Bayesian Analysis of Seemingly Unrelated Regression Models
Fast kronecker product of crossproduct matrix
Fast kronecker product with response vector
Get predictive posterior samples
Sample from predictive posterior density C++ helper
Get one sample from predictive posterior of SUR
Sample Sigma via Gibbs for SUR model
Sample from seemingly unrelated regression
Helper function to sample covariance
Sample from SUR via Direct Monte Carlo (C++ version)
Sample SUR model via direct Monte Carlo
Power Prior Gibbs sampling
Sample from SUR posterior via power prior
surbayes: Bayesian Analysis of Seemingly Unrelated Regression Models
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.