Online Texts and Lecture Notes

• O. Linton’s Notes

• Bruce Hansen’s Notes

• Introduction to the Mathematical and Statistical Foundations of Econometrics, by Herman Bierens (Cambridge University Press)

• Data and software used in the book State Space Models with Regime-Switching by Charles Nelson and Chang-Jin Kim

Chapter 3 - State-Space Models and the Kalman Filter

Chapter 4 - Markov-Switching Models

Chapter 5 - State-Space Models with Markov-Switching

Chapter 6 - State-Space Models with Heteroskedastic Disturbances

Chapter 7 - An Introduction to Bayesian Inference and Gibbs Sampling

Chapter 8 - State-Space Models and Gibbs Sampling

Chapter 9 - Markov-Switching Models and Gibbs Sampling

Chapter 10 - State-Space Models with Markov-Switching and Gibbs Sampling

Chapter 11 - Gibbs Sampling and Parameter Uncertainty: Testing for Mean Reversion in Heteroskedastic Data

• Data and software used in the book Non-Linear Time Series Models in Empirical Finance, by Philip Hans Franses and Dick van Dijk

Date Sets:
	GAUSS datasets
	Eviews workfiles
	Excel worksheets
Gauss Code:
	Chapter 1   Introduction
	Chapter 2   Some Concepts in Time Series Analysis (ARMA; SIC; Diagnostics)
	Chapter 3   Regime-Switching Models for Returns (TAR, SETAR, STAR; Markov Switching)
	Chapter 4   Regime-Switching Models for Volatility (GARCH)
	Chapter 5   Artificial Neural Networks (ANN)