Empirical Macroeconomics Reading List
Part III: Regime Shift (Hamilton/Lindgren) Models
IIES, Stockholm University
- Hamilton, J. D. (1994), Time Series Analysis, Princeton
University Press (chapter 22).
- Hamilton, James D., (1989), A New Approach to the
Economic Analysis of Non-Stationary Time Series and the
Business Cycle, Econometrica, Vol. 57:2
- Hamilton, James D., (1996), Specification Testing
in Markov-Switching Time-Series Models, Journal-of-Econometrics;
70(1), January 1996, pages 127-57
- Hassler, John, (1996), "Why
Has Swedish Stock Market Volatility Increased?,"