Template-type: ReDIF-Paper 1.0
Author-Name: Jurgen A. Doornik
Author-Workplace-Name: Economics Department and Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, UK
Author-Email: jurgen.doornik@nuffield.ox.ac.uk
Title: Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
Abstract: Restricted versions of the cointegrated VAR are usually estimated using switching algorithms. These algorithms alternate
between two sets of variables but can be slow to converge. Acceleration methods are proposed that combine simplicity and
effectiveness. These methods also outperform existing proposals in some applications of the EM method and PARAFAC.
Length: 16 pages
Creation-Date: 2017-10-12
Number: 2017-W05
File-URL: https://www.nuffield.ox.ac.uk/economics/Papers/2017/CVAR_I(1)_switching_v2b_wp.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1705