Hi,

I tried to use rmnlIndepMetrop (bayesm package) for my MNL model with 4
choice alternatives, 5 independent variables, 69 observations,

dim(X) [1] 276   5, nu=6. So I run such code:

 

if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=2000} else {R=10}

set.seed(66)

df=read.table("X_metrop.dat",header=TRUE)

inp=as.matrix(df)

y=as.numeric(inp[,1])

n=length(y)

p=4

nvar=ncol(X)

X=cbind(1,inp[,2:5])

XTXI=chol2inv(chol(crossprod(X)))

bhat=XTXI%*%t(X)%*%y

#create X matrix with dim nobs*p x nvar

index=1:n

index2=rep(index,p)

index3=sort(index2)

X=X[index3,]

beta=array(bhat,dim=c(nvar))

A=diag(c(rep(.01,length(beta))));

betabar=rep(0,length(beta))

Data=list(y=y,X=X,p=p);

Mcmc=list(R=R,keep=1) ;

Prior=list(A=A,betabar=betabar)

out=rmnlIndepMetrop(Data=Data,Prior=Prior,Mcmc=Mcmc)

 

Ouput:

Starting Independence Metropolis Sampler for Multinomial Logit Model

  with  4  alternatives

 

Prior Parms: 

betabar

[1] 0 0 0 0 0

A

     [,1] [,2] [,3] [,4] [,5]

[1,] 0.01 0.00 0.00 0.00 0.00

[2,] 0.00 0.01 0.00 0.00 0.00

[3,] 0.00 0.00 0.01 0.00 0.00

[4,] 0.00 0.00 0.00 0.01 0.00

[5,] 0.00 0.00 0.00 0.00 0.01

 

MCMC parms: 

R=  10  keep=  1  nu (df for st candidates) =  6

Mistake in chol(mhess) : the leading Minor of the order 1 is not positive
defined

 

By debugging: debug(rmnlIndepMetrop)

rmnlIndepMetrop(Data=Data,Prior=Prior,Mcmc=Mcmc)

beta

[1]  1.46867390 -0.52889086  0.23710427  0.00188178  0.06021696

mhess=mnlHess(y,X,beta)

> mhess

       X0 X0.1 X0.2 X0.3

     0  0    0    0    0

X0   0  0    0    0    0

X0.1 0  0    0    0    0

X0.2 0  0    0    0    0

X0.3 0  0    0    0    0

 

>chol(mhess)

Mistake in chol(mhess) : the leading Minor of the order 1 is not positive
defined

 

Is something wrong with my data? But I tried another dataset and got the
same mistake.

Whether everybody knows how I could manage it? 

I have no ideas anymore(.

Thank you in advance,

Tatjana

 

-----------------------------------

Tetyana Stepanchuk

Department of Electronic Commerce 

Johann Wolfgang Goethe-University 

Mertonstrasse 17 

D-60054, Frankfurt/Main

Germany

phone: +49 069 798 22380

http://www.ecommerce.wiwi.uni-frankfurt.de

 


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