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. © Society for Political Methodology 2004; all rights reserved.
CITATION STYLE
Western, B., & Kleykamp, M. (2004). A Bayesian change point model for historical time series analysis. Political Analysis, 12(4), 354–374. https://doi.org/10.1093/pan/mph023
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