr = list(vecm_l3_LRtr_var, vecm_l3_LRtr_tsD))
> 
> deftol <- .Machine$double.eps ^ 0.5
> lowtol <- 1.e-07
> lowlowtol <- 1.e-06
> comp_teststat <- function(x, tol=deftol) all.equal(x[[1]]@teststat, rev(rank.test(x[[2]])$res_df[,"eigen"]), check.attributes=FALSE, tolerance=tol)
> comp_betas <- function(x, tol=deftol) all.equal(cajorls(x[[1]])$beta, x[[2]]$model.specific$beta, check.attributes=FALSE, tolerance=tol)
> comp_coefs <- function(x, tol=deftol) all.equal(coefficients(cajorls(x[[1]])$rlm), t(coefficients(x[[2]])), check.attributes=FALSE, tolerance=tol)
> comp_LL <- function(x) all.equal(as.numeric(logLik(vec2var(x[[1]]))), logLik(x[[2]]), check.attributes=FALSE)
> comp_IRF <- function(x, ortho = TRUE) all.equal(irf(vec2var(x[[1]]), boot=FALSE, ortho = ortho)$irf,
+                                                 irf(x[[2]], boot=FALSE, ortho = ortho)$irf, check.attributes=FALSE)
> comp_FEVD <- function(x) all.equal(fevd(vec2var(x[[1]])), fevd(x[[2]]), check.attributes=FALSE)
> comp_resid <- function(x, tol=deftol) all.equal(residuals(vec2var(x[[1]])), residuals(x[[2]]), check.attributes=FALSE, tolerance=tol)
> comp_fitted <- function(x) all.equal(fitted(vec2var(x[[1]])), fitted(x[[2]], level="original"), check.attributes=FALSE)
> comp_predictOld <- function(x) all.equal(predict(vec2var(x[[1]]))$fcst, tsDyn:::predictOld.VECM(x[[2]])$fcst, check.attributes=FALSE)
> comp_predict <- function(x) all.equal(sapply(predict(vec2var(x[[1]]), n.ahead=5)$fcst,function(x) x[,"fcst"]), predict(x[[2]]), check.attributes=FALSE)
> comp_VECM_coefA <- function(x,...) all.equal(coefA(x[[1]]), coefA(x[[2]]), check.attributes=FALSE,...)
> comp_VECM_coefB <- function(x,...) all.equal(coefB(x[[1]]), coefB(x[[2]]), check.attributes=FALSE,...)
> comp_VECM_coefPI <- function(x, ...) all.equal(coefPI(x[[1]]), coefPI(x[[2]]), check.attributes=FALSE, ...)
> comp_VECM_logLik <- function(x, r=1) all.equal(logLik(x[[1]], r=r), logLik(x[[2]], r=r), check.attributes=FALSE)
> 
> ### Small function to print nicely output of all.equal, rounding the number:
> 
> roundAll.Equal <- function(x, round=8){
+   isFALSE <- x!="TRUE"
+   xFalse <- x[isFALSE]
+   # extract the number (i.e remoe all the rest)
+   xf<- gsub("(Component ([0-9]+)?([[:punct:]][[:alnum:]]+[[:punct:]])?: )?Mean relative difference: ", 
+             "", xFalse)
+   xf2<- round(as.numeric(xf),round)
+   x[isFALSE] <- paste("Mean relative difference: ", xf2, sep="")
+   x
+ }
> 
> models_noLR <-  all_models[-grep("LR", names(all_models))]
> 
> ### Compare VECM methods:
> sapply(all_models, comp_teststat )
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(all_models, comp_betas, tol=lowtol)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> roundAll.Equal(sapply(all_models, comp_coefs, tol = 1e-07), round=7) # 5 and 6
                                l1_co                                 l3_co 
                               "TRUE"                                "TRUE" 
                                l1_bo                                 l3_bo 
                               "TRUE"                                "TRUE" 
                              l1_LRco                               l3_LRco 
                               "TRUE"                                "TRUE" 
                              l1_LRtr                               l3_LRtr 
"Mean relative difference: 0.0001434" "Mean relative difference: 0.0017993" 
