Re: [R] Metropolis acceptance rates

From: Anup Nandialath <anup_nandialath_at_yahoo.com>
Date: Tue, 08 Apr 2008 10:21:41 -0700 (PDT)


Hi Michael,  

 If you are using the standard logit or probit model, it is fairly easy to save the acceptance rate after each draw. I would recommend using the "bayesm" package as the source code is easy to manipulate. For instance in the probit function (rbprobitGibbs), you need to include a couple of lines of code to save the acceptance rate. I'm sure it is possible with the other packages as well.

HTH Anup

Michael Margolis <michael.margolis_at_ugto.org> wrote: Is there a way to recover Metropolis-step acceptance rates AFTER completing posterior draws?

The immediate application is in the probit.bayes and logit.bayes models used by Zelig... which I believe is merely calling MCMCpack. So one strategy, to which I am fixing to resort, is to call, say, MCMClogit with verbose set to mcmc (or mcmc divided by an integer) and then look at my screen. But it seems odd that this datum is not being put into output objects, so I wonder if I'm missing something.

Plus sometimes I can save the output object, but then the power goes out and what's on screen is gone forever.

Thanks,
Michael

Michael Margolis
Profesor Investigador
Escuela de Economía
Universidad de Guanajuato
UCEA-Campus Marfil, Fracc 1
El Establo, Guanajuato, Gto. CP 36250
Mexico
(52)(473) 735 29 25 Ext. 2858

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