post_regression {sectorgap} | R Documentation |
Draws the parameters in a regression equation with AR errors, if specified.
Description
Draws the parameters in a regression equation with AR errors, if specified.
Usage
post_regression(
Y,
X,
beta = NULL,
betaDistr,
sigma,
sigmaDistr,
phi = NULL,
phiDistr = NULL,
indep = TRUE,
const = NULL,
constDistr = NULL
)
Arguments
Y |
dependent variable |
X |
explanatory variable(s) |
beta |
coefficient vector |
betaDistr |
prior distribution of coefficient vector |
sigma |
innovation variance |
sigmaDistr |
prior distribution of innovation variance |
phi |
autoregressive coefficient vector |
phiDistr |
prior distribution of autoregressive coefficient vector |
indep |
logical, should beta and sigma be independent |
const |
constant |
constDistr |
prior distribution of constant |
Details
See "Chib, Siddhartha. "Bayes regression with autoregressive errors: A Gibbs sampling approach." Journal of econometrics 58.3 (1993): 275-294."
Value
A named vector of drawn parameters.
[Package sectorgap version 0.1.0 Index]