Wednesday, March 08, 2006

RE: st: Are you a Bayesians?

One main thrust of Bayesian work seems to have been the insistence that each problem ideally requires its own model, which commands fairly easy assent as an abstract principle. This would be made easier by MCMC engines, etc. but the extent to which it can be automated is questionable. I don't think this is mainly because analysts need to reach into their subconscious to pull out prior distributions: it is mainly because of the need to customise a model according to the structure of the scientific or substantive problem.

So, ultimately each researcher needs to write their own "program", which I put in quotation marks because in Stata that need not necessarily mean a program in Stata's sense. That's why WinBugs and R are languages widely used for this: WinBugs is designed for the purpose, and R is designed mainly for statistical people willing to write their own programs. Or so I perceive.

I have to guess that most researchers using statistics are most unlikely to want to write their own program. Also, the prevailing mindset, as shown by many, many posts on this list, is that there is a "correct" analysis that can be obtained by plugging your data into a pre-existing program. Just tell me what it is, please!

While Bayesian stuff seems to be growing on an exponential, I predict that exponential will turn into a sigmoid, given the likely mass unwillingness of people applying statistics to adopt it. The intellectual arguments are secondary here.

That all said, the crunch really is this.

1. There is no detectable interest on the part of StataCorp in providing the tools. If this is true, they probably won't say so, or say much more than that there is no present intent to do Bayesian stuff in a major way. StataCorp prefer positive statements to zero or negative ones.

2. Regardless of 1, StataCorp do not like doing token efforts or playing with something. (When they have done something that ended up as a token effort, usually by accident, they have regretted it bitterly.) So if StataCorp go Bayesian, they will go Bayesian in a massive way, and that's a long-term project.

3. Regardless of 1 and 2, user-programmers could do a lot more than they have done already, but there is very little interest. My main guess here is, as above and as mentioned previously on this thread, interested people just do it in other software.

4. It is always nice when people say, "Well, I use X for Y, but I would rather use Stata." However, when other programs are years ahead of Stata, it is not clear why Stata should play catch-up.

I don't write as anti-Bayes or non-Bayes. I have, in a minor way, implemented Bayesian ideas in Stata for one problem. (See -cij- on SSC, most of which was adopted in official -ci-.) I have seen work in which the frequentist answer was a heap of garbage and the Bayesian solution neat and elegant and scientifically much more acceptable. I have also seen Bayesian projects that seemed to take up many, many times more effort than a frequentist solution that got most of the way.

Nick n.j.cox@durham.ac.uk

Paul Millar > In the past I have used R or Winbugs for Bayesian problems. I agree > Stata could be better equipped for this approach. In fact, I don't > think Bayesian approaches will, despite their power compared to > frequentist techniques, get into the mainstream until people develop > routines for packages like Stata that make it easy for the researcher > to take advantage of. > > >If you are a Bayesian using stata, please respond with raised voice. > > > >Most of my work is frequentist in nature, but I apply Bayesian > >techniques for some of my more onerous problems. As was mentioned in > >the fall, "Stata is not much of a vehicle for doing Bayesian > >things." Should this change? > > > >The paucity of interest in Bayesian techniques, or its appearance, > >may represent an area of development for stata. Bayesians, if you > >are out there, I personally would like to how you manage. Maybe > >stata and its users will develop greater tools if we can show that > >there is a market.

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