Davidson, James (2004). “Forecasting Markov-switching Dynamic, Conditionally Heteroscedastic Processes,” Statistics & Probability Letters, 68, 137-147.

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.

Goldfeld, Stephen M. and Richard E. Quandt (1973). “A Markov Model for Switching Regressions,” Journal of Econometrics, 3–16.

Goldfeld, Stephen M. and Richard E. Quandt (1976), Studies in Nonlinear Estimation, Cambridge, MA: Ballinger Publishing Company.

Hamilton, James D. (1989). “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,” Econometrica, 57, 357–384.

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.