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

  • Dennis Gaertner

    ()

    (Socioeconomic Institute, University of Zurich)

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
File Function: First version, 2007
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Paper provided by Socioeconomic Institute - University of Zurich in its series SOI - 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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  1. Helga Fehr-Duda & Adrian Bruhin & Thomas Epper & Renate Schubert, 2007. "Rationality on the Rise: Why Relative Risk Aversion Increases with Stake Size," SOI - Working Papers 0708, Socioeconomic Institute - University of Zurich, revised Feb 2008.
  2. Stefan Buehler & Christian Kaiser & Franz Jaeger, 2007. "On the Geographic and Cultural Determinants of Bankruptcy," SOI - Working Papers 0701, Socioeconomic Institute - University of Zurich, revised Jun 2007.
  3. Johannes Schwarze & Rainer Winkelmann, 2005. "What can happiness research tell us about altruism? Evidence from the German Socio-Economic Panel," SOI - Working Papers 0503, Socioeconomic Institute - University of Zurich, revised Sep 2005.
  4. Rafael Lalive & Armin Schmutzler, 2005. "Exploring the Effects of Competition for Railway Markets," SOI - Working Papers 0511, Socioeconomic Institute - University of Zurich, revised Apr 2007.
  5. Hans Gersbach & Armin Schmutzler, 2007. "Does Globalization Create Superstars?," SOI - Working Papers 0706, Socioeconomic Institute - University of Zurich.
  6. Adrian Bruhin & Helga Fehr-Duda & Thomas Epper, 2010. "Risk and Rationality: Uncovering Heterogeneity in Probability Distortion," Econometrica, Econometric Society, vol. 78(4), pages 1375-1412, 07.
  7. Stefan Boes & Rainer Winkelmann, 2006. "The Effect of Income on Positive and Negative Subjective Well-Being," SOI - Working Papers 0605, Socioeconomic Institute - University of Zurich.
  8. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
  9. Halbheer, Daniel & Fehr, Ernst & Goette, Lorenz & Schmutzler, Armin, 2009. "Self-reinforcing market dominance," Games and Economic Behavior, Elsevier, vol. 67(2), pages 481-502, November.
  10. Dario Sacco & Armin Schmutzler, 2008. "Competition and Innovation: An Experimental Investigation," SOI - Working Papers 0807, Socioeconomic Institute - University of Zurich.
  11. Helga Fehr & Thomas Epper & Adrian Bruhin & Renate Schubert, 2007. "Risk and Rationality: The Effect of Incidental Mood on Probability Weighting," SOI - Working Papers 0703, Socioeconomic Institute - University of Zurich.
  12. Hans Gersbach & Armin Schmutzler, 2011. "Foreign direct investment and R&D-offshoring," Oxford Economic Papers, Oxford University Press, vol. 63(1), pages 134-157, January.
  13. Stefan Boes & Kevin Staub & Rainer Winkelmann, 2007. "Hedonic Adaptation to Living Standards and the Hidden Cost of Parental Income," SOI - Working Papers 0713, Socioeconomic Institute - University of Zurich.
  14. Stefan Buehler & Armin Schmutzler, 2005. "On The Role of Access Charges Under Network Competition," SOI - Working Papers 0501, Socioeconomic Institute - University of Zurich.
  15. 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.
  16. Gärtner, Dennis & Schmutzler, Armin, 2006. "Merger Negotiations and Ex-Post Regret," CEPR Discussion Papers 5911, C.E.P.R. Discussion Papers.
  17. Dennis Gaertner, 2007. "Monopolistic Screening under Learning By Doing," SOI - Working Papers 0718, Socioeconomic Institute - University of Zurich.
  18. Fabian Waltert & Felix Schlaepfer, 2007. "The role of landscape amenities in regional development: a survey of migration, regional economic and hedonic pricing studies," SOI - Working Papers 0710, Socioeconomic Institute - University of Zurich.
  19. Adrian Bruhin & Rainer Winkelmann, 2009. "Happiness functions with preference interdependence and heterogeneity: the case of altruism within the family," Journal of Population Economics, Springer, vol. 22(4), pages 1063-1080, October.
  20. Armin Schmutzler, 2007. "The relation between competition and innovation – Why is it such a mess?," SOI - Working Papers 0716, Socioeconomic Institute - University of Zurich, revised Jan 2010.
  21. Philippe Mahler & Rainer Winkelmann, 2005. "Single Motherhood and (Un)Equal EducationalOpportunities: Evidence for Germany," SOI - Working Papers 0512, Socioeconomic Institute - University of Zurich.
  22. Felix Schlaepfer, 2007. "Contingent valuation: a new perspective," SOI - Working Papers 0715, Socioeconomic Institute - University of Zurich.
  23. Hans Gersbach & Armin Schmutzler, 2006. "A Product-Market Theory of Industry-Specific Training," SOI - Working Papers 0610, Socioeconomic Institute - University of Zurich.
  24. Lalive Rafael & Schmutzler Armin, 2008. "Entry in Liberalized Railway Markets: The German Experience," Review of Network Economics, De Gruyter, vol. 7(1), pages 1-16, March.
  25. Stefan Boes & Markus Lipp & Rainer Winkelmann, 2005. "Money Illusion Under Test," SOI - Working Papers 0514, Socioeconomic Institute - University of Zurich.
  26. Yves Schneider & Peter Zweifel, 2005. "Spatial Effects in Willingness-to-Pay: The Case of Two Nuclear Risks," SOI - Working Papers 0502, Socioeconomic Institute - University of Zurich, revised Sep 2007.
  27. Felix Schlaepfer, 2007. "An analysis of the Swiss vote on the use of genetically modified crops," SOI - Working Papers 0717, Socioeconomic Institute - University of Zurich.
  28. Stefan Boes, 2007. "Nonparametric Analysis of Treatment Effects in Ordered Response Models," SOI - Working Papers 0709, Socioeconomic Institute - University of Zurich.
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