MARC Record from Library of Congress

LEADER: 02016cam a22003017a 4500
001 2005615320
003 DLC
005 20050111134513.0
007 cr |||||||||||
008 050110s2004 nyu sb f000 0 eng
010 $a 2005615320
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aKoop, Gary.
245 10 $aPrior elicitation in multiple change-point models$h[electronic resource] /$cGary M. Koop and Simon M. Potter.
260 $a[New York, N.Y.] :$bFederal Reserve Bank of New York,$c[2004]
490 1 $aStaff reports ;$vno. 197
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from summary page as viewed on 1/10/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper discusses Bayesian inference in change-point models. Current approaches place a possibly hierarchical prior over a known number of change points. We show how two popular priors have some potentially undesirable properties, such as allocating excessive prior weight to change points near the end of the sample. We discuss how these properties relate to imposing a fixed number of change points in the sample. In our study, we develop a hierarchical approach that allows some change points to occur out of the sample. We show that this prior has desirable properties and handles cases with unknown change points. Our hierarchical approach can be shown to nest a wide variety of change-point models, from time-varying parameter models to those with few or no breaks. Data-based learning about the parameter that controls this variety occurs because our prior is hierarchical"--Federal Reserve Bank of New York web site.
650 0 $aEconometric models.
700 1 $aPotter, Simon M.
710 2 $aFederal Reserve Bank of New York.
830 0 $aStaff reports (Federal Reserve Bank of New York : Online) ;$vno. 197
856 40 $uhttp://www.ny.frb.org/research/staff_reports/sr197.html