runireg {bayesm}R Documentation

IID Sampler for Univariate Regression

Description

runireg implements an iid sampler to draw from the posterior of a univariate regression with a conjugate prior.

Usage

runireg(Data, Prior, Mcmc)

Arguments

Data list(y,X)
Prior list(betabar,A, nu, ssq)
Mcmc list(R,keep)

Details

Model: y = Xbeta + e. e ~ N(0,sigmasq).

Priors: beta ~ N(betabar,sigmasq*A^{-1}). sigmasq ~ (nu*ssq)/chisq_{nu}. List arguments contain

Value

list of iid draws

betadraw R x k array of betadraws
sigmasqdraw R vector of sigma-sq draws

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

References

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch, Chapter 2.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html

See Also

runiregGibbs

Examples

if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=2000} else {R=10}
set.seed(66)
n=200
X=cbind(rep(1,n),runif(n)); beta=c(1,2); sigsq=.25
y=X%*%beta+rnorm(n,sd=sqrt(sigsq))

out=runireg(Data=list(y=y,X=X),Mcmc=list(R=R))

cat("Summary of beta/sigma-sq draws",fill=TRUE)
summary(out$betadraw,tvalues=beta)
summary(out$sigmasqdraw,tvalues=sigsq)

if(0){
## plotting examples
plot(out$betadraw)
}


[Package bayesm version 2.2-2 Index]