2023-01-23 21:13:26 +01:00
//
// GaussMarkovChecker.cpp
//
// Created by Marc Melikyan on 11/13/20.
//
2023-01-24 18:12:23 +01:00
# include "gauss_markov_checker.h"
# include "../stat/stat.h"
2023-01-23 21:13:26 +01:00
# include <iostream>
2023-01-24 19:20:18 +01:00
2023-01-24 19:00:54 +01:00
void GaussMarkovChecker : : checkGMConditions ( std : : vector < double > eps ) {
bool condition1 = arithmeticMean ( eps ) ;
bool condition2 = homoscedasticity ( eps ) ;
bool condition3 = exogeneity ( eps ) ;
2023-01-23 21:13:26 +01:00
2023-01-24 19:00:54 +01:00
if ( condition1 & & condition2 & & condition3 ) {
std : : cout < < " Gauss-Markov conditions were not violated. You may use OLS to obtain a BLUE estimator " < < std : : endl ;
} else {
std : : cout < < " A test of the expected value of 0 of the error terms returned " < < std : : boolalpha < < condition1 < < " , a test of homoscedasticity has returned " < < std : : boolalpha < < condition2 < < " , and a test of exogenity has returned " < < std : : boolalpha < < " . " < < std : : endl ;
}
}
bool GaussMarkovChecker : : arithmeticMean ( std : : vector < double > eps ) {
Stat stat ;
if ( stat . mean ( eps ) = = 0 ) {
return 1 ;
} else {
return 0 ;
}
}
bool GaussMarkovChecker : : homoscedasticity ( std : : vector < double > eps ) {
Stat stat ;
double currentVar = ( eps [ 0 ] - stat . mean ( eps ) ) * ( eps [ 0 ] - stat . mean ( eps ) ) / eps . size ( ) ;
for ( int i = 0 ; i < eps . size ( ) ; i + + ) {
if ( currentVar ! = ( eps [ i ] - stat . mean ( eps ) ) * ( eps [ i ] - stat . mean ( eps ) ) / eps . size ( ) ) {
return 0 ;
}
}
return 1 ;
}
2023-01-23 21:13:26 +01:00
2023-01-24 19:00:54 +01:00
bool GaussMarkovChecker : : exogeneity ( std : : vector < double > eps ) {
Stat stat ;
for ( int i = 0 ; i < eps . size ( ) ; i + + ) {
for ( int j = 0 ; j < eps . size ( ) ; j + + ) {
if ( i ! = j ) {
if ( ( eps [ i ] - stat . mean ( eps ) ) * ( eps [ j ] - stat . mean ( eps ) ) / eps . size ( ) ! = 0 ) {
return 0 ;
}
}
}
}
return 1 ;
2023-01-23 21:13:26 +01:00
}
2023-01-24 19:20:18 +01:00