RDP 9611: A Markov-Switching Model of Inflation in Australia
Equation (A.2)
f
(
y
t
|
S
t
=
s
t
,
…
,
y
t
−
1
,
…
)
=
[
1
2
π
σ
exp
[
−
1
2
σ
2
(
y
t
−
α
0
y
t
−
1
)
]
1
2
π
σ
exp
[
−
1
2
σ
2
(
y
t
−
α
1
y
t
−
1
)
]
]
.
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