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.