Advanced Search
MyIDEAS: Login to save this paper or follow this series

Prior distributions for variance parameters in hierarchical models


Author Info

  • Andrew Gelman

    (Department of Statistics, Columbia University)

Registered author(s):


    Various 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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: no

    Bibliographic Info

    Paper provided by EconWPA in its series Econometrics with number 0404001.

    as in new window
    Length: 13 pages
    Date of creation: 14 Apr 2004
    Date of revision:
    Handle: RePEc:wpa:wuwpem:0404001

    Note: Type of Document - pdf; pages: 13
    Contact details of provider:
    Web page:

    Related research

    Keywords: 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:

    This paper has been announced in the following NEP Reports:


    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Gelman A., 2004. "Parameterization and Bayesian Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 537-545, January.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Ciprian M. Crainiceanu & David Ruppert & Matthew P. Wand, . "Bayesian Analysis for Penalized Spline Regression Using WinBUGS," Journal of Statistical Software, American Statistical Association, vol. 14(i14).
    2. Ciprian Crainiceanu & David Ruppert & Raymond Carroll, 2004. "Spatially Adaptive Bayesian P-Splines with Heteroscedastic Errors," Johns Hopkins University Dept. of Biostatistics Working Paper Series 1061, Berkeley Electronic Press.
    3. Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L., 2005. "Efficient Portfolios of Market Advisory Services: An Application of Shrinkage Estimators," 2005 Annual meeting, July 24-27, Providence, RI 19469, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0404001. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.