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

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Author Info
Dennis Gaertner () (Socioeconomic Institute, University of Zurich)

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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.

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File URL: http://www.soi.uzh.ch/research/wp/2007/wp0719.pdf
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File Function: First version, 2007
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Publisher Info
Paper provided by University of Zurich, Socioeconomic Institute in its series Working Papers with number 0719.

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Length: 8 pages
Date of creation: Dec 2007
Date of revision:
Handle: RePEc:soz:wpaper:0719

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Related research
Keywords: Bayesian analysis; switching regression; regime changes; nonlinear filtering;

Other versions of this item:

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dennis Gaertner & Armin Schmutzler, 2006. "Merger Negotiations and Ex-Post Regret," Working Papers 0607, University of Zurich, Socioeconomic Institute, revised Dec 2007. [Downloadable!]
    Other versions:
  2. Fabian Waltert & Felix Schlaepfer, 2007. "The role of landscape amenities in regional development: a survey of migration, regional economic and hedonic pricing studies," Working Papers 0710, University of Zurich, Socioeconomic Institute. [Downloadable!]
  3. Helga Fehr & Thomas Epper & Adrian Bruhin & Renate Schubert, 2007. "Risk and Rationality: The Effect of Incidental Mood on Probability Weighting," Working Papers 0703, University of Zurich, Socioeconomic Institute. [Downloadable!]
  4. Adrian Bruhin & Thomas Epper, 2007. "Risk and Rationality: Uncovering Heterogeneity in Probability Distortion," Working Papers 0705, University of Zurich, Socioeconomic Institute, revised Jul 2007. [Downloadable!]
  5. Rafael Lalive & Armin Schmutzler, 2005. "Exploring the Effects of Competition for Railway Markets," Working Papers 0511, University of Zurich, Socioeconomic Institute, revised Apr 2007. [Downloadable!]
    Other versions:
  6. Hans Gersbach & Armin Schmutzler, 2006. "A Product-Market Theory of Industry-Specific Training," Working Papers 0610, University of Zurich, Socioeconomic Institute. [Downloadable!]
  7. Philippe Mahler & Rainer Winkelmann, 2005. "Single Motherhood and (Un)Equal EducationalOpportunities: Evidence for Germany," Working Papers 0512, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
  8. Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November. [Downloadable!] (restricted)
  9. Hans Gersbach & Armin Schmutzler, 2006. "Foreign Direct Investment and R&D offshoring," Working Papers 0606, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
  10. Felix Schlaepfer, 2007. "An analysis of the Swiss vote on the use of genetically modified crops," Working Papers 0717, University of Zurich, Socioeconomic Institute. [Downloadable!]
  11. Rafael Lalive & Armin Schmutzler, 2006. "Entry in liberalized railway markets: The German experience," Working Papers 0609, University of Zurich, Socioeconomic Institute, revised Apr 2007. [Downloadable!]
    Other versions:
  12. Stefan Boes & Markus Lipp & Rainer Winkelmann, 2005. "Money Illusion Under Test," Working Papers 0514, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
  13. Adrian Bruhin & Rainer Winkelmann, 2007. "Happiness Functions with Preference Interdependence and Heterogeneity: The Case of Altruism within the Family," Working Papers 0702, University of Zurich, Socioeconomic Institute, revised Feb 2008. [Downloadable!]
    Other versions:
  14. Stefan Buehler & Christian Kaiser & Franz Jaeger, 2007. "On the Geographic and Cultural Determinants of Bankruptcy," Working Papers 0701, University of Zurich, Socioeconomic Institute, revised Jun 2007. [Downloadable!]
  15. Stefan Boes & Kevin Staub & Rainer Winkelmann, 2007. "Hedonic Adaptation to Living Standards and the Hidden Cost of Parental Income," Working Papers 0713, University of Zurich, Socioeconomic Institute. [Downloadable!]
  16. Gersbach, Hans & Schmutzler, Armin, 2007. "Does Globalization Create Superstars?," CEPR Discussion Papers 6222, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  17. Schwarze, Johannes & Winkelmann, Rainer, 2005. "What Can Happiness Research Tell Us About Altruism? Evidence from the German Socio-Economic Panel," IZA Discussion Papers 1487, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  18. Stefan Boes, 2007. "Nonparametric Analysis of Treatment Effects in Ordered Response Models," Working Papers 0709, University of Zurich, Socioeconomic Institute. [Downloadable!]
  19. Stefan Buehler & Armin Schmutzler, 2005. "On The Role of Access Charges Under Network Competition," Working Papers 0501, University of Zurich, Socioeconomic Institute. [Downloadable!]
  20. Stefan Boes & Rainer Winkelmann, 2006. "The Effect of Income on Positive and Negative Subjective Well-Being," Working Papers 0605, University of Zurich, Socioeconomic Institute. [Downloadable!]
  21. Samuel Muehlemann & Juerg Schweri & Rainer Winkelmann & Stefan C. Wolter, 2005. "A Structural Model of Demand for Apprentices," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  22. Daniel Halbheer & Ernst Fehr & Lorenz Goette & Armin Schmutzler, 2007. "Self-Reinforcing Market Dominance," Working Papers 0711, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
  23. Donja Darai & Dario Sacco & Armin Schmutzler, 2009. "Competition and Innovation: An Experimental Investigation," Working Papers 0608, University of Zurich, Socioeconomic Institute, revised Apr 2007. [Downloadable!]
    Other versions:
  24. Helga Fehr-Duda & Adrian Bruhin & Thomas Epper & Renate Schubert, 2007. "Rationality on the Rise: Why Relative Risk Aversion Increases with Stake Size," Working Papers 0708, University of Zurich, Socioeconomic Institute, revised Feb 2008. [Downloadable!]
  25. Armin Schmutzler, 2007. "The relation between competition and innovation – Why is it such a mess?," Working Papers 0716, University of Zurich, Socioeconomic Institute. [Downloadable!]
  26. Yves Schneider & Peter Zweifel, 2005. "Spatial Effects in Willingness-to-Pay: The Case of Two Nuclear Risks," Working Papers 0502, University of Zurich, Socioeconomic Institute, revised Sep 2007. [Downloadable!]
  27. Felix Schlaepfer, 2007. "Contingent valuation: a new perspective," Working Papers 0715, University of Zurich, Socioeconomic Institute. [Downloadable!]
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  28. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," Working Papers 0704, University of Zurich, Socioeconomic Institute. [Downloadable!]
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Dario Sacco & Armin Schmutzler, 2008. "Competition and Innovation: An Experimental Investigation," Working Papers 0807, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
  2. Sandra Hanslin, 2008. "The effect of trade openness on optimal government size under endogenous firm entry," Working Papers 0802, University of Zurich, Socioeconomic Institute. [Downloadable!]
  3. Josef Falkinger, 2008. "Between Agora and Shopping Mall," Working Papers 0805, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
  4. Adrian Bruhin, 2008. "Stochastic Expected Utility and Prospect Theory in a Horse Race: A Finite Mixture Approach," Working Papers 0803, University of Zurich, Socioeconomic Institute. [Downloadable!]
  5. Dario Sacco & Armin Schmutzler, 2008. "All-Pay Auctions with Negative Prize Externalities: Theory and Experimental Evidence," Working Papers 0806, University of Zurich, Socioeconomic Institute. [Downloadable!]
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