I would argue it shouldn't, as it involves too many user decisions.
MCMC is a powerful yet fragile technique, and one really needs to know
enough strong theory to apply it properly. WinBUGS is a nice
educational tool, but its Gibbs sampling engine is becoming very
restrictive very quickly once you start looking into any serious
analysis that might involve hierarchical models, improper priors,
non-standard links, stepping between the models, etc. Any serious
Bayesian analysis usually requires doing everything at the low level,
oftentimes as low as C. And programming-wise, Stata would have to have
a capacity of holding two data sets in memory at the same time: the
original data, and the sampled values -- a similar problem is with the
bootstrap estimates that have to be an extraneous data set.
The same story goes conceptually with multiple imputation (which
intrinsically is a Bayesian technique): while there is a
user-contributed module, it is up to the end user to say something
like "Oh yeah, I know it works perfectly well for my application
because [reference to three to five Annals-JASA-Biometrika papers
showing why it works perfectly in this situation], and I also know
that -ice- does it exactly along those guidelines, as [SJ paper]
explains". I understand Stata Corp.'s steering away from it: the users
know better what kind of tools they need, and Stata wants to implement
the tools for which there is clear enough understanding in the
literature with sufficient degree of standardization (shall we make it
another option for -regress-?), and for which a graduate level
statistician can be hired to provide user support :)).
If SAS is having workshop at UNC Biostat... then it must be Joe
Ibrahim working with them -- the set of routines implemented clearly
shows the bias towards the survival models he does. And he certainly
is one of the big names in Bayesian biostatistics. There is a whole
Bayesian department at Duke that SAS does not seem to be (able to?)
use. I don't really know if TAMU has a comparable quality faculty to
use as a local resource.
On 4/28/07, [email protected] <[email protected]> wrote:
I think it should be a good idea to include it. For the moment being I use
Matlab for Bayesian analysis but I guess with the new matrix langauage of
Stata, Mata, and good simulations routines, Stata could be expanded in that
direction.
Marcos
Quoting S J <[email protected]>:
> SAS is making some moves towards adding Bayesian
> capabilities:
>
> http://support.sas.com/rnd/app/da/bayesproc.html?ETS=6718&PID=299503
>
> What about Stata?
>
> Steve.
>
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Stas Kolenikov
http://stas.kolenikov.name
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