Elements of Bayesina Econometrics

bayesian econometrics.r

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#  | PROGRAM NAME: EX_BAYESIAN_ECONOMETRCS
#  | DATE: 9-15-11
#  | CREATED BY: MATT BOGARD 
#  | PROJECT FILE: http://econometricsense.blogspot.com/2011/09/elements-of-bayesian-econometrics.html            
#  |----------------------------------------------------------------
#  | ADAPTED FROM: Andrew D. Martin. "Bayesian Inference and Computation in Political Science." Slides from a talk given to the Department of Politics, Nuffield College, Oxford University, March 9, #      |   2004.   SLIDES:http://adm.wustl.edu/media/talks/bayesslides.pdf  R-CODE :  http://adm.wustl.edu/media/talks/examples.zip           
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#  |------------------------------------------------------------------
 
 
setwd('/Users/wkuuser/Desktop/Briefcase/R Data Sets') 
 
library(MCMCpack)
murder <- read.table("murder.txt", header=TRUE)
names(murder)
dim(murder)
 
# estimation using OLS
lm(murder ~ unemp, data=murder)
summary(lm(murder ~ unemp, data=murder))
 
# posterior with standard priors
post1 <- MCMCregress(murder ~ unemp, data=murder)
print(summary(post1))
 
# posterior with informative priors
m <- matrix(c(0,3),2,1)
V <- matrix(c(1,0,0,1),2,2)
post2 <- MCMCregress(murder ~ unemp, b0=m, B0=V, data=murder)
print(summary(post2))