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Prior elicitation in multiple change-point models

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

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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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