Daily Archives: July 14, 2010

What is this “effects” business?

I’ve got to figure out what people mean when they say “fixed effect” and “random effect”, because I’ve been confused about it for a year and I’ve been hearing it all the time lately.

Bayesian Data Analysis is my starting guide, which includes a footnote on page 391:

The terms ‘fixed’ and ‘random’ come from the non-Bayesian statistical tradition are are somewhat confusing in a Bayesian context where all unknown parameters are treated as ‘random’. The non-Bayesian view considers fixed effects to be fixed unknown quantities, but the standard procedures proposed to estimate these parameters, based on specified repeated-sampling properties, happen to be equivalent to the Bayesian posterior inferences under a noninformative (uniform) prior distribution.

That doesn’t totally resolve my confusion, though, because my doctor-economist colleagues are often asking for the posterior mean of the random effects, or similarly non-non-Bayesian sounding quantities.

I was about to formulate my working definition, and see how long I can stick to it, but then I was volunteered to teach a seminar on this very topic! So instead of doing the work now, I turn to you, wise internet, to tell me how I can understand this thing.


Filed under statistics