The BIC (Raftery) can be used for quasi-Bayesian model selection, but it's 
not stepwise.   Ntzoufras shows how to use WinBUGS to conduct Bayesian 
model selection, but again it's not stepwise


Ntzoufras, I. (2002), 'Gibbs variable selection using BUGS', Journal of 
Statistical Software 7(7), 1--19.
Ntzoufras, I. (2009), Bayesian modeling using WinBUGS, Wiley, Hoboken, NJ.
Raftery, A. E. (1995), 'Bayesian model selection in social research', 
Sociological Methodology 25, 111-163.







"Allan.Y" <allany@cmu.edu> 
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10/22/2009 01:09 PM

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Subject
[R]  Bayesian regression stepwise function?







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.


Thanks
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