Newsom 1

USP 656 Multilevel Regression

Winter 2006
xvdfsfdfgg (i.e., 0 mg, 5 mg, nd !0 mg". #owever, if t$e reser%$er wnts to m&e inferen%es
'e(ond t$e )rti%ulr vlues of t$e %g$dfdgfgdfgsfgsdfgsdfgdffffffffff&&&&&dfg$dg$'le used in t$e stud(,
rndom effe%ts model is used. * %ommon exm)le would 'e t$e use of )u'li% rt wor&s
re)resenting low, moderte, nd %v'%'%'%v'%v'
Fixed and Random Coefficients in Multilevel Regression
+$e rndom vs. fixed d$gdfgdfgdfgdfgdfgdfgdf&nd effe%ts is im)ortnt in multilevel regression. ,n
multilevel regression models, 'ot$ level-! %v%v'%v'v%' to vr( rndoml( %ross grou)s. .e%use of
t$e ssum)tions 'out t$eir error distri'utions, we %ll t$eir vrin%es, oo=var(U0j) nd 11=var(U1j),
/rndom %oeffi%ients.0
+$is mens t$t we %n t$in& 'out 0j nd 1j s &in to t$e rndom variables , des%ri'ed
'ove. ,nsted of ttem)ting to generli1e 'e(ond t$e )rti%ulr vlues of t$e inde)endent vri'le,
we re ttem)ting to generli1e 'e(ond t$e )rti%ulr grou)s in t$e stud(. 2or instn%e, we m( $ve
50 %om)nies, 'ut we wis$ to generli1e to lrger universe of %om)nies w$en we exmine t$e
mens (inter%e)ts" or t$e x-( reltions$i) (slo)es".
,n #3M, vrin%es for t$e inter%e)ts nd slo)es re estimted '( defult. +$t is, w$en (ou
first %onstru%t model, U0j nd U1j re estimted '( defult. #owever, t$e reser%$er $s t$e %$oi%e
of setting U0j nd U1j to 'e 1ero. .( setting t$em to 1ero, we re testing model in w$i%$ we ssume
0j nd 1j do not vr( rndoml( %ross grou)s. ,n f%t, t$eir vrin%e is ssumed to 'e 1ero, so t$e(
re ssumed to 'e %onstnt or /nonvr(ing0 %ross grou)s. 2or exm)le, fixed, nonvr(ing inter%e)ts
would im)l( t$e grou) verge for t$e de)endent vri'le is ssumed to 'e e4ul in e%$ grou).
*lt$oug$ we t()i%ll( refer to t$is %onstrint s /fixing t$e inter%e)ts0 or /fixing t$e slo)es,0 t$e term is
somew$t loosel( ))lied, 'e%use we re rell( ssuming t$e( re fixed and nonvarying.
Intercept Model and Random Effects ANOVA
,n t$e sim)lest #3M model, t$ere re no )redi%tors. We $ve one level-! e4ution nd one level-2
e4ution5
0 ij j ij
Y R = +
w$ere Y is t$e de)endent vri'le, 0j is t$e inter%e)t, nd Rij is t$e residul or error. 0j %n 'e
t$oug$t of s t$e men of e%$ grou). +$e level-2 e4ution lso $s no )redi%tors in it6s sim)lest
form5
0 00 0 j j
U = +
w$ere
0j
is t$e de)endent vri'le,
00
is t$e level-2 inter%e)t, nd U
0j
is t$e level-2 error. ,n t$is
e4ution, 00 re)resents t$e grnd men or t$e men of t$e inter%e)ts. U0j re)resents t$e devition of
e%$ men from t$e grnd men. W$en t$e verge devition is lrge, t$ere re lrge grou)
differen%es.
,t %n 'e s$own t$t t$is is rell( t$e *N78* model. *N78* exmines t$e devitions of grou) mens
from t$e grnd men. .e%use we ssume t$t t$e grou) mens, re)resented '( 0j nd, t$us, t$eir
devitions re rndoml( vr(ing, t$is model is e4uivlent to t$e random effects *N78* model. We
%n rewrite our two #3M e4utions s single e4ution, if we )lug in t$e level-2 terms into level-!
e4ution.
00 0 ij j ij
Y U R = + +
,n t$is e4ution, 00 re)resents t$e grnd men, t$e U0j term re)resents t$e devitions from t$e men
(or men differen%es or tretment effe%t, if (ou would li&e", nd Rij re)resents t$e wit$in-grou) error or
vrition. ,n more mt$emti%ll( oriented *N78* text'oo&s, (ou will see n *N78* model written
somet$ing li&e5
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
,f t$e model is n rndom effe%ts *N78*, j is ssumed to $ve rndom distri'ution. ,n multilevel
regression, 'e%use we ssume U0j to vr( rndoml(, t$e sim)le #3M model wit$ no level-! or level-2
)redi%tors is e4uivlent to t$e rndom effe%ts *N78* model.
