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A Bayesian Change Point Model for Historical Time Series Analysis

Published online by Cambridge University Press:  04 January 2017

Bruce Western  and
Meredith Kleykamp
Bruce Western
Affiliation:
Department of Sociology, Princeton University, Princeton, NJ 08544. e-mail: [email protected]
Meredith Kleykamp
Affiliation:
Department of Sociology, Princeton University, Princeton, NJ 08544. e-mail: [email protected]
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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 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.

Type
Research Article
Information
Political Analysis , Volume 12 , Issue 4: Special Issue on Bayesian Methods , Autumn 2004 , pp. 354 - 374
Copyright
Copyright © Society for Political Methodology 2004 

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