Koop, G.M. and Potter, S. (2009) Prior elicitation in multiple change-point models. International Economic Review, 50 (3). pp. 751-772. ISSN 0020-6598
Full text not available in this repository. (Request a copy from the Strathclyde author)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.
| Item type: | Article |
|---|---|
| ID code: | 15658 |
| Notes: | Also available as a working paper (2004): http://personal.strath.ac.uk/gary.koop/kp12rev.pdf |
| Keywords: | change-point models, Bayesian inference, Uniform prior, Economic Theory |
| Subjects: | Social Sciences > Economic Theory |
| Department: | Strathclyde Business School > Economics |
| Related URLs: | |
| Depositing user: | Mrs Kirsty Fontanella |
| Date Deposited: | 19 Feb 2010 20:00 |
| Last modified: | 12 Mar 2012 11:02 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/15658 |
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