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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 winbugs及其他软件专版
2121 0
2014-02-11
我最近刚学WINBUGS,从基本SV模型做起,模型如图,为纯SV模型。
程序我基本看懂,但不是很清楚的是,最后的#INITIAL VALUES,也就是初始值设定需要什么规则,这个程序里phistar,mu,itau2的值能随便设吗,还是有一定的规则的?
还有就是,哪些值需要设初始值?
求各位指点,感激不尽~~~~

winbugs程序如下:
#MODEL
model
{
yisigma20<-1/exp(h0)
y0~dnorm(alpha,yisigma20)
ymean[1]<-alpha+beta*y0
yisigma2[1]<-1/(exp(h[1]))
y[1]~dnorm(ymean[1],yisigma2[1])
for(t in 2:n)
    {
     ymean[t]<-alpha+beta*y[t-1]
     yisigma2[t]<-1/(exp(h[t]))
     y[t]~dnorm(ymean[t],yisigma2[t])
    }
alpha~dnorm(0,0.1)
beta~dnorm(0,0.1)
mu~dnorm(-8,0.04)
phistar~dbeta(20,1.5)
phi<-2*phistar-1
itau2~dgamma(2.5,0.025)
tau2<-1/itau2

h0~dnorm(mu,itau2)
hmean[1]<-mu+phi*(h0-mu)
h[1]~dnorm(hmean[1],itau2)
for(t in 2:n)
    {
    hmean[t]<-mu+phi*(h[t-1]-mu)
    h[t]~dnorm(hmean[t],itau2)
    }

}

#DATA
list(n=352,y=c(0.017,0.022,0.0504,0.026,0.0201,0.128,0.004,0.01615,0.0167,0.02335,0.023,0.0167,0.023,0.03525,0.095,0.0054,0.02795,0.0197,0.0198,0.022,0.01615,0.17,0.016,0.1498,0.04,0.0235,0.035,0.0416,0.02335,0.0193,0.014,0.02385,0.0229,0.111,0.21535,0.3,0.004,0.019,0.0413,0.17,0.03565,0.0159,0.14,0.029,0.0945,0.02,0.15165,0.012,0.015,0.0285,0.0219,0.024,0.05015,0.03,0.0198,0.0401,0.0205,0.017,0.0162,0.019,0.02,0.04,0.049,0.02995,0.024,0.01725,0.024,0.04265,0.0253,0.023,0.02505,0.02235,0.02035,0.029,0.0199,0.01975,0.02005,0.02555,0.042,0.02,0.02285,0.0204,0.0198,0.0198,0.019,0.0561,0.007,0.0294,0.02045,0.025,0.02345,0.01975,0.0199,0.02395,0.016,0.017,0.01525,0.0135,0.01015,0.004,0.009,0.0191,0.0013,0.01,0.0105,0.00895,0.009,0.0078,0.0087,0.009,0.0095,0.0089,0.0083,0.00895,0.0118,0.006,0.0104,0.0095,0.0121,0.0042,0.00845,0.0089,0.00955,0.0115,0.01255,0.0126,0.0292,0.013,0.0161,0.0125,0.013,0.01315,0.01415,0.0145,0.0135,0.01295,0.0284,0.00695,0.01295,0.0136,0.01335,0.01505,0.0149,0.0126,0.0135,0.0165,0.0132,0.01555,0.018,0.01,0.014,0.01235,0.013,0.0131,0.02005,0.0024,0.0125,0.01265,0.015,0.01295,0.0148,0.01105,0.015,0.01415,0.01775,0.0143,0.015,0.0155,0.0166,0.02655,0.0247,0.007,0.02,0.0302,0.013,0.0145,0.0181,0.016,0.014,0.0175,0.012,0.01785,0.0424,0.018,0.0188,0.0205,0.012,0.00455,0.015,0.019,0.021,0.018,0.0178,0.025,0.036,0.0255,0.0168,0.03805,0.07,0.0301,0.0265,0.022,0.04205,0.0255,0.0019,0.018,0.0309,0.04,0.0229,0.016,0.021,0.01695,0.0136,0.01985,0.02455,0.026,0.01655,0.02225,0.02015,0.0302,0.031,0.022,0.0263,0.028,0.0471,0.038,0.0389,0.0316,0.03025,0.051,0.029,0.0202,0.046,0.022,0.0335,0.024,0.022,0.023,0.0063,0.0226,0.02,0.0349,0.035,0.02575,0.04,0.03,0.033,0.0201,0.01905,0.02685,0.00305,0.01915,0.0529,0.0052,0.029,0.0378,0.04,0.0403,0.03325,0.0281,0.0199,0.03,0.01,0.0282,0.029,0.0201,0.011,0.0318,0.026,0.0231,0.0255,0.04545,0.02245,0.028,0.02,0.0132,0.033,0.0259,0.034,0.031,0.026,0.0299,0.0354,0.0254,0.01515,0.0294,0.0287,0.06735,0.0081,0.02715,0.0266,0.049,0.0275,0.029,0.0261,0.027,0.031,0.03005,0.03785,0.05,0.10285,0.0421,0.0273,0.02505,0.02805,0.0653,0.0045,0.0291,0.0379,0.02505,0.0302,0.02705,0.03,0.013,0.0265,0.0326,0.02,0.029,0.0154,0.03805,0.04,0.04295,0.0271,0.05515,0.0653,0.04275,0.00305,0.0285,0.03725,0.0473,0.03295,0.035,0.035,0.0423,0.0351,0.0376,0.0426,0.02115,0.06915,0.02965,0.034,0.03585,0.0462,0.038,0.037,0.056,0.0472,0.04645,0.0385,0.042,0.0662,0.0763))
#INITIAL VALUES
list(phistar=0.975,mu=0, itau2=50)
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