def test_mix_negative_h(lf_data, hf_data):
y, yl, x, yf, ylf, xf = mix.mix_freq(lf_data.val, hf_data.val, 3, 1, -1,
start_date=datetime.datetime(2009, 7, 1),
end_date=datetime.datetime(2010, 1, 1))
assert all(x.loc['2009-07-01'].values == [0.8, 0.7, 0.6])
assert all(x.loc['2010-01-01'].values == [1.4, 1.3, 1.2])
assert yl.loc['2009-07-01'].values[0] == 1.0
def test_mix_lag_string(lf_data, hf_data):
y, yl, x, yf, ylf, xf = mix.mix_freq(lf_data.val, hf_data.val, "3M", 1, 1,
start_date=datetime.datetime(2009, 7, 1),
end_date=datetime.datetime(2010, 1, 1))
assert all(x.loc['2009-07-01'].values == [0.6, 0.5, 0.4])
assert all(x.loc['2010-01-01'].values == [1.2, 1.1, 1.0])
assert yl.loc['2009-07-01'].values[0] == 1.0
def test_mix_no_ylag(lf_data, hf_data):
y, yl, x, yf, ylf, xf = mix.mix_freq(lf_data.val, hf_data.val, 3, 0, 1,
start_date=datetime.datetime(2009, 7, 1),
end_date=datetime.datetime(2010, 1, 1))
assert all(x.loc['2009-07-01'].values == [0.6, 0.5, 0.4])
assert all(x.loc['2010-01-01'].values == [1.2, 1.1, 1.0])
assert yl is None
def test_mix_hf_starts_after_lf(lf_data, hf_data):
""" Case where high-freq data ends before last low-freq date
"""
y, yl, x, yf, ylf, xf = mix.mix_freq(lf_data.val, hf_data.iloc[4:].val, 3, 0, 1,
start_date=datetime.datetime(2009, 4, 1),
end_date=datetime.datetime(2010, 1, 1))
assert y.index[0] == datetime.datetime(2009, 10, 1)
assert all(x.loc['2009-10-01'].values == [0.9, 0.8, 0.7])
def test_mix_lf_after_hf(lf_data, hf_data):
""" Case where high-freq data ends before last low-freq date
"""
y, yl, x, yf, ylf, xf = mix.mix_freq(lf_data.val, hf_data.iloc[0:-2].val, 3, 0, 1,
start_date=datetime.datetime(2009, 7, 1),
end_date=datetime.datetime(2010, 1, 1))
assert all(x.loc['2009-07-01'].values == [0.6, 0.5, 0.4])
assert all(x.loc['2010-01-01'].values == [1.2, 1.1, 1.0])
assert yl is None
def test_mix_gdp(gdp_data, pay_data):
y, yl, x, yf, ylf, xf = mix.mix_freq(gdp_data.gdp, pay_data.pay, 3, 1, 1,
start_date=datetime.datetime(1985, 1, 1),
end_date=datetime.datetime(2009, 1, 1))
assert len(y) == 97
assert all(x.loc['1985-01-01'].values == [pay_data.loc['1984-12-01'].pay,
pay_data.loc['1984-11-01'].pay,
pay_data.loc['1984-10-01'].pay])
def test_estimate(gdp_data, pay_data):
y, yl, x, yf, ylf, xf = mix.mix_freq(
gdp_data.gdp,
pay_data.pay,
3,
1,
1,
start_date=datetime.datetime(1985, 1, 1),
end_date=datetime.datetime(2009, 1, 1))
res = estimate(y, yl, x)
fc = forecast(xf, ylf, res)
print(fc)
assert np.isclose(fc.loc['2011-04-01'][0], 1.336844, rtol=1e-6)
def test_mix_no_start_end(lf_data, hf_data):
y, yl, x, yf, ylf, xf = mix.mix_freq(lf_data.val, hf_data.val, "3M", 1, 1)
assert all(x.loc['2009-07-01'].values == [0.6, 0.5, 0.4])
assert all(x.loc['2010-01-01'].values == [1.2, 1.1, 1.0])
assert yl.loc['2009-07-01'].values[0] == 1.0