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A Bayesian Analysis of Structural Changes with an Application to the Displacement Effect

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  • Hideo Kozumi
  • Hikaru Hasegawa

Abstract

In this paper we propose a new approach to the problem of structural change from a Bayesian point of view. Our approach is based on a hierarchical model with a Dirichlet process prior. A notable feature of the Dirichlet process is its discreteness which is useful for detecting structural changes. The approach developed in the paper is illustrated using simulated and real data sets. For the real data set, we examine possible structural changes in government expenditure in Japan using the annual data from 1957 to 1995. It is shown that two structural breaks occurred, before and after the first oil crisis.

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  • Hideo Kozumi & Hikaru Hasegawa, 2000. "A Bayesian Analysis of Structural Changes with an Application to the Displacement Effect," Manchester School, University of Manchester, vol. 68(4), pages 476-490, June.
    • Handle: RePEc:bla:manchs:v:68:y:2000:i:4:p:476-490
    DOI: 10.1111/1467-9957.00206
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    Cited by:

    1. Hasegawa, Hikaru & Kozumi, Hideo, 2003. "Estimation of Lorenz curves: a Bayesian nonparametric approach," Journal of Econometrics, Elsevier, vol. 115(2), pages 277-291, August.
    2. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 523-541.
    3. Nishi, Hayato & Asami, Yasushi & Shimizu, Chihiro, 2021. "The illusion of a hedonic price function: Nonparametric interpretable segmentation for hedonic inference," Journal of Housing Economics, Elsevier, vol. 52(C).
    4. Gebrenegus Ghilagaber, 2004. "Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models," Quality & Quantity: International Journal of Methodology, Springer, vol. 38(1), pages 81-93, February.
    5. Ko, Stanley I. M. & Chong, Terence T. L. & Ghosh, Pulak, 2014. "Dirichlet Process Hidden Markov Multiple Change-point Model," MPRA Paper 57871, University Library of Munich, Germany.
    6. Otieno, David Jakinda & Omiti, John M. & Nyanamba, Timothy O. & McCullough, Ellen B., 2009. "Application of Chow test to improve analysis of farmer participation in markets in Kenya," 2009 Conference, August 16-22, 2009, Beijing, China 50776, International Association of Agricultural Economists.

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