I have written Bayesian log-likelihood evaluators and corresponding commands for all GLM families, including the canonical gamma. They are in the forthcoming 4th edition of Hardin and Hilbe, Generalized Linear Models and Extensions (Stata Press). I also have some 35 evaluators and commands for extended GLMs like zero-inflated models, hurdle models, generalized Poisson, NB-P, and so forth. They will be out in a book I am preparing on Bayesian models. The Stata Press book will be submitted before Jan 1, and my book is planned to be submitted by March.I love working with bayesmh. Its a very well constructed command, and I understand is still undergoing enhancements. If you want the canonical gamma code let me know.
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