A Bayesian Change Point Model for Historical Time Series Analysis (2004)
by
Bruce Western
,
Meredith Kleykamp
| Venue: | POLITICAL ANALYSIS |
| Citations: | 1 - 0 self |
BibTeX
@MISC{Western04abayesian,
author = {Bruce Western and Meredith Kleykamp},
title = {A Bayesian Change Point Model for Historical Time Series Analysis},
year = {2004}
}
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Abstract
Political relationships often vary over time but standard models ignore temporal variation in regression relationships. We describe a Bayesian model that treats the change-point in a time series as a parameter to be estimated. In this model, inference for the regression coefficients reflects prior uncer-tainty about the location of the change point. Inferences about regression coefficients, unconditional on the change point location, can be obtained by simulation methods. The model is illustrated in an analysis of real wage growth in 18 OECD countries from 1965–1992.
