2
$\begingroup$

If we want to use categorical variables in regression context, we are allowed to use dummy codings such as these schemes.

Is this also required in a Bayesian (MCMC) context, such as with WinBUGS/OpenBUGS, that we have to model k factors with k-1 dummy variables – or are we allowed to use k dummy variables and linear dependency of the variables is not an issue?

$\endgroup$
2
  • 3
    $\begingroup$ Bayesian or non-bayesian is not an issue here. If you fit your regression using maximum likelihood or Bayesian estimation wouldn't affect how you code the dummy variables... $\endgroup$ Jun 8, 2014 at 19:32
  • $\begingroup$ Bayesian regression with Normal priors on the regression coefficients corresponds to Ridge regression, which adds a penalty to the original regression objective. For penalized regression, there are strong arguments to use k not k-1 dummy variables, here and here $\endgroup$
    – Johannes
    May 27, 2020 at 13:10

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.