BayesVarSel

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 this package is placed on the prior distributions and it allows 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, this package 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. It also allows problems with p>n and p>>n and also incorporates routines to handle problems with variable selection with factors.