Dear friends,
I am very interested with the optimization algorithm of Berndt, B. Hall, R. Hall, and
Jerry Hausman (Berndt, E., B. Hall, R. Hall, and J. Hausman, (1974), “Estimation and
Inference in Nonlinear Structural Models”, Annals of Social
Measurement, Vol. 3, 653-665.). Such algorithm is advised for the estimation of smooth transition autoregression models. Is there any implementation of this algorithm in Octave. many thanks in advance.
George.