Prior elicitation in multiple change-point models

G.M. Koop, S. Potter

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)751-772
Number of pages21
JournalInternational Economic Review
Volume50
Issue number3
DOIs
Publication statusPublished - Aug 2009

Keywords

  • change-point models
  • Bayesian inference
  • Uniform prior

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