Bayesian econometrics

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

 

0. Mixture of distributions

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

2. Mixture of multivariate normal distributions

3. Linear regression model with mixture of univariate normal errors

4. AR(1) model with Markov switching


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, 2nd Edition, Chapman & Hall/CRC.
  • · Lancaster (2004) An Introduction to Modern Bayesian Econometrics, Blackwell Publishing.