Readings
- Koop: Bayesian Econometrics (Matlab codes)
- Greenberg: Introduction to Bayesian MCMC sampling (Applications in time series)
- Kim & Nelson: State space and regime switching: A Bayesian approach (Gauss codes)
- Hamilton: Time series analysis (The most important reference for applications in economics)
- Harvey: Time series and the Kalman Filter (The most important initial reference)
- Frühwirth-Schnatter: Mixture modeling (Bayesian approach and Matlab code)
- Casella&Robert: Introduction to MCMC (R codes)