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sakimoto
2009 Jun 23
1
gradually switching regression
Hello,
I'm trying to find an algorithm to estimate a switching regression model
based on the 1990 Economics Letters paper by Ohtani/Kakimoto/Abe or the
earlier version from 1985 (Ohtani/Katayama, Economic Studies Quarterly;
assuming as a transition path a polynomial of order 1).
I found an idea for using nls here:
http://www.biostat.wustl.edu/archives/html/s-news/2000-04/msg00223.html.
Unfortunately it's based on the 1971 Bacon...