Suppose you want to estimate how tall Albert Einstein was. You ask a friend of yours, who suggests 5′9′′, though they have no particular reason to know.
5′9′′ doesn't sound unreasonable. Of course you're still very uncertain. Say you're 95% sure your friend, like any random American, would guess Einstein's height within ±10 inches.
You'd like a more precise estimate, so you do a survey. You contact 100 million people in the US and get them to estimate Einstein's height for you; the average of the survey responses is 5′8.453′′. You also visit the Library of Congress and Bern Historical Museum to find an immigration form and a Swiss passport giving his height as... (read 1400 more words →)
I see two reasons not to treat every measurement from the survey as having zero weight.
First, you'd like an approach that makes sense when you haven't considered any data samples previously, so you don't ignore the first person to tell you "humans are generally between 2 and 10 feet tall".
Second, in a different application you may not believe there is no causal mechanism for a new study to provide unique information about some effect size. Then there's value in a model that updates a little on the new study but doesn't update infinitely on infinite studies.