Type: Package
Title: Bayesian Analysis of Seemingly Unrelated Regression Models
Version: 0.1.2
Date: 2020-08-24
Author: Ethan Alt
Maintainer: Ethan Alt <ethanalt@live.unc.edu>
Description: Implementation of the direct Monte Carlo approach of Zellner and Ando (2010) <doi:10.1016/j.jeconom.2010.04.005> to sample from posterior of Seemingly Unrelated Regression (SUR) models. In addition, a Gibbs sampler is implemented that allows the user to analyze SUR models using the power prior.
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Imports: Rcpp (≥ 1.0.4.6), Matrix, rlist
LinkingTo: Rcpp, RcppArmadillo
Encoding: UTF-8
RoxygenNote: 7.1.0
Collate: 'RcppExports.R' 'predict.surbayes.R' 'sur_sample_powerprior.R' 'sur_sample_dmc.R' 'sur_sample.R' 'surbayes-package.R'
URL: https://github.com/ethan-alt/surbayes
BugReports: https://github.com/ethan-alt/surbayes/issues
NeedsCompilation: yes
Packaged: 2020-08-24 13:15:14 UTC; ethanalt
Repository: CRAN
Date/Publication: 2020-08-26 09:10:03 UTC

surbayes: Bayesian Analysis of Seemingly Unrelated Regression Models

Description

Implementation of the direct Monte Carlo approach of Zellner and Ando (2010) <doi:10.1016/j.jeconom.2010.04.005> to sample from posterior of Seemingly Unrelated Regression (SUR) models. In addition, a Gibbs sampler is implemented that allows the user to analyze SUR models using the power prior.

See Also

Useful links:

Fast kronecker product with response vector

Description

This is a c++ implementation of the fast kronecker product with response vector

Usage

fastKronEye_Y(Sigma, Y, n, J)

Arguments

Sigma

covariance matrix

Y

matrix of response variables (Y1, ..., YJ)

n

number of observations

J

number of endpoints

Value

Returns a vector with result of kron(Sigma, diag(n)) % y

Fast kronecker product of crossproduct matrix

Description

This is a c++ implementation of the fast kronecker product t(X)

Usage

fastKronEye_crossprod(XtX, Sigma, pvec, n, J)

Arguments

XtX

a matrix that is crossprod((X1, ..., XJ)) in R

Sigma

JxJ covariance matrix

pvec

J-dimensional vector giving number of observations for each endpoint

n

number of observations

J

number of endpoints

Value

matrix result of X' (\Sigma \otimes I_n) X

Get predictive posterior samples

Description

This function returns a list of new data sets by sampling from the posterior predictive density of Y | Y0, Xnew.

Usage

## S3 method for class 'surbayes'
predict(object, newdata, nsims = 1, ...)

Arguments

object

Result from calling sur_sample

newdata

data.frame of new data

nsims

number of posterior draws to take. The default and minimum is 1. The maximum is the number of simulations in surbayes

...

further arguments passed to or from other methods

Value

n x J x nsims array of predicted values

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 model
out = sur_sample( formula.list, data, M = M )

## Obtain predictions
pred = predict(out, data, nsims = 1)

Sample from predictive posterior density C++ helper

Description

C++ implementation to obtain a matrix of samples from predictive posterior density

Usage

predict_surbayes_cpp(Mu, Sigmalist, n, J, nsims)

Arguments

Mu

matrix of means

Sigmalist

list of covariance matrices

n

number of observations

J

number of endpoints

nsims

Number of simulations (number of rows in Mu)

Get one sample from predictive posterior of SUR

Description

C++ implementation to obtain one sample from predictive posterior density

Usage

predict_surbayes_helper(mu, Sigma, n, J)

Arguments

mu

vector of means

Sigma

covariance matrix shared among all observations

n

number of observations

J

number of endpoints

Sample Sigma via Gibbs for SUR model

Description

This is a c++ implementation of sampling Sigma via Gibbs in SUR model–inverse Wishart

Usage

sample_sigma(nu, V, p)

Arguments

nu

degrees of freedom

V

scale matrix

p

dimension of covariance matrix

Value

sampled covariance matrix

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 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

Helper function to sample covariance

Description

This function is called by sur_sample_cov_cpp. It samples the covariance matrix of a SUR

Usage

sur_sample_cov_helper_cpp(Y, Xlist, n, J, pj, sigma11, r1)

Arguments

Y

A matrix, each column a vector of responses

Xlist

A list, each element a design matrix

n

Integer giving number of observations

J

Integer giving number of endpoints

pj

A vector giving number of covariates per endpoint

sigma11

A scalar giving a draw for the (1,1) component of the covariance matrix

r1

A vector of residuals for the first endpoint's regression

Sample from SUR via Direct Monte Carlo (C++ version)

Description

C++ implementation of Zellner and Ando (2010) Direct Monte Carlo method for sampling from the posterior of a Bayesian SUR

Usage

sur_sample_cpp(Y, Xlist, y, X, XtX, pj, M)

Arguments

Y

matrix (y_1, \ldots y_J)

Xlist

A list, each element a design matrix

y

vector of responses

X

design matrix

XtX

matrix giving crossprod(cbind(X1, ..., XJ))

pj

vector giving number of covariates per endpoint

M

An integer giving the number of desired samples

Sample SUR model via direct Monte Carlo

Description

This function samples from the posterior of a SUR model using the DMC method of Ando and Zellner (2010)

Usage

sur_sample_dmc(formula.list, data, M = 1000)

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

Value

A list. First element is posterior draws. Second element is list of JxJ covariance matrices. Other elements are helpful statistics about the SUR model to pass to other functions.

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 using historical data as current data set--never done in practice
out = sur_sample_powerprior( formula.list, data, histdata = data, M = M )

Power Prior Gibbs sampling

Description

This is a c++ implementation of Gibbs sampling SUR model with power prior

Usage

sur_sample_gibbs_cpp(
  Sigma,
  M,
  X,
  X0,
  XtX,
  X0tX0,
  Y,
  Y0,
  y,
  y0,
  a0,
  pvec,
  burnin,
  thin
)

Arguments

Sigma

initial value for covariance matrix

M

number of samples

X

design matrix for current data

X0

design matrix for historical data

XtX

matrix that is crossprod(cbind(X1, ..., XJ))

X0tX0

matrix that is crossprod(cbind(X01, ..., X0J))

Y

future response as matrix (Y1, ..., YJ)

Y0

historical response as matrix (Y01, ..., Y0J)

y

future response as vector

y0

historical response as vector

a0

power prior parameter

pvec

vector giving number of covariates per endpoint

burnin

Burn-in parameter

thin

Thin parameter

Value

sampled covariance matrix

Sample from SUR posterior via power prior

Description

This function uses Gibbs sampling to sample from the posterior density of a SUR model using the power prior.

Usage

sur_sample_powerprior(
  formula.list,
  data,
  histdata,
  M,
  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]

histdata

A data.frame of historical data to apply power prior on

M

Number of samples to be drawn

Sigma0

A J \times J matrix giving the initial covariance matrix. Default is the MLE.

a0

A scalar between 0 and 1 giving the power prior parameter

burnin

A non-negative integer giving the burn-in parameter

thin

A positive integer giving the thin parameter

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 using historical data as current data set--never done in practice
out = sur_sample_powerprior( formula.list, data, histdata = data, M = M )

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