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Prior elicitation in multiple change-point models

Koop, Gary and Potter, Simon M. (2004) Prior elicitation in multiple change-point models. Working paper. University of Leicester.

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Abstract

This paper discusses Bayesian inference in change-point models. Existing approaches involve placing a (possibly hierarchical) prior over a known number of change-points. We show how two popular priors have some potentially undesirable properties (e.g. allocating excessive prior weight to change-points near the end of the sample) and discuss how these properties relate to imposing a fixed number of changepoints in-sample. We develop a new hierarchical approach which allows some of of change-points to occur out-of sample. We show that this prior has desirable properties and handles the case where the number of change-points is unknown. Our hierarchical approach can be shown to nest a wide variety of change-point models, from timevarying parameter models to those with few (or no) breaks. Since our prior is hierarchical, data-based learning about the parameter which controls this variety occurs.

Item type: Monograph (Working paper)
ID code: 7741
Notes: Also published in: International Economic Review (2009), 50 (3), pp 751-772 http://strathprints.strath.ac.uk/15658/ (This is a variant record)
Keywords: bayesian inference, change-point models, change-points, statistics, economics, Economic Theory, Statistics
Subjects: Social Sciences > Economic Theory
Social Sciences > Statistics
Department: Strathclyde Business School > Economics
Depositing user: Strathprints Administrator
Date Deposited: 19 Mar 2009 16:02
Last modified: 15 Apr 2015 15:47
Related URLs:
URI: http://strathprints.strath.ac.uk/id/eprint/7741

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