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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