**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 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, 2
^{nd}Edition, Chapman & Hall/CRC. - · Lancaster (2004) An Introduction to Modern Bayesian Econometrics, Blackwell Publishing.