A Bayesian Change Point Model for Historical Time Series Analysis

Bruce Western and Meredith Kleykamp

Political Analysis, 2004, vol. 12, issue 4, 354-374

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 uncertainty 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.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:cup:polals:v:12:y:2004:i:04:p:354-374_00

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