[Gretl-users] Re: BVAR pkg

Yes, the BayTool pkg provides different Bayesian estimation methods for different econometric models such as the linear model or the lasso. I’m working for an updated version which will be released soon, which improves on different aspects and will add binary and different latent variable models. Best regards, Luca Inviato da Outlook per iOS<https://aka.ms/o0ukef> ________________________________ Da: Sven Schreiber <sven.schreiber(a)fu-berlin.de&gt; Inviato: Tuesday, August 15, 2023 3:15:38 PM A: gretl-users(a)gretlml.univpm.it <gretl-users(a)gretlml.univpm.it&gt; Oggetto: [Gretl-users] Re: BVAR pkg Am 15.08.2023 um 14:59 schrieb Brian Revell: 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 _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/