This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation:...

We examine Markov-switching autoregressive models where the commonly used Gaussian assumption for disturbances is replaced with a skew-normal distribution. This allows us to detect regime changes not only in the mean and the variance of a specified time series, but also in its skewness. A...

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation:...