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Type 'q()' to quit R. > library(tsDyn) > suppressMessages(library(dplyr)) > library(purrr) > library(tidyr) > select <- dplyr::select > suppressWarnings(RNGversion("3.5.3")) > > ############################ > ### Load data > ############################ > path_mod_uni <- system.file("inst/testdata/models_univariate.rds", package = "tsDyn") > if(path_mod_uni=="") path_mod_uni <- system.file("testdata/models_univariate.rds", package = "tsDyn") > > models_univariate <- readRDS(path_mod_uni) > > ############################ > ### Test irf univariate > ############################ > > > ## boot: many models instable! had to search for a while to find seed with no errors... > df_regs <- tibble(model = c("linear", "setar", "setar"), + regime = c("all", "L", "H")) > models_irf <- models_univariate %>% + filter(!model %in% c("aar", "lstar" )) %>% + merge(df_regs, by = "model") %>% + as_tibble() %>% + relocate(model, .after = include) %>% + mutate(irf = map2(object, regime, ~suppressWarnings(irf(.x, boot = TRUE, runs = 5, seed = 7, regime = .y)))) > > ## IRF > df_irf <- map_df(models_irf$irf, ~ head(.$irf[[1]], 2) %>% as_tibble) %>% + as.data.frame() > > ## Lower > df_all <- models_irf %>% + mutate(irf_irf = map(irf, ~ head(.$irf[[1]], 5)), + irf_low = map(irf, ~ head(.$Lower[[1]], 5)), + irf_upp = map(irf, ~ head(.$Upper[[1]], 5))) %>% + select(-irf) %>% + gather(irf_stat, value, irf_irf, irf_low, irf_upp) %>% + mutate(value = map(value, ~tibble(x=.) %>% + mutate(n.ahead = 0:4))) %>% + select(-object) %>% + unnest(value) %>% + spread(irf_stat, x) > > df_all %>% + filter(n.ahead %in% c( 1)) %>% + as.data.frame() %>% + print(digits=3) lag include model nthresh thDelay regime n.ahead irf_irf irf_low irf_upp 1 1 both linear NA NA all 1 0.529 0.3251 0.620 2 1 both setar 1 0 H 1 0.527 -0.5643 0.566 3 1 both setar 1 0 L 1 0.883 -3.2687 -0.294 4 1 both setar 2 0 H 1 0.935 0.4642 1.058 5 1 both setar 2 0 L 1 -0.358 -1.2017 -0.697 6 1 const linear NA NA all 1 0.586 0.3622 0.714 7 1 const setar 1 0 H 1 0.910 0.2896 1.266 8 1 const setar 1 0 L 1 0.944 0.1842 2.093 9 1 const setar 2 0 H 1 1.019 -0.0806 1.111 10 1 const setar 2 0 L 1 0.193 -0.6432 2.324 11 1 none linear NA NA all 1 0.984 0.9260 0.987 12 1 none setar 1 0 H 1 0.928 0.8804 0.940 13 1 none setar 1 0 L 1 1.199 1.1473 1.247 14 1 none setar 2 0 H 1 0.919 0.8331 0.914 15 1 none setar 2 0 L 1 1.168 1.0017 1.220 16 1 trend linear NA NA all 1 0.895 0.7591 0.900 17 1 trend setar 1 0 H 1 0.850 0.7407 0.870 18 1 trend setar 1 0 L 1 1.684 1.6723 1.875 19 1 trend setar 2 0 H 1 0.957 0.8500 1.059 20 1 trend setar 2 0 L 1 1.332 0.8377 1.400 21 2 both linear NA NA all 1 0.659 0.4723 0.837 22 2 both setar 1 0 H 1 0.654 0.6774 0.905 23 2 both setar 1 0 L 1 1.485 -0.3572 1.646 24 2 both setar 1 1 H 1 0.474 0.2723 0.557 25 2 both setar 1 1 L 1 1.665 0.5960 1.808 26 2 both setar 2 0 H 1 0.951 0.3929 1.175 27 2 both setar 2 0 L 1 -0.552 -1.5928 -0.397 28 2 both setar 2 1 H 1 1.291 0.9871 2.005 29 2 both setar 2 1 L 1 0.957 0.9223 1.280 30 2 const linear NA NA all 1 0.711 0.5129 0.877 31 2 const setar 1 0 H 1 1.005 0.6929 1.164 32 2 const setar 1 0 L 1 1.128 0.2717 1.684 33 2 const setar 1 1 H 1 0.618 0.2691 0.914 34 2 const setar 1 1 L 1 1.131 0.7803 1.536 35 2 const setar 2 0 H 1 1.165 0.8421 1.314 36 2 const setar 2 0 L 1 1.116 0.0283 1.131 37 2 const setar 2 1 H 1 1.289 0.3128 1.797 38 2 const setar 2 1 L 1 0.745 0.5698 0.882 39 2 none linear NA NA all 1 0.953 0.8192 1.012 40 2 none setar 1 0 H 1 1.073 1.0342 1.271 41 2 none setar 1 0 L 1 1.415 1.1633 1.855 42 2 none setar 1 1 H 1 0.407 0.3419 0.816 43 2 none setar 1 1 L 1 0.765 0.1354 0.902 44 2 none setar 2 0 H 1 1.151 1.0290 1.314 45 2 none setar 2 0 L 1 1.054 0.0950 1.220 46 2 none setar 2 1 H 1 1.234 0.8955 1.785 47 2 none setar 2 1 L 1 0.765 0.5818 1.126 48 2 trend linear NA NA all 1 0.897 0.7915 0.961 49 2 trend setar 1 0 H 1 0.980 1.0546 1.134 50 2 trend setar 1 0 L 1 2.247 1.0474 2.999 51 2 trend setar 1 1 H 1 0.632 0.6371 0.942 52 2 trend setar 1 1 L 1 0.701 0.4601 0.794 53 2 trend setar 2 0 H 1 1.108 0.8376 1.228 54 2 trend setar 2 0 L 1 0.500 0.4973 1.205 55 2 trend setar 2 1 H 1 0.786 0.2494 1.432 56 2 trend setar 2 1 L 1 1.060 0.6921 1.273 > > > df_all %>% + mutate(is_in = irf_irf >= irf_low & irf_irf <= irf_upp) %>% + count(model, regime, is_in) %>% + as.data.frame() %>% + print(digits=3) model regime is_in n 1 linear all FALSE 2 2 linear all TRUE 38 3 setar H FALSE 10 4 setar H TRUE 110 5 setar L FALSE 9 6 setar L TRUE 111 > > > ## try plot > irf_1 <- irf(models_univariate$object[[1]]) > irf_10 <- irf(models_univariate$object[[10]]) There were 50 or more warnings (use warnings() to see the first 50) > plot(irf_1) > plot(irf_10) > > proc.time() user system elapsed 11.64 0.62 12.20