rmultiregfp {bayesm}R Documentation

Draw from the Posterior of a Multivariate Regression

Description

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

Usage

rmultiregfp(Y, X, Fparm)

Arguments

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

Details

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

Value

A list of the components of a draw from the posterior

B draw of regression coefficient matrix
Sigma draw of Sigma

Warning

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

Author(s)

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

References

For further discussion, see Bayesian Statistics and Marketing by Allenby, McCulloch, and Rossi.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

See Also

rmultireg,init.rmultiregfp


[Package bayesm version 1.1-1 Index]