sur_sample {surbayes} | R Documentation |
Sample from seemingly unrelated regression
Description
This function is a wrapper function that performs either (1) Direct Monte Carlo or (2) Gibbs sampling of the SUR model depending on whether 1 or 2 data sets are specified.
Usage
sur_sample(
formula.list,
data,
M,
histdata = NULL,
Sigma0 = NULL,
a0 = 1,
burnin = 0,
thin = 1
)
Arguments
formula.list |
A list of formulas, each element giving the formula for the corresponding endpoint. |
data |
A |
M |
Number of samples to be drawn |
histdata |
A |
Sigma0 |
optional a |
a0 |
A scalar between 0 and 1 giving the power prior parameter. Ignored if |
burnin |
A non-negative integer giving the burn-in parameter. Ignored if |
thin |
A positive integer giving the thin parameter. Ignored if |
Value
A list. First element is posterior draws. Second element is list of JxJ covariance matrices.
Examples
## Taken from bayesm package
if(nchar(Sys.getenv("LONG_TEST")) != 0) {M=1000} else {M=10}
set.seed(66)
## simulate data from SUR
beta1 = c(1,2)
beta2 = c(1,-1,-2)
nobs = 100
nreg = 2
iota = c(rep(1, nobs))
X1 = cbind(iota, runif(nobs))
X2 = cbind(iota, runif(nobs), runif(nobs))
Sigma = matrix(c(0.5, 0.2, 0.2, 0.5), ncol = 2)
U = chol(Sigma)
E = matrix( rnorm( 2 * nobs ), ncol = 2) %*% U
y1 = X1 %*% beta1 + E[,1]
y2 = X2 %*% beta2 + E[,2]
X1 = X1[, -1]
X2 = X2[, -1]
data = data.frame(y1, y2, X1, X2)
names(data) = c( paste0( 'y', 1:2 ), paste0('x', 1:(ncol(data) - 2) ))
## run DMC sampler
formula.list = list(y1 ~ x1, y2 ~ x2 + x3)
## Fit models
out_dmc = sur_sample( formula.list, data, M = M ) ## DMC used
out_powerprior = sur_sample( formula.list, data, M, data ) ## Gibbs used