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A Bayesian Change Point Model for Historical Time Series Analysis

Published online by Cambridge University Press:  04 January 2017

Bruce Western
Affiliation:
Department of Sociology, Princeton University, Princeton, NJ 08544. e-mail: western@opr.princeton.edu
Meredith Kleykamp
Affiliation:
Department of Sociology, Princeton University, Princeton, NJ 08544. e-mail: western@opr.princeton.edu

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.

Type
Research Article
Copyright
Copyright © Society for Political Methodology 2004 

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