PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELSGary Koop () and Simon Potter () International Economic Review, 2009, vol. 50, issue 3, pages 751-772 Abstract: This article discusses Bayesian inference in change-point models. The main existing approaches treat all change-points equally, a priori, using either a Uniform prior or an informative hierarchical prior. Both approaches assume a known number of change-points. Some undesirable properties of these approaches are discussed. We develop a new Uniform prior that allows some of the change-points to occur out of sample. This prior has desirable properties, can be interpreted as "noninformative," and treats the number of change-points as unknown. Artificial and real data exercises show how these different priors can have a substantial impact on estimation and prediction. Copyright © (2009) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association. Date: 2009 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:ier:iecrev:v:50:y:2009:i:3:p:751-772 Ordering information: This journal article can be ordered from Access Statistics for this article International Economic Review is edited by Kenneth I. Wolpin More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association |
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