def test_constraint_setting(data):
mod = SUR(data)
pn = mod.param_names
c = Series(np.zeros(len(pn)), index=pn)
c1 = c.copy()
c1.iloc[::7] = 1
c2 = c.copy()
c2.iloc[::11] = 1
r = concat([c1, c2], 1).T
q = Series([0, 1], index=r.index)
mod.add_constraints(r)
mod.fit(method='ols')
res = mod.fit(method='ols', cov_type='unadjusted')
assert_allclose(r.values @ res.params.values[:, None],
np.zeros((2, 1)),
atol=1e-8)
mod.fit(method='gls')
res = mod.fit(method='gls', cov_type='unadjusted')
assert_allclose(r.values @ res.params.values[:, None],
np.zeros((2, 1)),
atol=1e-8)
mod.add_constraints(r, q)
res = mod.fit(method='ols')
assert_allclose(r.values @ res.params.values[:, None],
q.values[:, None],
atol=1e-8)
res = mod.fit(method='gls')
assert_allclose(r.values @ res.params.values[:, None],
q.values[:, None],
atol=1e-8)
def test_restricted_f_statistic():
data = generate_data(k=2, p=2)
mod = SUR(data)
r = DataFrame(np.zeros((1, 6)), columns=mod.param_names)
r.iloc[0, 1] = 1.0
mod.add_constraints(r)
res = mod.fit()
eqn = res.equations[res.equation_labels[0]]
assert isinstance(eqn.f_statistic, InvalidTestStatistic)
def test_contrains_reset(data):
mod = SUR(data)
pn = mod.param_names
c = Series(np.zeros(len(pn)), index=pn)
c1 = c.copy()
c1.iloc[::7] = 1
c2 = c.copy()
c2.iloc[::11] = 1
r = concat([c1, c2], 1).T
q = Series([0, 1], index=r.index)
mod.add_constraints(r, q)
cons = mod.constraints
assert_allclose(cons.r.values, r.values)
assert_allclose(cons.q.values, q.values)
mod.reset_constraints()
cons = mod.constraints
assert cons is None
def test_invalid_constraints(data):
# 1. Wrong types
mod = SUR(data)
pn = mod.param_names
c = Series(np.zeros(len(pn)), index=pn)
c1 = c.copy()
c1.iloc[::7] = 1
c2 = c.copy()
c2.iloc[::11] = 1
r = concat([c1, c2], 1).T
q = Series([0, 1], index=r.index)
with pytest.raises(TypeError):
mod.add_constraints(r.values)
with pytest.raises(TypeError):
mod.add_constraints(r, q.values)
# 2. Wrong shape
with pytest.raises(ValueError):
mod.add_constraints(r.iloc[:, :-2])
with pytest.raises(ValueError):
mod.add_constraints(r, q.iloc[:-1])
# 3. Redundant constraint
r = concat([c1, c1], 1).T
with pytest.raises(ValueError):
mod.add_constraints(r)
# 4. Infeasible constraint
with pytest.raises(ValueError):
mod.add_constraints(r, q)
