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BayesVarSel: Bayes Factors, Model Choice and Variable Selection in Linear Models

Conceived to calculate Bayes factors in linear models and then to provide a formal Bayesian answer to testing and variable selection problems. From a theoretical side, the emphasis in the package is placed on the prior distributions and BayesVarSel allows using a wide range of them: Jeffreys (1961); Zellner and Siow(1980)<doi:10.1007/bf02888369>; Zellner and Siow(1984); Zellner (1986)<doi:10.2307/2233941>; Fernandez et al. (2001)<doi:10.1016/s0304-4076(00)00076-2>; Liang et al. (2008)<doi:10.1198/016214507000001337> and Bayarri et al. (2012)<doi:10.1214/12-aos1013>. The interaction with the package is through a friendly interface that syntactically mimics the well-known lm() command of R. The resulting objects can be easily explored providing the user very valuable information (like marginal, joint and conditional inclusion probabilities of potential variables; the highest posterior probability model, HPM; the median probability model, MPM) about the structure of the true -data generating- model. Additionally, "BayesVarSel" incorporates abilities to handle problems with a large number of potential explanatory variables through parallel and heuristic versions of the main commands, Garcia-Donato and Martinez-Beneito (2013)<doi:10.1080/01621459.2012.742443>.

BayesVarSel.pdf