> sapply(all_models, comp_LL)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(models_noLR, comp_IRF)
     l1_co                                                     
[1,] "Component \"e\": Mean relative difference: 0.03872391"   
[2,] "Component \"prod\": Mean relative difference: 0.03872391"
[3,] "Component \"rw\": Mean relative difference: 0.03872391"  
[4,] "Component \"U\": Mean relative difference: 0.03872391"   
     l3_co                                                    
[1,] "Component \"e\": Mean relative difference: 0.1009638"   
[2,] "Component \"prod\": Mean relative difference: 0.1009638"
[3,] "Component \"rw\": Mean relative difference: 0.1009638"  
[4,] "Component \"U\": Mean relative difference: 0.1009638"   
     l1_bo                                                     
[1,] "Component \"e\": Mean relative difference: 0.04562581"   
[2,] "Component \"prod\": Mean relative difference: 0.04562581"
[3,] "Component \"rw\": Mean relative difference: 0.04562581"  
[4,] "Component \"U\": Mean relative difference: 0.04562581"   
     l3_bo                                                    
[1,] "Component \"e\": Mean relative difference: 0.1094004"   
[2,] "Component \"prod\": Mean relative difference: 0.1094004"
[3,] "Component \"rw\": Mean relative difference: 0.1094004"  
[4,] "Component \"U\": Mean relative difference: 0.1094004"   
> sapply(models_noLR, comp_IRF, ortho = FALSE)
l1_co l3_co l1_bo l3_bo 
 TRUE  TRUE  TRUE  TRUE 
> sapply(all_models, comp_FEVD)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(all_models, comp_resid, tol=lowlowtol) # 5
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(all_models, comp_fitted)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(all_models[-c(3, 4)], comp_predict)
  l1_co   l3_co l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> lapply(sapply(all_models[-c(3, 4)], comp_predictOld),roundAll.Equal, round=6) # 5 and 6
$l1_co
[1] "TRUE"

$l3_co
[1] "TRUE"

$l1_LRco
[1] "TRUE"

$l3_LRco
[1] "TRUE"

$l1_LRtr
[1] "Mean relative difference: 4.1e-05"  "Mean relative difference: 0.000135"
[3] "Mean relative difference: 0.000333" "Mean relative difference: 0.00703" 

$l3_LRtr
[1] "Mean relative difference: 5.4e-05"  "Mean relative difference: 0.000209"
[3] "Mean relative difference: 0.001637" "Mean relative difference: 0.018152"

> sapply(all_models, comp_VECM_coefA, tolerance=1e-07)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(all_models, comp_VECM_coefB, tolerance=1e-07)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> sapply(all_models, comp_VECM_coefPI, tolerance=1e-07)
  l1_co   l3_co   l1_bo   l3_bo l1_LRco l3_LRco l1_LRtr l3_LRtr 
   TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE    TRUE 
> mapply(function(r) sapply(all_models, comp_VECM_logLik, r=r), r=0:4)
        [,1] [,2] [,3] [,4] [,5]
l1_co   TRUE TRUE TRUE TRUE TRUE
l3_co   TRUE TRUE TRUE TRUE TRUE
l1_bo   TRUE TRUE TRUE TRUE TRUE
l3_bo   TRUE TRUE TRUE TRUE TRUE
l1_LRco TRUE TRUE TRUE TRUE TRUE
l3_LRco TRUE TRUE TRUE TRUE TRUE
l1_LRtr TRUE TRUE TRUE TRUE TRUE
l3_LRtr TRUE TRUE TRUE TRUE TRUE
> 
> ## restricted betas:
> all.equal(coefA(vecm_l1_co_tsD),coefA(vecm_l1_co_var), check.attributes=FALSE)
[1] TRUE
> all.equal(coefB(vecm_l1_co_tsD),coefB(vecm_l1_co_var), check.attributes=FALSE)
[1] TRUE
> 
> R <- matrix(c(1,0.1, -0.24, 3.6), ncol=1)
> 
> vecm_Rrest_tsD <-VECM(Canada, lag=1, include="const", estim="ML", beta=R)
> vecm_Rrest_var <-blrtest(vecm_l1_co_var, H=R, r=1)
> 
