Add standard errors tests

gragusa · Feb 17, 2018 · 932093c · 932093c
1 parent 353f3cd
commit 932093c
Showing 1 changed file with 4 additions and 5 deletions.
diff --git a/test/ols_hac.jl b/test/ols_hac.jl
@@ -137,12 +137,16 @@ Vt = [0.00417663470962045 -0.00014277423204925 0.000404820124045818
      -0.00014277423204925 0.00310914818879932 -0.000418125055191947
       0.000404820124045818 -0.000418125055191946 0.00345356514902845]
 @test V≈Vt atol=1e-4
+@test stderr(lm1,ParzenKernel(Andrews), prewhite = true) ≈ sqrt.(diag(Vt)) atol = 0.001
 
 V = vcov(lm1, QuadraticSpectralKernel(Andrews), prewhite = true)
 Vt = [0.00422525037811967 -0.000131637826271777 0.000413149700377485
      -0.000131637826271777 0.00308879179300843 -0.00042052413768716
       0.000413149700377485 -0.000420524137687161 0.00342999158493283]
+
 @test V≈Vt atol=1e-4
+@test stderr(lm1, QuadraticSpectralKernel(Andrews), prewhite = true) ≈ sqrt.(diag(Vt)) atol = 0.001
+
 
 @test optimalbw(Andrews, BartlettKernel, lm1) ≈ 1.79655260917
 @test optimalbw(Andrews, TruncatedKernel, lm1) ≈ 0.923095757094
@@ -181,8 +185,3 @@ Vt = [0.00422525037811967 -0.000131637826271777 0.000413149700377485
 # V = vcov(lm1, VARHAC(1,3,3))
 
 
-## X = CovarianceMatrices.ModelMatrix(lm1.model);
-## u = CovarianceMatrices.wrkresidwts(lm1.model.rr);
-## z = X.*u;
-
-## vcov(lm1, TruncatedKernel(1.0), prewhite = false)