Mixture models and regime switching models

Mixture models (Koop, section 7.3, GCSR, chapter 18)

• · Univariate mixture of normals
• · Multivariate mixture of normals
• · Linear regression with mixture of normal errors

Regime switching models (Kim and Nelson, chapters 7,8,9 and 10)

• · AR(1) model with Markov switching

1. Mixture of distributions

2. Mixture of univariate normal distributions (R-code + auxiliary routines)

• · Example: velocities of galaxies

3. Mixture of multivariate normal distributions

4. Linear regression model with mixture of univariate normal errors

• · Example: three-component mixture (R-code + executable)

5. AR(1) model with Markov switching

• · Example: two-regime model (R-code + executable)

A few additional references

• · Kim and Nelson (1999) State-Space Models with Regime Switching: Classical and Gibbs Sampling Approaches with Applications, The MIT Press.
• · Koop (2003) Bayesian Econometrics, Wiley.
• · Gelman, Carlin, Stern and Rubin (2004) Bayesian Data Analysis, 2^nd Edition, Chapman & Hall/CRC.
• · Lancaster (2004) An Introduction to Modern Bayesian Econometrics, Blackwell Publishing.