Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications

Jurgen Doornik

No 2017-W05, Economics Papers from Economics Group, Nuffield College, University of Oxford

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.

Pages: 16 pages
Date: 2017-10-12
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Citations: View citations in EconPapers (3)

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Journal Article: Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications (2018)
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