Datta Abhirup, Zou Hui, Banerjee Sudipto
Department of Biostatistics, Johns Hopkins University,
Department of Statistics, University of Minnesota,
Stat Interface. 2019;12(2):253-264. doi: 10.4310/SII.2019.v12.n2.a6. Epub 2019 Mar 11.
In many econometrics applications, the dataset under investigation spans heterogeneous regimes that are more appropriately modeled using piece-wise components for each of the data segments separated by change-points. We consider using Bayesian high-dimensional shrinkage priors in a change point setting to understand segment-specific relationship between the response and the covariates. Covariate selection before and after each change point can identify possibly different sets of relevant covariates, while the fully Bayesian approach ensures posterior inference for the change points is also available. We demonstrate the flexibility of the approach for imposing different variable selection constraints like grouping or partial selection and discuss strategies to detect an unknown number of change points. Simulation experiments reveal that this simple approach delivers accurate variable selection, and inference on location of the change points, and substantially outperforms a frequentist lasso-based approach, uniformly across a wide range of scenarios. Application of our model to Minnesota house price dataset reveals change in the relationship between house and stock prices around the sub-prime mortgage crisis.
在许多计量经济学应用中,所研究的数据集跨越了异质状态,对于由变化点分隔的每个数据段,使用分段组件进行建模更为合适。我们考虑在变化点设置中使用贝叶斯高维收缩先验,以了解响应变量与协变量之间的特定段关系。每个变化点前后的协变量选择可以识别可能不同的相关协变量集,而全贝叶斯方法确保也可对变化点进行后验推断。我们展示了该方法在施加不同变量选择约束(如分组或部分选择)方面的灵活性,并讨论了检测未知数量变化点的策略。模拟实验表明,这种简单方法能够实现准确的变量选择以及对变化点位置的推断,并且在广泛的场景中均显著优于基于频率论lasso的方法。将我们的模型应用于明尼苏达州房价数据集,揭示了次贷危机前后房屋价格与股票价格之间关系的变化。