A Bayesian Change Point Model for Historical Time Series Analysis

In: Political analysis: PA ; the official journal of the Society for Political Methodology and the Political Methodology Section of the American Political Science Association, Band 12, Heft 4, S. 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.