I have ever seen a post about markov-switching, this post focuses
on  markov-switching model in interest rate term structure,
enclosed you will find some paramount papers aboutit, also two papers
about term structure of interest rate are included, becaue I find it is
hardly to bypass these two papers if you want to understand some
markov-switching model in interest rate term structure exactly.
actually, this  is the topic of my master dissertation. in my
view,  it is an interesting and important topic  in the sense
of time series analysis, monetary policy and financial economics(
specifically, asset pricing of deritives of interest rate),  
James D. Hamilton (the author of <time series analysis>,1994,
Princeton university press) made the  original  contributions
to this topics, also Campell, Sargent, shiller ect. should be mentoined
in this topic.  considering I am working on it, any comment or
disscussion is very welcome, the following is the list:



Hamilton, rational expectations econometric analysis of changes in regime  

              
an investigation of the term structure of interes rates

Hamilton, specification testing in markov-switiching time-series models

Hamilton, a new approach to the economic analysis of nonstationary time series and the

               business cycly

Martin Sola, John Driffill, Testing the term structure of interest rates using a stationary vector

                                   
autoregression with regime switching

Tom Engsted, Ken Nyholm, Regime shifts in the danish term structure of interest rates,

John Y Campell , Robert J Shiller, Cointegration adn tests of present value models

John Y Campell , Robert J Shiller, Yield spreads and interest rate movement: a bird's eye view,

Qiang  Dai ect.,, Regime shifts in a dynamic term structure model of U.S. treasury bond yields,

Peter Tillmann, Cointegrated and regime-switching risk premia in the term structure of interest

                     
rates,



Banzhu, Please reward me some points, thank you, please forgive i cann't input chinese with this computer.