On 15.08.2023 16:55, Brian Revell wrote:
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scientists are doing on salmon stock estimation who do not publish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
Well,
since prior plays a non-negligible role, so as Sven said: do you have a
"true" prior or you just want to use some data-driven (like Zellner's
g)? It is important, because you deal with non-stationary series with
possible AR component. If so, using "standard" Bayesian set-up and tools
(like g-prior with with analytical solution for posterior moments) may
be misleading.
So, I would advise to follow:
1. Approach developed in late 90-ties in: Koop, Gary & Ley, Eduardo &
Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long
memory and persistence using ARFIMA models," Journal of Econometrics,
Elsevier, vol. 76(1-2), pages 149-169.
2. Setup based on g-prior proposed by us in: Błażejowski M, Kwiatkowski
J, Kufel P. BACE and BMA Variable Selection and Forecasting for UK Money
Demand and Inflation with Gretl. Econometrics. 2020; 8(2):21.
https://doi.org/10.3390/econometrics8020021
Unfortunately, in both cases using GUI-based tool is not possible. But
we (I mean Jacek Kwiatkowski and I) would help, if you're interested.
Marcin
--
Marcin Błażejowski
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