User’s Guide : Multiple Equation Analysis : Switching VAR : References
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.
Krolzig, H.-M. (1997). Markov-Switching Vector Autoregressions. Berlin: Springer.