> all.equal(coefA(vecm_Rrest_tsD),coefA(vecm_Rrest_var), check.attributes=FALSE)
[1] TRUE
> all.equal(coefB(vecm_Rrest_tsD),coefB(vecm_Rrest_var), check.attributes=FALSE)
[1] TRUE
> all.equal(logLik(vecm_Rrest_tsD, r=1),logLik(vecm_Rrest_var, r=1), check.attributes=FALSE)
[1] TRUE
> 
> all.equal(deviance(vecm_Rrest_tsD),sum(deviance(cajorls(vecm_Rrest_var)[[1]])), check.attributes=FALSE)
[1] TRUE
> all.equal(-2*(logLik(vecm_Rrest_tsD)-logLik(vecm_l1_co_tsD)), vecm_Rrest_var@teststat)
[1] TRUE
> 
> #########################
> ##### VAR #####
> #########################
> 
> var_l1_co_tsD <-lineVar(Canada, lag=1, include="const")
> var_l1_tr_tsD <-lineVar(Canada, lag=1, include="trend")
> var_l1_bo_tsD <-lineVar(Canada, lag=1, include="both")
> var_l1_no_tsD <-lineVar(Canada, lag=1, include="none")
> 
> var_l3_co_tsD <-lineVar(Canada, lag=3, include="const")
> var_l3_tr_tsD <-lineVar(Canada, lag=3, include="trend")
> var_l3_bo_tsD <-lineVar(Canada, lag=3, include="both")
> var_l3_no_tsD <-lineVar(Canada, lag=3, include="none")
> 
> var_l1_co_var <- VAR(Canada, p=1, type="const")
> var_l1_tr_var <- VAR(Canada, p=1, type="trend")
> var_l1_bo_var <- VAR(Canada, p=1, type="both")
> var_l1_no_var <- VAR(Canada, p=1, type="none")
> 
> var_l3_co_var <- VAR(Canada, p=3, type="const")
> var_l3_tr_var <- VAR(Canada, p=3, type="trend")
> var_l3_bo_var <- VAR(Canada, p=3, type="both")
> var_l3_no_var <- VAR(Canada, p=3, type="none")
> 
> 
> 
> all_var_models <- list(
+   l1_co = list(var_l1_co_tsD, var_l1_co_var), 
+   l1_tr= list(var_l1_tr_tsD, var_l1_tr_var), 
+   l1_bo= list(var_l1_bo_tsD, var_l1_bo_var), 
+   l1_no= list(var_l1_no_tsD, var_l1_no_var), 
+   l3_co= list(var_l3_co_tsD, var_l3_co_var), 
+   l3_tr= list(var_l3_tr_tsD, var_l3_tr_var), 
+   l3_bo= list(var_l3_bo_tsD, var_l3_bo_var), 
+   l3_no= list(var_l3_no_tsD, var_l3_no_var))
> 
> all_var_models_noNoBo <- all_var_models[-grep("bo|no", names(all_var_models))]
> 
> 
> ## test functions
> coef_to_vars <- function(x){
+   c <- coef(x)
+   if(any(grepl("Intercept|Trend", colnames(c)))){
+     wh.deter <- grep("Intercept|Trend", colnames(c))
+     res <- cbind(c[,-wh.deter], c[,wh.deter,drop=FALSE])
+   } else {
+     res <- c
+   }
+   colnames(res) <-gsub(" -", "\\.l", colnames(res))
+   rownames(res) <-gsub("Equation ", "", rownames(res))
+   return(res)
+ }
> 
> 
> 
> comp_var_coefs <- function(x) all.equal(coef_to_vars (x[[1]]), t(sapply(coef(x[[2]]), function(x) x[,"Estimate"])), check.attributes=FALSE)
> comp_var_logLik <- function(x, tol=deftol) all.equal(logLik(x[[1]]), as.numeric(logLik(x[[2]])), check.attributes=FALSE, tolerance=tol)
> 
> comp_var_pred <- function(x) all.equal(predict(x[[1]]), sapply(predict(x[[2]], n.ahead=5)$fcst, function(x) x[,"fcst"]),check.attributes=FALSE)
> comp_var_predOld <- function(x) all.equal(sapply(tsDyn:::predictOld.VAR(x[[1]], n.ahead=5)$fcst, function(x) x[,"fcst"]), sapply(predict(x[[2]], n.ahead=5)$fcst, function(x) x[,"fcst"]),check.attributes=FALSE)
> comp_var_fevd <- function(x) all.equal(sapply(fevd(x[[1]]), head,2), sapply(fevd(x[[2]]), head,2), check.attributes=FALSE)
> comp_var_IRF <- function(x, ortho = FALSE) isTRUE(all.equal(irf(x[[1]], boot=FALSE, ortho = ortho)$irf, 
+                                                             irf(x[[2]], boot=FALSE, ortho = ortho)$irf, check.attributes=FALSE))
> comp_var_IRF_old <- function(x, ortho = FALSE) isTRUE(all.equal(tsDyn:::irf_old(x[[1]], boot=FALSE, ortho = ortho)$irf, 
