This is the fourth in our collection of course materials. It treats a broad range of subjects, including tests for structural breaks and threshold effects, and estimation of threshold autoregression (TAR) and smooth transition (STAR) models. More than half the course is devoted to the topic of Markov Switching models, with applications to regressions, VAR, State-Space, and ARCH and GARCH models. It covers both maximum likelihood (EM where appropriate) and Bayesian estimation techniques.
The course includes a 229 page book in PDF form, with 34 executable programs with data. (Note: some of the examples require at least version 7.3 of RATS). The examples are the heart of the course. The book includes enough theory to make sense of the examples, but mainly explains in quite a bit of detail the calculations done in the examples.
The price for the course materials is $50. To order, go to https://www.estima.com/shopcart/webordercart_courses.shtml
You can view the Preface and Table of Contents at http://www.estima.com/ecourse/samples/contents_switching.shtml