Ox code to illustrate acceleration of EM and other switching algorithms
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output
trace
Danish_data_Juselius(2006).xlsx
LICENSE
README.md
coint1.ox
coint1.oxh
maxscalar.ox
maxscalar.oxh
switching.ox
switching.oxh
switching_coint.ox
switching_gxm.ox
switching_tests.ox
test_maxscalar.ox
trace_plots.ox

README.md

Ox-SwitchingAcceleration

Ox code to illustrate acceleration of EM and other switching algorithms.

Summary

This code supplements J.A. Doornik (2017 or 2018), `Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications', forthcoming, Scandinavian Journal of Statistics.

Please reference the above paper when using this code.

Contents

  1. Data
  • Danish_data_Juselius(2006).xlsx: the Danish data of Juselius (2006).
  1. Supporting Ox code
  • switching.ox, switching.oxh: Switching class for maximization with a choice of line searches.
  • maxscalar.ox, maxscalar.oxh: univariate maximization algorithms by Brent and Powell.
  • coint1.ox, coint1.oxh: Coint class for simple I(1) CVAR estimation.
  1. Ox programs
  • switching_coint.ox: Ox program to evaluate the switching algorithms for simplified version of the I(1) model using the Danish data.
  • switching_gxm.ox: Ox program to evaluate the EM algorithms for the Gaussian mixture model.
  • switching_tests.ox: Ox program to evaluate the EM algorithms for the Poisson mixture model and the multivariate-t, as well as alternating algorithms for PARAFAC and low-rank matrix approximation.
  • test_maxscalar.ox: Ox program to run some examples using maxscalar.
  • trace_plots.ox: Ox program to make evaluation plots of the more extensive output that is generated in the trace folder when switching_coint.ox is run with trace switched on.
  1. Output
  • the output folder has the results of some of my runs of the code.