References
- Chib, S. (1996) Calculating posterior distributions and modal estimates in Markov mixture models, Journal of Econometrics, 75, 79–97.
- Frühwirth-Schnatter, S. (2006) Finite Mixture and Markov Switching Models, Springer, New York.
- Geweke, J. (2007) Interpretation and inference in mixture models: simple MCMC works, Computational Statistics & Data Analysis, 51, 3529–50.
- Geweke, J. and Jiang, Y. (2011) Inference and prediction in a multiple-structural-break model, Journal of Econometrics, 163, 172–85.
- Hamilton, J. D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357–84.
- Hamilton, J. D. (2008) Regime-switching models, in New Palgrave Dictionary of Economics, 2nd edn, Durlauf, S. and Blume, L. (Eds), Vol. 7, Palgrave Macmillan, New York, pp. 53–7.
- Kim, C.-J., Nelson, C. R. and Piger, J. (2004) The less-volatile US economy: a Bayesian investigation of timing, breadth, and potential explanations, Journal of Business and Economic Statistics, 22, 80–93.
- Stephens, M. (2000) Dealing with label switching in mixture models, Journal of the Royal Statistical Society: Series B, 62, 795–809.