Thank you for your response. What would you suggest for cases larger than [2,2]? I plan to carry out the analysis for UN@UN where the TIGMA is [3,3] with IWISH prior (relevant part of the code below). From what I get right now I can see the Sigma and Tigma do not converge to proc mixed outcome with IWISHRWM. Thanks a lot, Robert array S[2,2];
array Sigma[2,2];
array T[3,3];
array Tigma[3,3];
%***Set up some expandable code to create required matricies for inverse wishart prior;
CALL IDENTITY (S);
CALL IDENTITY (T);
parms Sigma {0.1 0.01 0.01 0.1};
parms Tigma {1 0.01 0.01 0.01 1 0.01 0.01 0.01 1};
parms B0: B1: V1: V2:;
prior B0: B1: V1: V2: ~ normal(0, var=1e6);
prior Sigma ~ iwish(%eval(2 + 1), S);
prior Tigma ~ iwish(%eval(3 + 1), T);
/* Kronecker product matrix */
beginnodata;
do i = 1 to 6;
do j = 1 to 6;
if (i <= 3 and j <= 3) then do;
COV[i,j] = Sigma[1,1] * Tigma[i,j];
end;
if (i > 3 and j <= 3) then do;
COV[i,j] = Sigma[1,2] * Tigma[(i-3),j];
end;
if (i <= 3 and j > 3) then do;
COV[i,j] = Sigma[2,1] * Tigma[i,(j-3)];
end;
if (i > 3 and j > 3) then do;
COV[i,j] = Sigma[2,2] * Tigma[(i-3),(j-3)];
end;
end;
end;
endnodata;
... View more