Ox code to illustrate acceleration of EM and other switching algorithms.
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.
Danish_data_Juselius(2006).xlsx: the Danish data of Juselius (2006).
- 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.
- 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.
outputfolder has the results of some of my runs of the code.