def test_residuals(self):
x, var0 = self.generate_data()
var = VAR(2)
var.fit(x)
self.assertEqual(x.shape, var.residuals.shape)
self.assertTrue(np.allclose(var.rescov, np.eye(var.rescov.shape[0]), 1e-2, 1e-2))
def test_fit(self):
x, var0 = self.generate_data()
y = x.copy()
var = VAR(2)
var.fit(x)
# make sure the input remains unchanged
self.assertTrue(np.all(x == y))
# that limit is rather generous, but we don't want tests to fail due to random variation
self.assertTrue(np.all(np.abs(var0.coef - var.coef) < 0.02))
def func(self):
x, var0 = self.generate_data()
y = x.copy()
var = VAR(10, o)
var.fit(x)
# make sure the input remains unchanged
self.assertTrue(np.all(x == y))
b0 = np.zeros((2, 20))
b0[:, 0:2] = var0.coef[:, 0:2]
b0[:, 10:12] = var0.coef[:, 2:4]
# that limit is rather generous, but we don't want tests to fail due to random variation
self.assertTrue(np.all(np.abs(b0 - var.coef) < 0.02))
