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

DOI10.1111/SJOS.12311zbMath1398.65018OpenAlexW2789460017MaRDI QIDQ4578182

Jurgen A. Doornik

Publication date: 8 August 2018

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12311

zbMATH Keywords

EM algorithmaccelerationcointegrationline searchmaximizationPARAFACswitching algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Investigating volatility transmission across international equity markets using multivariate fractional models

Uses Software

• Ox
• BRENT

Cites Work

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• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Enhanced Line Search: A Novel Method to Accelerate PARAFAC
• An efficient method for finding the minimum of a function of several variables without calculating derivatives

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