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).

2. 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.

3. 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.

4. Output

• the output folder has the results of some of my runs of the code.