+                                                                 irf(x[[2]], boot=FALSE, ortho = ortho)$irf, check.attributes=FALSE))
> 
> ### Compare VAR methods:
> sapply(all_var_models, comp_var_coefs)
                                   l1_co 
                                  "TRUE" 
                                   l1_tr 
"Mean relative difference: 0.0001085181" 
                                   l1_bo 
"Mean relative difference: 0.0002661402" 
                                   l1_no 
                                  "TRUE" 
                                   l3_co 
                                  "TRUE" 
                                   l3_tr 
"Mean relative difference: 0.0001395315" 
                                   l3_bo 
 "Mean relative difference: 0.001014111" 
                                   l3_no 
                                  "TRUE" 
> sapply(all_var_models, comp_var_logLik, tol=lowlowtol)
l1_co l1_tr l1_bo l1_no l3_co l3_tr l3_bo l3_no 
 TRUE  TRUE  TRUE  TRUE  TRUE  TRUE  TRUE  TRUE 
> roundAll.Equal(sapply(all_var_models_noNoBo, comp_var_pred),7)
                              l1_co                               l1_tr 
                             "TRUE"   "Mean relative difference: 4e-07" 
                              l3_co                               l3_tr 
                             "TRUE" "Mean relative difference: 1.5e-06" 
> roundAll.Equal(sapply(all_var_models_noNoBo, comp_var_predOld),7)
                                l1_co                                 l1_tr 
                               "TRUE" "Mean relative difference: 0.0118874" 
                                l3_co                                 l3_tr 
                               "TRUE" "Mean relative difference: 0.0173923" 
> sapply(all_var_models, comp_var_IRF)
l1_co l1_tr l1_bo l1_no l3_co l3_tr l3_bo l3_no 
 TRUE FALSE  TRUE  TRUE  TRUE FALSE  TRUE  TRUE 
> sapply(all_var_models, comp_var_IRF_old)
l1_co l1_tr l1_bo l1_no l3_co l3_tr l3_bo l3_no 
 TRUE FALSE  TRUE  TRUE  TRUE FALSE  TRUE  TRUE 
> sapply(all_var_models, comp_var_IRF, ortho = TRUE)
l1_co l1_tr l1_bo l1_no l3_co l3_tr l3_bo l3_no 
 TRUE FALSE  TRUE  TRUE  TRUE FALSE  TRUE  TRUE 
> sapply(all_var_models, comp_var_IRF_old, ortho = TRUE)
l1_co l1_tr l1_bo l1_no l3_co l3_tr l3_bo l3_no 
FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE 
> 
> 
> ################################
> #'## Tidy
> ################################
> comp_tidy <- function(x) {
+   n_co <- x[[1]]$nparB
+   
+   ## need to slice because of issue: https://github.com/tidymodels/broom/issues/1174
+   
+   out_tsD <- tidy(x[[1]]) |> 
+     as_tibble() |> 
+     dplyr::mutate(term = stringr::str_replace(term, "Intercept", "const") |> 
+                     stringr::str_replace("Trend", "trend") |> 
+                     stringr::str_replace(" -([0-9]+)", ".l\\1")) |> 
+     dplyr::rename(group=equation) |> 
+     dplyr::slice(1:n_co) |> 
+     dplyr::arrange(group, term)
+   
+   out_vars <- broom::tidy(x[[2]]) |> #as_tibble() |> 
+     dplyr::slice(1:n_co) |> 
+     dplyr::arrange(group, term)
+   all.equal(out_vars, out_tsD)
+   # waldo::compare(out_tsD,
+                  # out_vars, tolerance = 1e-12)
+   
+ }
> ## comp_tidy(x=all_var_models[[1]])
> same_B <- sapply(all_var_models, comp_var_coefs)
> sapply(all_var_models[same_B=="TRUE"], comp_tidy)
l1_co l1_no l3_co l3_no 
 TRUE  TRUE  TRUE  TRUE 
> 
> 
> proc.time()
   user  system elapsed 
   3.31    0.54    3.85