Hi Luca,Sven

I would be happy to give Luca's BayTool a go though at my advancing years, Scripting is not a skill I want nor need to develop any expertise in. KIS is my motto.
Fair question to ask why would one want to use Bayesian regression?. The answer is that scientists now seem to have abandoned frequentist statistics. As my personal research is challenging work that fisheries scientists are doing on salmon stock estimation who do not publish their underlying coefficient estimates, they just publish graphs of their 10 year Bayesian trends in official statistics with 5 year projections and very wide unsurprisingly (in)credible intervals. I am keen to replicate their results and examine their robustness. I have the same data from official published statistics and know that most of the trends they fit to the 10 year river data sets are not statistically significant from zero from frequentist standard log linear regression.
In summary, it is about identifying your opponent's weaknesses from the inside
Brian.


On Tue, 15 Aug 2023, 14:15 Sven Schreiber, <sven.schreiber@fu-berlin.de> wrote:
Am 15.08.2023 um 14:59 schrieb Brian Revell:
> Thanks Marcin . I'll wait hopefully for a menu driven version in the
> Gretl UI.

Well, Luca also has another package called "BayTool", and you may be
interested in the included function BayLinMod(). Admittedly the GUI
currently still is a little rudimentary, but maybe you could give it a
try and report back.

Apart from that, at the risk of sounding repetitive or annoying, the
question is why you want to use Bayesian regression. My impression is
that 90% of the applications just want to have shrinkage and
regularization that Bayesian stuff gives you "for free". The frequentist
alternative these days would be Lasso and Elastic Net, which gretl
offers natively with its "regls" functionality, and with a super-nice
GUI. Of course, if you truly have an idea about the prior distribution,
or if you want to use it for teaching or for comparison, then a Bayesian
regression method is useful, and your request is perfectly legitimate.

thanks

sven
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