Hi Guys,   Im trying to use informative priors in proc genmod. I tried a simple test using this code:   proc genmod data= SASHELP.CARS; class Type Make; model MSRP= EngineSize Weight WheelBase Length Type Make Cylinders Invoice EngineSize*Make WheelBase*Make / d=normal link=identity ; bayes seed=1 coeffprior=normal(input=normalprior) outpost=postcars ;   ods output postsummaries=POSTSUMMARIES FitStatistics=FitStats;   Data set "normalprior" looks like this:        data NormalPrior; input _type_ $ Intercept Length ; datalines; Var 1e6 0.000000001 Mean 0.0 19650 ; run;     This worked relatively well. I got confidence intervals for each estimate and I could see the priors being used in the  "Initial values of chain" section and the "Independant normal prior for regression coefficients" section. The posterior summaries section also reflects the prior that I gave the model.    When i tried to do the same on a different dataset with many more variables and much more data - It some how does not work. I see the priors in the   "Independant normal prior for regression coefficients" section but DO NOT see the priors I used in the "Initial values of chain" section - This section contains the initial non-prior estimates. As a result - When i check my posterior summaries - the estimate is exactly the same the as normal estimate before the informative prior. Im not sure why this is happening.   Any insights will be greatly appreciated.    Thanks           ... View more