Discrete-space Markov models are a convenient way of describing the kinetics of biomolecules. The most common strategies used to validate these models employ statistics from simulation data, such as the eigenvalue spectrum of the inferred rate matrix, which are often associated with large uncertainties. Here, we propose a Bayesian approach, which makes it possible to differentiate between models at a fixed lag time making use of short trajectories. The hierarchical definition of the models allows one to compare instances with any number of states. We apply a conjugate prior for reversible Markov chains, which was recently introduced in the statistics literature. The method is tested in two different systems, a Monte Carlo dynamics simulation of a two-dimensional model system and molecular dynamics simulations of the terminally blocked alanine dipeptide.