JSM 2004 Online Program

Abstract #301443

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Activity Number:	192
Type:	Contributed
Date/Time:	Tuesday, August 10, 2004 : 8:30 AM to 10:20 AM
Sponsor:	Section on Statistics and Marketing
Abstract - #301443
Title:	A Bayesian Switching Regression Model Where Independent Variables in Different Regimes Can Be Different
Author(s):	Duncan K.H. Fong*+
Companies:	Pennsylvania State University
Address:	Dept. of Marketing, University Park, PA, 16802,
Keywords:	hierarchial Bayes ; multiple changepoints ; variable selection ; switching regressions
Abstract:	Determination of changepoints in a regression setting has drawn considerable interest in the literature. A common assumption in existing work is that the same set of independent variables is used for all regimes. We propose a Bayesian approach to the problem but allowing different independent variables in different regimes. Thus, we can perform variable selection and changepoint determination simultaneously. A dataset on prescription sales for an ethical drug is used to illustrate the methodology.

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