Empirical Macroeconomics Reading List

Part III: Regime Shift (Hamilton/Lindgren) Models

Lecturer: John.Hassler@iies.su.se
IIES, Stockholm University
October, 1996

Literature

• 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?," mimeo, IIES.