W$en we dd )redi%tors to t$e level-! e4ution, t$e( re %ovrites nd t$e model 'e%omes
rndom effe%ts *N978* in w$i%$ t$e mens re d:usted for t$e %ovrite.
Newsom 3
USP 656 Multilevel Regression
Winter 2006
Summary a!le
Random vs"
Fixed
#efinition Example $se in Multilevel
Regression
Varia!les Random variable5 (!" is ssumed to 'e mesured wit$
mesurement error. +$e s%ores re fun%tion of true
s%ore nd rndom error; (2" t$e vlues %ome from nd
re intended to generli1e to mu%$ lrger )o)ultion
of )ossi'le vlues wit$ %ertin )ro''ilit( distri'ution
(e.g., norml distri'ution"; (<" t$e num'er of vlues in
t$e stud( is smll reltive to t$e vlues of t$e vri'le s
it ))ers in t$e )o)ultion it is drwn from. Fixed
variable5 (!" ssumed to 'e mesured wit$out
mesurement error; (2" desired generli1tion to
)o)ultion or ot$er studies is to t$e sme vlues; (<"
t$e vri'le used in t$e stud( %ontins ll or most of t$e
vri'le6s vlues in t$e )o)ultion.
,t is im)ortnt to distinguis$ 'etween vri'le t$t is
varying nd vri'le t$t is random. * fixed vri'le
%n $ve different vlues, it is not ne%essril( invrint
(e4ul" %ross grou)s.
Random variable:
)$otogr)$s
re)resenting individuls
wit$ differing levels of
ttr%tiveness
mni)ulted in n
ex)eriment, %ensus
tr%&s
Fixed variable:
gender, r%e, or
intervention vs. %ontrol
grou).
Predi%tor
vri'les in M3R
generll(
ssumed to 'e
fixed
Effects Random effect5 (!" different sttisti%l model of
regression or *N78* model w$i%$ ssumes t$t n
inde)endent vri'le is rndom; (2" generll( used if
t$e levels of t$e inde)endent vri'le re t$oug$t to 'e
smll su'set of t$e )ossi'le vlues w$i%$ one wis$es
to generli1e to; (<" will )ro''l( )rodu%e lrger
stndrd errors (less )owerful". Fixed effect5 (!"
sttisti%l model t()i%ll( used in regression nd *N78*
ssuming inde)endent vri'le is fixed; (2"
generli1tion of t$e results ))l( to similr vlues of
inde)endent vri'le in t$e )o)ultion or in ot$er
studies; (<" will )ro''l( )rodu%e smller stndrd
errors (more )owerful".
Random effect5
rndom effe%ts *N78*,
rndom effe%ts
regression
Fixed effect5 fixed
effe%ts *N78*, fixed
effe%ts regression
,nter%e)t onl(
models in M3R
re e4uivlent to
rndom effe%ts
*N78* or
*N978*.
Coefficients Random coefficient: term ))lies onl( to M3R
nl(ses in w$i%$ inter%e)ts, slo)es, nd vrin%es %n
'e ssumed to 'e rndom. M3R nl(ses most
t()i%ll( ssume rndom %oeffi%ients. 7ne %n
%on%e)tuli1e t$e %oeffi%ients o'tined from t$e level-!
regressions s t()e of rndom vri'le w$i%$ %omes
from nd generli1es to distri'ution of )ossi'le vlues.
=rou)s re %on%eived of s su'set of t$e )ossi'le
grou)s.
Fixed coefficient: %oeffi%ient %n 'e fixed to 'e non-
vr(ing (invrint" %ross grou)s '( setting its 'etween
grou) vrin%e to 1ero.
Rndom %oeffi%ients must 'e vri'le %ross grou)s.
9on%e)tull(, fixed %oeffi%ients m( 'e invrint or
vr(ing %ross grou)s.
Random coefficient5
t$e level-2 )redi%tor,
verge in%ome, is
used to )redi%t s%$ool
)erformn%e in e%$
s%$ool. ,nter%e)t
vlues for s%$ool
)erformn%e re
ssumed to 'e
sm)le of t$e inter%e)ts
from lrger )o)ultion
of s%$ools.
Fixed coefficient5
slo)es or inter%e)ts
%onstrined to 'e e4ul
over different s%$ools.
.ot$ used in
M3R. Slo)es nd
inter%e)t vlues
%n 'e
%onsidered to 'e
fixed or rndom,
de)ending on
reser%$ers
ssum)tions nd
$ow t$e model is
s)e%ified. +$e
vrin%e of t$e
slo)es or
inter%e)ts re
%onsidered
rndom
%oeffi%ients.