rmultiregfp              package:bayesm              R Documentation

_D_r_a_w _f_r_o_m _t_h_e _P_o_s_t_e_r_i_o_r _o_f _a _M_u_l_t_i_v_a_r_i_a_t_e _R_e_g_r_e_s_s_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     ' rmultiregfp' draws from the posterior of a Multivariate
     Regression model with a natural conjugate prior.

_U_s_a_g_e:

     rmultiregfp(Y, X, Fparm)

_A_r_g_u_m_e_n_t_s:

       Y: n x m matrix of observations on m dep vars 

       X: n x k matrix of observations on indep vars (supply intercept) 

   Fparm: a list of prior parameters prepared by 'init.rmultiregfp'

_D_e_t_a_i_l_s:

     Model: Y=XB+U.  cov(u_i) = Sigma.  B is k x m matrix of
     coefficients.  Sigma is an m x m covariance matrix.

     Priors:  beta given Sigma ~ N(betabar,Sigma (x) A^{-1}). 
     betabar=vec(Bbar);  beta = vec(B). 
      Sigma ~ IW(nu,V). 

     prepare Fparm by call 'init.rmultiregfp'

_V_a_l_u_e:

     A list of the components of a draw from the posterior 

      B : draw of regression coefficient matrix 

  Sigma : draw of Sigma 

_W_a_r_n_i_n_g:

     This routine is a utility routine that does *not* check the input
     arguments for proper dimensions and type.

_A_u_t_h_o_r(_s):

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

_R_e_f_e_r_e_n_c_e_s:

     For further discussion, see _Bayesian Statistics and Marketing_ by
     Rossi, Allenby and McCulloch. 
      <URL:
     http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html>

_S_e_e _A_l_s_o:

     'rmultireg','init.rmultiregfp'

