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

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  • Dennis Gaertner

    () (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.

Suggested Citation

  • Dennis Gaertner, 2007. "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," SOI - Working Papers 0719, Socioeconomic Institute - University of Zurich.
  • Handle: RePEc:soz:wpaper:0719
    as

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    File URL: http://www.econ.uzh.ch/static/wp_soi/wp0719.pdf
    File Function: First version, 2007
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Ilja Neustadt & Peter Zweifel, 2009. "Economic Well-Being, Social Mobility, and Preferences for Income Redistribution: Evidence from a Discrete Choice Experiment," SOI - Working Papers 0909, Socioeconomic Institute - University of Zurich, revised Jan 2010.
    2. Donja Darai & Dario Sacco & Armin Schmutzler, 2010. "Competition and innovation: an experimental investigation," Experimental Economics, Springer;Economic Science Association, vol. 13(4), pages 439-460, December.
    3. Falkinger, Josef, 2008. "Between Agora and Shopping Mall," IZA Discussion Papers 3524, Institute for the Study of Labor (IZA).
    4. Dario Sacco & Armin Schmutzler, 2008. "All-Pay Auctions with Negative Prize Externalities: Theory and Experimental Evidence," SOI - Working Papers 0806, Socioeconomic Institute - University of Zurich.
    5. Adrian Bruhin, 2008. "Stochastic Expected Utility and Prospect Theory in a Horse Race: A Finite Mixture Approach," SOI - Working Papers 0803, Socioeconomic Institute - University of Zurich.
    6. Sandra Hanslin, 2008. "The effect of trade openness on optimal government size under endogenous firm entry," SOI - Working Papers 0802, Socioeconomic Institute - University of Zurich.
    7. Maurus Rischatsch, 2009. "Simulating WTP Values from Random-Coefficient Models," SOI - Working Papers 0912, Socioeconomic Institute - University of Zurich.
    8. Maurus Rischatsch & Maria Trottmann, 2009. "Physician dispensing and the choice between generic and brand-name drugs – Do margins affect choice?," SOI - Working Papers 0911, Socioeconomic Institute - University of Zurich.

    More about this item

    Keywords

    Bayesian analysis; switching regression; regime changes; nonlinear filtering;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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