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  • How is df calculated in Zellner's g-prior in Bayesian regression?

    I would appreciate advice on how to calculate df for Zellner's g-prior in Stata's Bayesian regression.

    Consider the Zellner's g-prior specification in the Bayesian regression in Example 6, p. 22, at http://www.stata.com/manuals/bayesbayes.pdf and as described at http://www.stata.com/manuals/bayesba...f#bayesbayesmh .
    Code:
    sysuse auto, clear
    bayes, prior({price:}, zellnersg0(3, 50, {sigma2})) burnin(5000): regress price length i.foreign
    In this example, n = 74, dimensions = 3, df = 50.
    The levels of length = 47 and the levels of foreign = 2.

    Thanks for any help you can provide.

    Red Owl
    Stata/IC version 15.0

    Edited to correct p. number of Example 6.
    Last edited by Red Owl; 06 Aug 2017, 09:38.
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