Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Bayesian model averaging


From   "Ian Watson" <i.watson@econ.usyd.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Bayesian model averaging
Date   Fri, 2 Jun 2006 09:42:51 +1000

I have recently been reading some of the Bayesian social science literature, particularly work by Adrian Raftery, Jennifer Hoeting and Chris Volinsky that deals with Bayesian model averaging. It seems a very interesting avenue to pursue, but the BMA routines developed by these authors are mostly available in S Plus (with translations into R by Ian Painter). Does anyone know if there are any Stata routines which implement the BMA approach?


If this sounds a bit cryptic, the description for one of the routines (bicreg) from the R manual is as follows:

     Bayesian Model Averaging accounts for the model uncertainty inherent in the variable selection
     problem by averaging over the best models in the model class according to approximate posterior
     model probability.


If nothing exists in Stata, and I need to write a Stata routine myself, do people know if there is any useful "R to Stata" documentation around on the Net?  Apparently, the leaps algorithm used by BMA is originally based on Fortran code, so presumably Mata can help out there.

Any advice would be most appreciated.

Ian Watson

Sydney University
Australia


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index