December 21, 2009

(This article was first published on Shige's Research Blog, and kindly contributed to R-bloggers)

This R packages estimates Generalised Linear Mixed Models via MCMC. It provides a number of random error distributions and can be used for multivariate multilevel models (simultaneous equation model).

I will do some tests and compare the results to other packages.

This package has the potential to become the ideal modeling tool for multilevel and multiprocess analysis for Bayesians, just as aML and Sabre for non-Bayesians. I have been hoping the new JAGS can have much improved performance with similar models, but I don’t know when the new version (2.0) will be out. I will be interesting to conduct a benchmark test between aML, Sabre, GLLAMM, MCMCglmm, WinBUGS, and JAGS on some complicated multilevel multiprocess statistical models.
Unlike aML and Sabre, MCMCglmm seems to be under active development.

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