Where Do Priors Come From? Applying Guidelines to Construct Informative Priors in Small Sample Research

This article demonstrates the usefulness of Bayesian estimation with small samples. In Bayesian
estimation, prior information can be included, which increases the precision of the posterior distribution.
The posterior distribution reflects likely parameter values given the current state of knowledge. An issue
that has received little attention, however, is the acquisition of prior information. This study provides
general guidelines to collect prior knowledge and formalize it in prior distributions. Moreover, this study
demonstrates with an empirical application how prior knowledge can be acquired systematically. The
article closes with a discussion that also warns against the misuse of prior information.