def test_model2(self): reg = ML_Error_Regimes(self.y,self.x,self.regimes,w=self.w,name_y=self.y_name,name_x=self.x_names,\ name_w=self.w_name,name_ds=self.ds_name,name_regimes="CITCOU", regime_err_sep=True) betas = np.array([[3.66158216], [4.55700255], [-0.08045502], [0.44800318], [0.17774677], [33.3086368], [2.44709405], [-0.18803509], [0.68956598], [0.75599089]]) np.testing.assert_allclose(reg.betas, betas, RTOL) vm = np.array([ 40.60994599, -7.25413138, -0.16605501, 0.48961884, 0., 0., 0., 0., 0., 0. ]) np.testing.assert_allclose(reg.vm[0], vm, RTOL) u = np.array([31.97771505]) np.testing.assert_allclose(reg.u[0], u, RTOL) predy = np.array([15.02228495]) np.testing.assert_allclose(reg.predy[0], predy, RTOL) e = np.array([33.83065421]) np.testing.assert_allclose(reg.e_filtered[0], e, RTOL) chow_r = np.array([[6.88023639, 0.0087154], [0.90512612, 0.34141092], [0.75996258, 0.38334023], [0.56882946, 0.45072443], [12.18358581, 0.00048212]]) np.testing.assert_allclose(reg.chow.regi, chow_r, RTOL) chow_j = 26.673798071789673 np.testing.assert_allclose(reg.chow.joint[0], chow_j, RTOL) #Artficial: model = ML_Error_Regimes(self.y_a, self.x_a, self.regi_a, w=self.w_a, regime_err_sep=True) model1 = ML_Error(self.y_a[0:(self.n2)].reshape((self.n2), 1), self.x_a[0:(self.n2)], w=self.w_a1) model2 = ML_Error(self.y_a[(self.n2):].reshape((self.n2), 1), self.x_a[(self.n2):], w=self.w_a1) tbetas = np.vstack((model1.betas, model2.betas)) np.testing.assert_allclose(model.betas, tbetas) vm = np.hstack((model1.vm.diagonal(), model2.vm.diagonal())) np.testing.assert_allclose(model.vm.diagonal(), vm, 4)
def test_model1(self): reg = ML_Error_Regimes(self.y,self.x,self.regimes,w=self.w,name_y=self.y_name,name_x=self.x_names,\ name_w=self.w_name,name_ds=self.ds_name,name_regimes="CITCOU", regime_err_sep=False) betas = np.array([[-2.39491278], [4.873757], [-0.02911854], [0.33275008], [31.79618475], [2.98102401], [-0.23710892], [0.80581127], [0.61770744]]) np.testing.assert_allclose(reg.betas, betas, RTOL) u = np.array([30.46599009]) np.testing.assert_allclose(reg.u[0], u, RTOL) predy = np.array([16.53400991]) np.testing.assert_allclose(reg.predy[0], predy, RTOL) n = 211 np.testing.assert_allclose(reg.n, n, RTOL) k = 8 np.testing.assert_allclose(reg.k, k, RTOL) y = np.array([47.]) np.testing.assert_allclose(reg.y[0], y, RTOL) x = np.array([1., 4., 148., 11.25, 0., 0., 0., 0.]) np.testing.assert_allclose(reg.x[0], x, RTOL) e = np.array([34.69181334]) np.testing.assert_allclose(reg.e_filtered[0], e, RTOL) my = 44.307180094786695 np.testing.assert_allclose(reg.mean_y, my, RTOL) sy = 23.606076835380495 np.testing.assert_allclose(reg.std_y, sy, RTOL) vm = np.array([ 58.50551173, 2.42952002, 0.00721525, 0.06391736, 80.59249161, 3.1610047, 0.0119782, 0.0499432, 0.00502785 ]) np.testing.assert_allclose(reg.vm.diagonal(), vm, RTOL) sig2 = np.array([[209.60639741]]) np.testing.assert_allclose(reg.sig2, sig2, RTOL) pr2 = 0.43600837301477025 np.testing.assert_allclose(reg.pr2, pr2, RTOL) std_err = np.array([ 7.64888957, 1.55869177, 0.08494262, 0.25281882, 8.9773321, 1.77792146, 0.10944497, 0.22347975, 0.07090735 ]) np.testing.assert_allclose(reg.std_err, std_err, RTOL) logll = -870.3331059537576 np.testing.assert_allclose(reg.logll, logll, RTOL) aic = 1756.6662119075154 np.testing.assert_allclose(reg.aic, aic, RTOL) schwarz = 1783.481076975324 np.testing.assert_allclose(reg.schwarz, schwarz, RTOL) chow_r = np.array([[8.40437046, 0.0037432], [0.64080535, 0.42341932], [2.25389396, 0.13327865], [1.96544702, 0.16093197]]) np.testing.assert_allclose(reg.chow.regi, chow_r, RTOL) chow_j = 25.367913028011799 np.testing.assert_allclose(reg.chow.joint[0], chow_j, RTOL)