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- W2134922408 abstract "In this paper, I introduce changepoint models for binary and ordered time series data based on Chib's hidden Markov model. The extension of the changepoint model to a binary probit model is straightforward in a Bayesian setting. However, detecting parameter breaks from ordered regression models is difficult because ordered time series data often have clustering along the break points. To address this issue, I propose an estimation method that uses the linear regression likelihood function for the sampling of hidden states of the ordinal probit changepoint model. The marginal likelihood method is used to detect the number of hidden regimes. I evaluate the performance of the introduced methods using simulated data and apply the ordinal probit changepoint model to the study of Eichengreen, Watson, and Grossman on violations of the “rules of the game” of the gold standard by the Bank of England during the interwar period." @default.
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- W2134922408 date "2011-01-01" @default.
- W2134922408 modified "2023-10-16" @default.
- W2134922408 title "Changepoint Analysis of Binary and Ordinal Probit Models: An Application to Bank Rate Policy Under the Interwar Gold Standard" @default.
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- W2134922408 doi "https://doi.org/10.1093/pan/mpr007" @default.
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