[R] Bayesian regression stepwise function?

[Frank E Harrell Jr]

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

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