Prior distributions for variance parameters in hierarchical models
AbstractVarious noninformative prior distributions have been suggested for scale parameters in hierarchical models. We construct a new folded-noncentral- t family of conditionally conjugate priors for hierarchical standard deviation parameters, and then consider noninformative and weakly informative priors in this family. We use an example to illustrate serious problems with the inverse-gamma family of ``noninformative'' prior distributions. We suggest instead to use a uniform prior on the hierarchical standard deviation, using the half-t family when the number of groups is small and in other settings where a weakly informative prior is desired.
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Bibliographic InfoPaper provided by Economics and Econometrics Research Institute (EERI), Brussels in its series EERI Research Paper Series with number EERI_RP_2004_06.
Length: 14 pages
Date of creation: Jun 2004
Date of revision:
Bayesian inference conditional conjugacy folded noncentral-t distribution half-t distribution hierarchical model multilevel model noninformative prior distribution weakly informative prior distribution;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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