breg {unknown}R Documentation

Posterior Draws from a Univariate Regression with Unit Error Variance

Description

breg makes one draw from the posterior of a univariate regression (scalar dependent variable) given the error variance = 1.0. A natural conjugate, normal prior is used.

Usage

breg(y, X, betabar, A)

Arguments

y vector of values of dep variable.
X n (length(y)) x k Design matrix.
betabar k x 1 vector. Prior mean of regression coefficients.
A Prior precision matrix.

Details

model: y=x'β + e. e ~ N(0,1).

prior: β ~ N(betabar,A^{-1}).

Value

k x 1 vector containing a draw from the posterior distribution.

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

Examples

## simulate data
set.seed(66)
n=100
X=cbind(rep(1,n),runif(n)); beta=c(1,2)
y=X%*%beta+rnorm(n)
##
## set prior
A=diag(c(.05,.05)); betabar=c(0,0)
##
## make draws from posterior
R=1000
betadraw=matrix(double(R*2),ncol=2)
for (rep in 1:R) {betadraw[rep,]=breg(y,X,betabar,A)}
##
## summarize draws
mat=apply(betadraw,2,quantile,probs=c(.01,.05,.5,.95,.99))
mat=rbind(beta,mat); rownames(mat)[1]="beta"; print(mat)

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