Convergence and Correlation Analysis on Us Housing Price Annual Changes

Convergence And Correlation Analysis  On US Housing Price Annual Changes

• 
  ziguang.zhu@student.maastrichtuniversity.nl

Table of Contents

Data Definition        1

Definition Of The Econometric Model        2

Definition of the selected prior        2

Likelihood and the posterior density of the model        2

Metropolis-Hasting Algorithm        3

Important computational aspects        4

Correlation analysis        4

Convergence test        5

Conclusion        6

Reference        7

Introduction

This paper considers the correlation and convergence analysis on the Bayesian inference results of the simple linear regression model for the US median house price annual changes. By using the Ordinary least square (OLS) to stimulate the coefficients of given model yi =θxi,  with monthly data over the 1963-01-01 to 2016-10-01, and Metropolis-Hasting Algorithm to estimate the posterior, we can hence implement several tests to illustrate our purpose – check whether the posterior draws converges to the posterior distribution of (β, σ2) and the amount of autocorrelation in the posterior draws.

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