Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models

By means of a very simple example, this note illustrates the appeal of using Bayesian rather than classical methods to produce inference on hidden states in models of Markovian regime switching.

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Year of publication:	2007-12
Authors:	Gaertner, Dennis
Institutions:	Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
Subject:	Bayesian analysis \| switching regression \| regime changes \| nonlinear filtering

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Extent:	application/pdf
Series:	SOI - Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0719 8 pages
Classification:	C11 - Bayesian Analysis ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005819678