rmnlIndepMetrop(bayesm)R Documentation

MCMC Algorithm for Multinomial Logit Model

Description

rmnIndepMetrop implements Independence Metropolis for the MNL.

Usage

rmnlIndepMetrop(Data, Prior, Mcmc)

Arguments

Data list(m,X,y)
Prior list(A,betabar) optional
Mcmc list(R,keep,nu)

Details

Model: Pr(y=j) = exp(x_j'beta)/sum(exp(x_k'beta).
Prior: beta ~ N(betabar,A^-1)|cr

Value

a list containing:

betadraw R/keep x nvar array of beta draws
acceptr acceptance rate of Metropolis draws

See Also

rhierMnlRwMixture

Examples

##
if(nchar(Sys.getenv("LONG_TEST")) != 0) # set env var LONG_TEST to run
{

set.seed(66)
n=200; m=3; beta=c(1,-1,1.5,.5)
simout=simmnl(m,n,beta)
A=diag(c(rep(.01,length(beta)))); betabar=rep(0,length(beta))

R=2000
Data=list(y=simout$y,X=simout$X,m=m); Mcmc=list(R=R,keep=1) ; Prior=list(A=A,betabar=betabar)
out=rmnlIndepMetrop(Data=Data,Prior=Prior,Mcmc=Mcmc)
cat(" Betadraws ",fill=TRUE)
mat=apply(out$betadraw,2,quantile,probs=c(.01,.05,.5,.95,.99))
mat=rbind(beta,mat); rownames(mat)[1]="beta"; print(mat)
}


[Package bayesm version 0.0 Index]