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Fixed integration test.

time-shift
Stéphane Adjemia (Scylla) 2018-08-28 11:08:40 +02:00
parent 6dc35c676b
commit 7cf4dc751e
1 changed files with 2 additions and 8 deletions
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10
tests/var-expectations/6/example.mod
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@ -47,7 +47,7 @@ trend_component_model(model_name=toto, eqtags=['eq:x1', 'eq:x2', 'eq:x1bar', 'eq
** where the sum is over h=0,…,∞ and the conditional expectations are computed with VAR model `var_model_name`.
*/
var_expectation_model(model_name = varexp, variable = x1bar, auxiliary_model_name = toto, horizon = 15:50, discount = beta) ;
var_expectation_model(model_name = varexp, variable = x1, auxiliary_model_name = toto, horizon = 15:50, discount = beta) ;
model;
@ -73,14 +73,8 @@ var_expectation.initialize('varexp')
// Update VAR_EXPECTATION reduced form parameters
var_expectation.update('varexp');
/*
** REMARK The VAR model is such that x depends on past values of x
** (xₜ₋₁ and xₜ₋₂) and on zₜ₋₂. Consequently the reduced
** form parameters associated to yₜ₋₁, yₜ₋₂ have to be zero.
*/
weights = M_.params(M_.var_expectation.varexp.param_indices);
if weights(2) || ~weights(3) || weights(5) || ~weights(1) || ~weights(4) || ~weights(6)
if ~all(weights(1:6)) || ~all(weights(9:10)) || weights(7) || weights(8) || weights(11) || weights(12)
error('Wrong reduced form parameter for VAR_EXPECTATION_MODEL')
end