Hi folks,

I am relatively new to the MCMC approach, but trying to estimate a two-level
ordinal probit model via MCMCglmm.

My ordinal model is basically simple, but includes many fixed effects
variables: 2 independent variables and 32 control variables including 14
year dummies. In addition, it allows for four random effects that are
independent each other. Consequently, I believe my model structure is
represented as follows:

===========================================================================================================
> prior <- list(R=list(V=1,nu=0.002, fix=1), G=list(G1=list(V=1,
nu=0.002),G2=list(V=1, nu=0.002),G3=list(V=1, nu=0.002),G4=list(V=1,
nu=0.002)))
> model <-  MCMCglmm(ordinal DV ~ 34 fixed effects variables, random = ~4
independent random effects, family="ordinal", options ...)
===========================================================================================================

Having said that, the problem now I am experiencing is that convergence is
not achieved even after a relatively large number of iterations like 300,000
(it ran 7 days to complete). Almost every convergence diagnostic indicates
that convergence is not achieved even after such a long run. [FYI, my
computer system is equipped with intel core i7 920 (overclocked to 3.8Ghz)
CPU and 12Gb DDR3 RAM; OS is Ubuntu 10.04 LTS (64bit).]

Because I am far behind the schedule, I tried running the model by drawing a
10% random sample, following the suggestion of Gelman (2007:418).
Fortunately, convergence is achieved after 500,000 iterations, according to
all convergence diagnostics. The parameter estimates were quite reasonable
and exactly what I expected. But my question is "is it okay to report these
parameter estimates that were generated from a 10% random sample?" In
classical regression approach, a random sampling makes the analysis merely a
conservative one because standard errors are negatively associated with
sample size. But I am not sure if this also applies to MCMC approach. If
not, what else should I do? Should I just wait till convergence is achieved?

Any help/advice would be greatly appreciated.

Best,
Kevin

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