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Subject:

multivariate probit model

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Date:

Wed, 21 Feb 2007 23:05:21 -0500

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 ```Dear WinBUGS users: Does anyone have any experience in modeling a multivariate probit model? (I have three equations). The model I wrote, which is pasted below, fails because there is no check that the correlation matrix be positive definite. I read the Barnard, Meng, McCulloch article in Statistica Sinica, which gives me the solution to my problem. But I am stuck when I try to translate the Barnard, Meng, McCulloch solution into the WinBUGS language structure. I would truly appreciate any help that would push me in the right direction. Best regards, giacomo ### Trivariate probit model model { for (i in 1:1000) { Y[i,1] <- y1[i] Y[i,2] <- y2[i] Y[i,3] <- y3[i] z[i,1:3] ~ dmnorm(eta[i,1:3],tau[1:3,1:3])I(L[i,1:3],U[i,1:3]) for (j in 1:3) { L[i,j] <- -50*equals(Y[i,j],0) U[i,j] <- 50*equals(Y[i,j],1) eta[i,j] <- b[j,1] + b[j,2]*x2[i] + b[j,3]*x3[i] } } sigma[1,2] <- rho[1] sigma[2,1] <- rho[1] sigma[1,3] <- rho[2] sigma[3,1] <- rho[2] sigma[2,3] <- rho[3] sigma[3,2] <- rho[3] for (k in 1:3) { rho[k] ~ dunif(-1,1) } sigma[1,1] <- 1 sigma[2,2] <- 1 sigma[3,3] <- 1 tau[1:3,1:3] <- inverse(sigma[,]) for (j in 1:3) { for (k in 1:3) { b[j,k] ~ dnorm(0,.01) } } } ------------------------------------------------------------------- This list is for discussion of modelling issues and the BUGS software. For help with crashes and error messages, first mail [log in to unmask] To mail the BUGS list, mail to [log in to unmask] Before mailing, please check the archive at www.jiscmail.ac.uk/lists/bugs.html Please do not mail attachments to the list. To leave the BUGS list, send LEAVE BUGS to [log in to unmask] If this fails, mail [log in to unmask], NOT the whole list ```