Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models
Series
SOI Working Paper
Type
working paper
Date Issued
2007
Author(s)
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.
Language
English
Keywords
Bayesian analysis
switching regression
regime changes
nonlinear filtering.
HSG Classification
contribution to scientific community
Refereed
No
Publisher place
Zürich
Number
0719
Subject(s)
Eprints ID
244901