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Hello everyone,
I was looking to buy a course on Markov Switching Dynamic Factor modelling with examples exercices.
Could you help Please!?
Best

The Kim and Nelson book (State-Space Models with Regime-Switching) for which we have worked examples, is, in effect, a "course" on that subject. It works up from non-switching state-space models and switching regressions to combining the two, with estimation both by approximate maximum likelihood and by Gibbs sampling.

Thanks Dear Tom for your great help. Indeed, I am struggling to find the below rats equivalent GAUSS in Kim (1999) codings in my course.
Chap 5: State-Space Models with Markov-Switching
Application #3: A Dynamic Factor Model with Markov-Switching: Business Cycle Turning Points and a New Coincident Index
Chap 10: State-Space Models with Markov-Switching and Gibbs Sampling
A Gibbs-Sampling Approach to a Dynamic Factor Model with Markov-Switching: Based on Kim and Nelson (1998).

PS: I have bought the Switching Models and Structural Breaks course.

Best regards
Danon

See the examples kimnp126.rpf (Kim filter) and kimnp247.rpf (Gibbs sampling) in the Kim and Nelson textbook examples.