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)