User’s Guide : Advanced Single Equation Analysis : Switching Regression : References
  
References
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Diebold, Francis X., Lee, Joon-Haeng, and Gretchen C. Weinbach (1994). “Regime Switching with Time-Varying Transition Probabilities,” in C. Hargreaves (ed.), Nonstationary Time Series Analysis and Cointegration, Oxford: Oxford University Press, 283–302.
Filardo, Andrew J. (1994). “Business-Cycle Phases and Their Transitional Dynamics,” Journal of Business & Economic Statistics, 12, 299-308.
Frühwirth-Schnatter, Sylvia (2006). Finite Mixture and Markov Switching Models, New York: Springer Science + Business Media LLC.
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Hamilton, James D. (1990). “Analysis of Time Series Subject to Changes in Regime,” Journal of Econometrics, 45, 39–70.
Hamilton, James D. (1994). Time Series Analysis, Chapter 22, Princeton: Princeton University Press.
Hamilton, James D. (1996). “Specification Testing in Markov-switching Time-series Models,” Journal of Econometrics, 70, 127–157.
Hansen, B. E. (1992). “The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP,” Journal of Applied Econometrics, 7, S6–S82.
Kim, Chang-Jin (1994). “Dynamic Linear Models with Markov-Switching,” Journal of Econometrics, 60, 1–22.
Kim, Chang-Jin and Charles R. Nelson (1999). State-Space Models With Regime Switching, Cambridge: The MIT Press.
Krolzig, Hans-Martin (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis, Berlin: Springer-Verlag.
Maddala, G. S. (1986). “Disequilibrium, Self-Selection, and Switching Models,” Handbook of Econometrics, Chapter 28 in Z. Griliches & M. D. Intriligator (eds.), Handbook of Econometrics, Volume 3, Amsterdam: North- Holland.
Maheu, John M., and Thomas H. McCurdy (2000). “Identifying Bull and Bear Markets in Stock Returns,” Journal of Business & Economic Statistics, 18, 100–112.
Smith, Daniel R. (2008). “Evaluating Specification Tests for Markov-switching Time-series Models,” Journal of Time Series Analysis, 29, 629–652.