| Summary: | We consider situations, which are common in medical statistics, where we have a number of sets of response data, from different individuals, say, potentially under different conditions. A parametric model is defined for each set of data, giving rise to a set of random effects. Our goal here is to efficiently explore a range of possible ‘population’ models for the random effects, to select the most appropriate model. The range of possible models is potentially vast, because the random effects may depend on observed covariates, and there may be multiple credible ways of partitioning their variability. Here, we consider pharmacokinetic (PK) data on insulin aspart, a fast acting insulin analogue used in the treatment of diabetes. PK models are typically nonlinear (in their parameters), often complex and sometimes only available as a set of differential equations, with no closed‐form solution. Fitting such a model for just a single individual can be a challenging task. Fitting a joint model for all individuals can be even harder, even without the complication of an overarching model selection objective. We describe a two‐stage approach that decouples the population model for the random effects from the PK model applied to the response data but nevertheless fits the full, joint, hierarchical model, accounting fully for uncertainty. This allows us to repeatedly reuse results from a single analysis of the response data to explore various population models for the random effects. This greatly expedites not only model exploration but also cross‐validation for the purposes of model criticism. © 2015 The Authors. Statistics in Medicine published by John Wiley & Sons Ltd.
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