Convergence and Correlation Analysis on Us Housing Price Annual Changes
Autor: Ziguang Zhu • November 28, 2017 • Essay • 1,392 Words (6 Pages) • 755 Views
Convergence And Correlation Analysis On US Housing Price Annual Changes
Maastricht University | |||
School of Business & Economics | |||
Place & date: | Maastricht 27 Jan. 2017 | ||
Name, initials: | Zhu, Z | ||
ID number: | I6100563 | ||
Study: | Econometric | ||
Course code: | EBS 2043 | ||
Group number: | Econometric part Tutorial 2 | ||
Coordinator: | Dr. Nalan Baştürk | ||
R-code team-member: | Jia.Z I6100566 | ||
Writing topic: | Linear Regression Model |
ziguang.zhu@student.maastrichtuniversity.nl
Table of Contents
Data Definition 1
Definition Of The Econometric Model 2
Definition of the selected prior 2
Likelihood and the posterior density of the model 2
Metropolis-Hasting Algorithm 3
Important computational aspects 4
Correlation analysis 4
Convergence test 5
Conclusion 6
Reference 7
Introduction
This paper considers the correlation and convergence analysis on the Bayesian inference results of the simple linear regression model for the US median house price annual changes. By using the Ordinary least square (OLS) to stimulate the coefficients of given model yi =θxi, with monthly data over the 1963-01-01 to 2016-10-01, and Metropolis-Hasting Algorithm to estimate the posterior, we can hence implement several tests to illustrate our purpose – check whether the posterior draws converges to the posterior distribution of (β, σ2) and the amount of autocorrelation in the posterior draws.
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