Bayesian hierarchical modeling based on multisource exchangeability

&NA; Bayesian hierarchical models produce shrinkage estimators that can be used as the basis for integrating supplementary data into the analysis of a primary data source. Established approaches should be considered limited, however, because posterior estimation either requires prespecification of a shrinkage weight for each source or relies on the data to inform a single parameter, which determines the extent of influence or shrinkage from all sources, risking considerable bias or minimal borrowing. We introduce multisource exchangeability models (MEMs), a general Bayesian approach for integrating multiple, potentially non‐exchangeable, supplemental data sources into the analysis of a primary data source. Our proposed modeling framework yields source‐specific smoothing parameters that can be estimated in the presence of the data to facilitate a dynamic multi‐resolution smoothed estimator that is asymptotically consistent while reducing the dimensionality of the prior space. When compared with competing Bayesian hierarchical modeling strategies, we demonstrate that MEMs achieve approximately 2.2 times larger median effective supplemental sample size when the supplemental data sources are exchangeable as well as a 56% reduction in bias when there is heterogeneity among the supplemental sources. We illustrate the application of MEMs using a recently completed randomized trial of very low nicotine content cigarettes, which resulted in a 30% improvement in efficiency compared with the standard analysis.