MCMC iterations

[piyushstats]

How to decide number of Markov's Chain iterations while running proc MCMC for bayesian approach of multiple linear regression?

In my datasset it seems that I am unable to remove autocorrelation from the model. Please suggest.

[youtoub]

Your convergence might be slow. Consider increasing your burn-in iterations and  thining your chain by a factor of, let's say, 10 or 20. 

PROC MCMC DATA = YourDATA  nbi=50000 nmc=200000 thin =20  ;

Your posterior estimates will be based on 200,000/20 = 10,000 observations.