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

Dennis Gaertner ()
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Dennis Gaertner: Socioeconomic Institute, University of Zurich
Authors registered in the RePEc Author Service: Dennis L. Gärtner ()

No 719, SOI - Working Papers from Socioeconomic Institute - University of Zurich

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; switching regression; regime changes; nonlinear filtering (search for similar items in EconPapers)
JEL-codes: C11 C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007-12
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:soz:wpaper:0719

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