[R] How to get the error and error variance after HB using bayesm

[Michael Langmaack]

Hi Arnab,

Actually, I don´t think so as in Bayesian Regression the estimation converges towards the prior distribution and not a point estimate like in the frequentist approach. But I’m not very sure honestly. I used a Bayesian Logit Model in R (bayesm, rhierBinLogit by Rossi) to calculate individual pert-worth. I reviewer asked me to control for error variance as my results highly depend on it. But I do not know how to deal with using the Bayesian approach.

Cheers,
Michael

From: arnabkrmaity at gmail.com [mailto:arnabkrmaity at gmail.com] On Behalf Of ARNAB KR MAITY
Sent: Freitag, 13. Februar 2015 20:46
To: Michael Langmaack
Cc: r-help at r-project.org
Subject: Re: [R] How to get the error and error variance after HB using bayesm

Hello Michael,

I have a question here. Does Bayesian paradigm deal with MSE kind of stuff?

Thanks & Regards,
Arnab



Arnab Kumar Maity
Graduate Teaching Assistant
Division of Statistics
Northern Illinois University
DeKalb, IL 60115
Email: maity at math.niu.edu<mailto:maity at math.niu.edu>
Ph:     779-777-3428

On Fri, Feb 13, 2015 at 4:45 AM, Michael Langmaack <Michael.Langmaack at the-klu.org<mailto:Michael.Langmaack at the-klu.org>> wrote:
Hello all,

I have a question concerning bayesian regression in R using the package bayesm (version 2.2-5) by Peter Rossi. I have binary choice data and estimated individual coefficients using the command rhierBinLogit(Data=Data,Mcmc=Mcmc). That worked out properly, conversion plots, histograms, parameter are fine. No a have to compute the errors and the error variance or something like the MSE. But I do not know how to do. I did not find a hint so far. I would be more than happy if anybody can help me. Thanks in advance!

Best regards,
Michael

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