Hi, I tried to specify a simple hierarchical prior for my model in brms but couldn’t figure out how to do it. Suppose I want to regress y onto x1 and x2 (simple linear regression, no group-level effects or anything). Denote the regression coefficients by b1 and b2. I would like to set prior N(0,tau) for both b1 and b2, so that also tau is treated as unknown (hyper)parameter for which I would like to place a prior (say half-t or half-Cauchy) and which should then be inferred.
Is this possible and how should I do it? I tried using the stanvar function but as far as I understood it cannot be used to declare new parameters, only variables that are passed in as data.