Hierarchical model vs a collection of models

If you tend to have small amounts of data for each individual model, the parameter estimates you obtain from the hierarchical model can have much lower variance and/or less bias than a summary statistic of the per-individual parameter estimates. This can often translate into much better out-of-sample prediction performance. That said, it is can be very fast to simply fit a ton of models in parallel without hierarchical structure.

There’s some nice discussion on the merits of simply running lots of simple models here.

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