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Political Analysis 2004 12(4):354-374; doi:10.1093/pan/mph023
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Political Analysis, Vol. 12 No. 4, © Society for Political Methodology 2004; all rights reserved.

A Bayesian Change Point Model for Historical Time Series Analysis

Bruce Western and Meredith Kleykamp

Department of Sociology, Princeton University, Princeton, NJ 08544
e-mail: western{at}opr.princeton.edu

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.


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