diff --git a/test/ols_hac.jl b/test/ols_hac.jl index 0cac375..19354e9 100644 --- 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)