[R] Bayesian regression stepwise function?

Frank E Harrell Jr f.harrell at vanderbilt.edu
Thu Oct 22 21:08:56 CEST 2009

Ben Bolker wrote:
> Allan.Y wrote:
>> Hi everyone,
>> I am wondering if there exists a stepwise regression function for the
>> Bayesian regression model.  I tried googling, but I couldn't find
>> anything.  I know "step" function exists for regular stepwise regression,
>> but nothing for Bayes.
> Why?  That seems so ... un-Bayesian ...

Exactly.  I hope it doesn't exist.  The beauty of Bayes is shrinkage, 
borrowing of information, and statement of results in an intuitive way.


Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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