| runireg {bayesm} | R Documentation |
runireg implements an iid sampler to draw from the posterior of a univariate regression with a conjugate prior.
runireg(Data, Prior, Mcmc)
Data |
list(y,X) |
Prior |
list(betabar,A, nu, ssq) |
Mcmc |
list(R,keep) |
Model: y = Xbeta + e. e ~ N(0,sigmasq).
Priors: beta ~ N(betabar,sigmasq*A^{-1}). sigmasq ~ (nu*ssq)/chisq_{nu}. List arguments contain
XybetabarAnussqRkeeplist of iid draws
betadraw |
R x k array of betadraws |
sigmasqdraw |
R vector of sigma-sq draws |
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 2.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html
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)
}