From 4ac5ebbefccb217017f910243e06677e78ba0b0c Mon Sep 17 00:00:00 2001
From: Houtan Bastani <houtan@dynare.org>
Date: Fri, 15 Mar 2019 14:22:50 +0100
Subject: [PATCH] add var AR test

---
 tests/Makefile.am                            |   1 +
 tests/trend-component-and-var-models/vm5.mod | 121 +++++++++++++++++++
 2 files changed, 122 insertions(+)
 create mode 100644 tests/trend-component-and-var-models/vm5.mod

diff --git a/tests/Makefile.am b/tests/Makefile.am
index 10d941ba9..ab5a89346 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -374,6 +374,7 @@ MODFILES = \
 	trend-component-and-var-models/vm2.mod \
 	trend-component-and-var-models/vm3.mod \
 	trend-component-and-var-models/vm4.mod \
+	trend-component-and-var-models/vm5.mod \
 	trend-component-and-var-models/tcm1.mod \
 	trend-component-and-var-models/tcm2.mod \
 	trend-component-and-var-models/tcm3.mod \
diff --git a/tests/trend-component-and-var-models/vm5.mod b/tests/trend-component-and-var-models/vm5.mod
new file mode 100644
index 000000000..db4b86058
--- /dev/null
+++ b/tests/trend-component-and-var-models/vm5.mod
@@ -0,0 +1,121 @@
+// --+ options: transform_unary_ops +--
+
+var y1 y2 y3 y4;
+
+varexo e1 e2 e3 e4;
+
+parameters A111 A112 A113 A114
+           A121 A122 A123 A124
+           A131 A132 A133 A134
+           A141 A142 A143 A144
+           A211 A212 A213 A214
+           A221 A222 A223 A224
+           A231 A232 A233 A234
+           A241 A242 A243 A244
+           A311 A312 A313 A314
+           A321 A322 A323 A324
+           A331 A332 A333 A334
+           A341 A342 A343 A344 ;
+
+A1 = randn(4);
+A2 = randn(4);
+A3 = randn(4);
+
+A111 = A1(1,1);
+A112 = A1(1,2);
+A113 = A1(1,3);
+A114 = A1(1,4);
+A121 = A1(2,1);
+A122 = A1(2,2);
+A123 = A1(2,3);
+A124 = A1(2,4);
+A131 = A1(3,1);
+A132 = A1(3,2);
+A133 = A1(3,3);
+A134 = A1(3,4);
+A141 = A1(4,1);
+A142 = A1(4,2);
+A143 = A1(4,3);
+A144 = A1(4,4);
+
+A211 = A2(1,1);
+A212 = A2(1,2);
+A213 = A2(1,3);
+A214 = A2(1,4);
+A221 = A2(2,1);
+A222 = A2(2,2);
+A223 = A2(2,3);
+A224 = A2(2,4);
+A231 = A2(3,1);
+A232 = A2(3,2);
+A233 = A2(3,3);
+A234 = A2(3,4);
+A241 = A2(4,1);
+A242 = A2(4,2);
+A243 = A2(4,3);
+A244 = A2(4,4);
+
+A311 = A3(1,1);
+A312 = A3(1,2);
+A313 = A3(1,3);
+A314 = A3(1,4);
+A321 = A3(2,1);
+A322 = A3(2,2);
+A323 = A3(2,3);
+A324 = A3(2,4);
+A331 = A3(3,1);
+A332 = A3(3,2);
+A333 = A3(3,3);
+A334 = A3(3,4);
+A341 = A3(4,1);
+A342 = A3(4,2);
+A343 = A3(4,3);
+A344 = A3(4,4);
+
+var_model(model_name=toto, eqtags=['eq:y1', 'eq:y2', 'eq:y3', 'eq:y4']);
+
+model;
+
+[name='eq:y1']
+log(y1) = A111*log(y1(-1)) + A112*y2(-1) + A113*y3(-1) + A114*y4(-1) +
+     A211*log(y1(-2)) + A212*y2(-2) + A213*y3(-2) + A214*y4(-2) +
+     A311*log(y1(-3)) + A312*y2(-3) + A313*y3(-3) + A314*y4(-3) + e1; 
+
+[name='eq:y2']
+y2 = A121*log(y1(-1)) + A122*y2(-1) + A123*y3(-1) + A124*y4(-1) +
+     A221*log(y1(-2)) + A222*y2(-2) + A223*y3(-2) + A224*y4(-2) +
+     A321*log(y1(-3)) + A322*y2(-3) + A323*y3(-3) + A324*y4(-3) + e2; 
+
+[name='eq:y3']
+y3 = A131*log(y1(-1)) + A132*y2(-1) + A133*y3(-1) + A134*y4(-1) +
+     A231*log(y1(-2)) + A232*y2(-2) + A233*y3(-2) + A234*y4(-2) +
+     A331*log(y1(-3)) + A332*y2(-3) + A333*y3(-3) + A334*y4(-3) + e3; 
+
+[name='eq:y4']
+y4 = A141*log(y1(-1)) + A142*y2(-1) + A143*y3(-1) + A144*y4(-1) +
+     A241*log(y1(-2)) + A242*y2(-2) + A243*y3(-2) + A244*y4(-2) +
+     A341*log(y1(-3)) + A342*y2(-3) + A343*y3(-3) + A344*y4(-3) + e4;
+
+end;
+
+[A0, AR, B] = get_companion_matrix('toto');
+
+if max(max(abs(AR(:,:,1)-A1)))>1e-12
+   error('First order autoregressive matrix is wrong.')
+end
+
+if max(max(abs(AR(:,:,2)-A2)))>1e-12
+   error('Second order autoregressive matrix is wrong.')
+end
+
+if max(max(abs(AR(:,:,3)-A3)))>1e-12
+   error('Third order autoregressive matrix is wrong.')
+end
+
+CompanionMatrix = [A1, A2, A3;
+                   eye(4), zeros(4, 8);
+                   zeros(4), eye(4), zeros(4)];
+
+if max(max(abs(CompanionMatrix-oo_.var.toto.CompanionMatrix)))>1e-12
+   error('Companion matrix is wrong.')
+end