A Bayesian Change Point Model for Historical Time Series Analysis |
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Authors: | Western, Bruce Kleykamp, Meredith |
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Affiliation: | Department of Sociology, Princeton University, Princeton, NJ 08544 e-mail: western{at}opr.princeton.edu |
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Abstract: | Political relationships often vary over time, but standard modelsignore temporal variation in regression relationships. We describea Bayesian model that treats the change point in a time seriesas a parameter to be estimated. In this model, inference forthe regression coefficients reflects prior uncertainty aboutthe location of the change point. Inferences about regressioncoefficients, unconditional on the change-point location, canbe obtained by simulation methods. The model is illustratedin an analysis of real wage growth in 18 OECD countries from19651992. |
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