rhierMnlRwMixture {bayesm}  R Documentation 
rhierMnlRwMixture
is a MCMC algorithm for a hierarchical multinomial logit with a mixture of normals heterogeneity distribution. This is a hybrid Gibbs Sampler with a RW Metropolis step for the MNL coefficients for each panel unit.
rhierMnlRwMixture(Data, Prior, Mcmc)
Data 
list(lgtdata, Z, p) 
Prior 
list(a, deltabar, Ad, mubar, Amu, nu, V, a, ncomp, SignRes) 
Mcmc 
list(R, keep, nprint, s, w) 
y_i
\sim
MNL(X_i,\beta_i)
with i = 1, \ldots,
length(lgtdata)
and where \beta_i
is nvar x 1
\beta_i
= Z\Delta
[i,] + u_i
Note: Z\Delta
is the matrix Z * \Delta
and [i,] refers to i
th row of this product
Delta is an nz x nvar
array
u_i
\sim
N(\mu_{ind},\Sigma_{ind})
with ind
\sim
multinomial(pvec)
pvec
\sim
dirichlet(a)
delta = vec(\Delta)
\sim
N(deltabar, A_d^{1})
\mu_j
\sim
N(mubar, \Sigma_j (x) Amu^{1})
\Sigma_j
\sim
IW(nu, V)
Note: Z
should NOT include an intercept and is centered for ease of interpretation.
The mean of each of the nlgt
\beta
s is the mean of the normal mixture.
Use summary()
to compute this mean from the compdraw
output.
Be careful in assessing prior parameter Amu
: 0.01 is too small for many applications.
See chapter 5 of Rossi et al for full discussion.
Data = list(lgtdata, Z, p)
[Z
optional]
lgtdata:  list of nlgt=length(lgtdata) lists with each crosssection unit MNL data 
lgtdata[[i]]$y:  n_i x 1 vector of multinomial outcomes (1, ..., p) 
lgtdata[[i]]$X:  n_i*p x nvar design matrix for i th unit 
Z:  nreg x nz matrix of unit chars (def: vector of ones) 
p:  number of choice alternatives 
Prior = list(a, deltabar, Ad, mubar, Amu, nu, V, a, ncomp, SignRes)
[all but ncomp
are optional]
a:  ncomp x 1 vector of Dirichlet prior parameters (def: rep(5,ncomp) ) 
deltabar:  nz*nvar x 1 vector of prior means (def: 0) 
Ad:  prior precision matrix for vec(D) (def: 0.01*I) 
mubar:  nvar x 1 prior mean vector for normal component mean (def: 0 if unrestricted; 2 if restricted) 
Amu:  prior precision for normal component mean (def: 0.01 if unrestricted; 0.1 if restricted) 
nu:  d.f. parameter for IW prior on normal component Sigma (def: nvar+3 if unrestricted; nvar+15 if restricted) 
V:  PDS location parameter for IW prior on normal component Sigma (def: nu*I if unrestricted; nu*D if restricted with d_pp = 4 if unrestricted and d_pp = 0.01 if restricted) 
ncomp:  number of components used in normal mixture 
SignRes:  nvar x 1 vector of sign restrictions on the coefficient estimates (def: rep(0,nvar) )

Mcmc = list(R, keep, nprint, s, w)
[only R
required]
R:  number of MCMC draws 
keep:  MCMC thinning parameter  keep every keep th draw (def: 1) 
nprint:  print the estimated time remaining for every nprint 'th draw (def: 100, set to 0 for no print) 
s:  scaling parameter for RW Metropolis (def: 2.93/sqrt(nvar) ) 
w:  fractional likelihood weighting parameter (def: 0.1) 
If \beta_ik
has a sign restriction: \beta_ik = SignRes[k] * exp(\beta*_ik)
To use sign restrictions on the coefficients, SignRes
must be an nvar x 1
vector containing values of either 0, 1, or 1. The value 0 means there is no sign restriction, 1 ensures that the coefficient is negative, and 1 ensures that the coefficient is positive. For example, if SignRes = c(0,1,1)
, the first coefficient is unconstrained, the second will be positive, and the third will be negative.
The sign restriction is implemented such that if the the k
'th \beta
has a nonzero sign restriction (i.e., it is constrained), we have \beta_k = SignRes[k] * exp(\beta*_k)
.
The sign restrictions (if used) will be reflected in the betadraw
output. However, the unconstrained mixture components are available in nmix
. Important: Note that draws from nmix
are distributed according to the mixture of normals but not the coefficients in betadraw
.
Care should be taken when selecting priors on any sign restricted coefficients. See related vignette for additional information.
nmix
Detailsnmix
is a list with 3 components. Several functions in the bayesm
package that involve a Dirichlet Process or mixtureofnormals return nmix
. Across these functions, a common structure is used for nmix
in order to utilize generic summary and plotting functions.
probdraw:  ncomp x R/keep matrix that reports the probability that each draw came from a particular component 
zdraw:  R/keep x nobs matrix that indicates which component each draw is assigned to (here, null) 
compdraw:  A list of R/keep lists of ncomp lists. Each of the innermost lists has 2 elemens: a vector of draws for mu and a matrix of draws for the Cholesky root of Sigma .

