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

Gärtner, Dennis L.

doi:10.2139/ssrn.1049201

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

8 Pages Posted: 3 Dec 2007 Last revised: 21 Feb 2014

See all articles by Dennis L. Gärtner

Dennis L. Gärtner

University of St. Gallen

Date Written: February 2014

Abstract

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.

Keywords: Bayesian analysis, regime changes

JEL Classification: C11, C22

Suggested Citation: Suggested Citation

Gärtner, Dennis L., Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models (February 2014). Available at SSRN: https://ssrn.com/abstract=1049201 or http://dx.doi.org/10.2139/ssrn.1049201