I’ve just uploaded the package “Baytool” which aims to provide Bayesian estimation methods
in gretl. This is a long-standing project which will be enriched with new functions from
time to time: at the moment three specifications are provided i.e, the Bayesian linear
model with homoskedastic and heteroskedastic errors and the Bayesian Lasso. The
functions exploit both simulation methods via MCMC and analytical solutions when
available. There is also a function for plotting marginal posterior distributions.
Any bug reports will be appreciated!
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