A list containing:
Deltadraw 

betadraw 

nmix 
a list containing: 
loglike 

SignRes 

Note: as of version 2.02 of bayesm
, the fractional weight parameter has been changed to a weight between 0 and 1.
w
is the fractional weight on the normalized pooled likelihood. This differs from what is in Rossi et al chapter 5, i.e.
like_i^{(1w)} x like_pooled^{((n_i/N)*w)}
Large R
values may be required (>20,000).
Peter Rossi, Anderson School, UCLA, perossichi@gmail.com.
For further discussion, see Chapter 5, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.
if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=10000} else {R=10}
set.seed(66)
p = 3 # num of choice alterns
ncoef = 3
nlgt = 300 # num of cross sectional units
nz = 2
Z = matrix(runif(nz*nlgt),ncol=nz)
Z = t(t(Z)  apply(Z,2,mean)) # demean Z
ncomp = 3 # num of mixture components
Delta = matrix(c(1,0,1,0,1,2),ncol=2)
comps=NULL
comps[[1]] = list(mu=c(0,1,2), rooti=diag(rep(1,3)))
comps[[2]] = list(mu=c(0,1,2)*2, rooti=diag(rep(1,3)))
comps[[3]] = list(mu=c(0,1,2)*4, rooti=diag(rep(1,3)))
pvec = c(0.4, 0.2, 0.4)
## simulate from MNL model conditional on X matrix
simmnlwX= function(n,X,beta) {
k = length(beta)
Xbeta = X%*%beta
j = nrow(Xbeta) / n
Xbeta = matrix(Xbeta, byrow=TRUE, ncol=j)
Prob = exp(Xbeta)
iota = c(rep(1,j))
denom = Prob%*%iota
Prob = Prob/as.vector(denom)
y = vector("double",n)
ind = 1:j
for (i in 1:n) {
yvec = rmultinom(1, 1, Prob[i,])
y[i] = ind%*%yvec
}
return(list(y=y, X=X, beta=beta, prob=Prob))
}
## simulate data
simlgtdata = NULL
ni = rep(50, 300)
for (i in 1:nlgt) {
betai = Delta%*%Z[i,] + as.vector(rmixture(1,pvec,comps)$x)
Xa = matrix(runif(ni[i]*p,min=1.5,max=0), ncol=p)
X = createX(p, na=1, nd=NULL, Xa=Xa, Xd=NULL, base=1)
outa = simmnlwX(ni[i], X, betai)
simlgtdata[[i]] = list(y=outa$y, X=X, beta=betai)
}
## plot betas
if(0){
bmat = matrix(0, nlgt, ncoef)
for(i in 1:nlgt) {bmat[i,] = simlgtdata[[i]]$beta}
par(mfrow = c(ncoef,1))
for(i in 1:ncoef) { hist(bmat[,i], breaks=30, col="magenta") }
}
## set parms for priors and Z
Prior1 = list(ncomp=5)
keep = 5
Mcmc1 = list(R=R, keep=keep)
Data1 = list(p=p, lgtdata=simlgtdata, Z=Z)
## fit model without sign constraints
out1 = rhierMnlRwMixture(Data=Data1, Prior=Prior1, Mcmc=Mcmc1)
cat("Summary of Delta draws", fill=TRUE)
summary(out1$Deltadraw, tvalues=as.vector(Delta))
cat("Summary of Normal Mixture Distribution", fill=TRUE)
summary(out1$nmix)
## plotting examples
if(0) {
plot(out1$betadraw)
plot(out1$nmix)
}
## fit model with constraint that beta_i2 < 0 forall i
Prior2 = list(ncomp=5, SignRes=c(0,1,0))
out2 = rhierMnlRwMixture(Data=Data1, Prior=Prior2, Mcmc=Mcmc1)
cat("Summary of Delta draws", fill=TRUE)
summary(out2$Deltadraw, tvalues=as.vector(Delta))
cat("Summary of Normal Mixture Distribution", fill=TRUE)
summary(out2$nmix)
## plotting examples
if(0) {
plot(out2$betadraw)
plot(out2$nmix)
}