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

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

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

Dennis L. Gärtner (Contact Author)

University of St. Gallen ( email )

Bodanstrasse 6
St Gallen, 9000
Switzerland