sur_sample: Sample from seemingly unrelated regression

In surbayes: Bayesian Analysis of Seemingly Unrelated Regression Models

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 data.frame containing all the variables contained in formula.list]
M	Number of samples to be drawn
histdata	A data.frame of historical data to apply power prior on
Sigma0	optional a J \times J matrix giving the initial covariance matrix. Default is the MLE. Ignored if histdata is null
a0	A scalar between 0 and 1 giving the power prior parameter. Ignored if histdata is null
burnin	A non-negative integer giving the burn-in parameter. Ignored if histdata is null as direct Monte Carlo is performed
thin	A positive integer giving the thin parameter. Ignored if histdata is null as direct Monte Carlo is performed

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

surbayes documentation built on Aug. 26, 2020, 5:16 p.m.