Newsom 1

USP 656 Multilevel Regression

Winter 2006
bjkjdsfsdfsdfsdfsdfk (ie! 0 mg! 5 mg! "nd #0 mg$ %owever! if t&e rese"r'&er w"nts to m"ke
inferen'es be(ond t&e )"rti'ul"r v"lues of t&e 'g&dfdgfgdfgsfgsdfgsdfgdffffffffffkkkkkdfg&dg&ble used
in t&e stud(! " r"ndom effe'ts model is used * 'ommon e+"m)le would be t&e use of )ubli' "rt
works re)resenting low! moder"te! "nd 'vb'b'b'vb'vb
Fixed and Random Coefficients in Multilevel Regression
,&e r"ndom vs fi+ed d&gdfgdfgdfgdfgdfgdfgdfk"nd effe'ts is im)ort"nt in multilevel regression -n
multilevel regression models! bot& level.# 'v'vb'vbv'b to v"r( r"ndoml( "'ross grou)s /e'"use of
t&e "ssum)tions "bout t&eir error distributions! we '"ll t&eir v"ri"n'es! oo=var(U0j) "nd 11=var(U1j),
0r"ndom 'oeffi'ients1
,&is me"ns t&"t we '"n t&ink "bout 0j "nd 1j "s "kin to t&e r"ndom variables - des'ribed
"bove -nste"d of "ttem)ting to gener"li2e be(ond t&e )"rti'ul"r v"lues of t&e inde)endent v"ri"ble!
we "re "ttem)ting to gener"li2e be(ond t&e )"rti'ul"r grou)s in t&e stud( 3or inst"n'e! we m"( &"ve
50 'om)"nies! but we wis& to gener"li2e to " l"rger universe of 'om)"nies w&en we e+"mine t&e
me"ns (inter'e)ts$ or t&e +.( rel"tions&i) (slo)es$
-n %4M! v"ri"n'es for t&e inter'e)ts "nd slo)es "re estim"ted b( def"ult ,&"t is! w&en (ou
first 'onstru't " model! U0j "nd U1j "re estim"ted b( def"ult %owever! t&e rese"r'&er &"s t&e '&oi'e
of setting U0j "nd U1j to be 2ero /( setting t&em to 2ero! we "re testing " model in w&i'& we "ssume
0j "nd 1j do not v"r( r"ndoml( "'ross grou)s -n f"'t! t&eir v"ri"n'e is "ssumed to be 2ero! so t&e(
"re "ssumed to be 'onst"nt or 0nonv"r(ing1 "'ross grou)s 3or e+"m)le! fi+ed! nonv"r(ing inter'e)ts
would im)l( t&e grou) "ver"ge for t&e de)endent v"ri"ble is "ssumed to be e5u"l in e"'& grou)
*lt&oug& we t()i'"ll( refer to t&is 'onstr"int "s 0fi+ing t&e inter'e)ts1 or 0fi+ing t&e slo)es!1 t&e term is
somew&"t loosel( "))lied! be'"use we "re re"ll( "ssuming t&e( "re fi+ed and nonvarying
Intercept Model and Random Effects ANOVA
-n t&e sim)lest %4M model! t&ere "re no )redi'tors We &"ve one level.# e5u"tion "nd one level.2
e5u"tion6
0 ij j ij
Y R = +
w&ere Y is t&e de)endent v"ri"ble! 0j is t&e inter'e)t! "nd Rij is t&e residu"l or error 0j '"n be
t&oug&t of "s t&e me"n of e"'& grou) ,&e level.2 e5u"tion "lso &"s no )redi'tors in it7s sim)lest
form6
0 00 0 j j
U = +
w&ere
0j
is t&e de)endent v"ri"ble!
00
is t&e level.2 inter'e)t! "nd U
0j
is t&e level.2 error -n t&is
e5u"tion! 00 re)resents t&e gr"nd me"n or t&e me"n of t&e inter'e)ts U0j re)resents t&e devi"tion of
e"'& me"n from t&e gr"nd me"n W&en t&e "ver"ge devi"tion is l"rge! t&ere "re l"rge grou)
differen'es
-t '"n be s&own t&"t t&is is re"ll( t&e *N89* model *N89* e+"mines t&e devi"tions of grou) me"ns
from t&e gr"nd me"n /e'"use we "ssume t&"t t&e grou) me"ns! re)resented b( 0j "nd! t&us! t&eir
devi"tions "re r"ndoml( v"r(ing! t&is model is e5uiv"lent to t&e random effects *N89* model We
'"n rewrite our two %4M e5u"tions "s " single e5u"tion! if we )lug in t&e level.2 terms into level.#
e5u"tion
00 0 ij j ij
Y U R = + +
-n t&is e5u"tion! 00 re)resents t&e gr"nd me"n! t&e U0j term re)resents t&e devi"tions from t&e me"n
(or me"n differen'es or tre"tment effe't! if (ou would like$! "nd Rij re)resents t&e wit&in.grou) error or
v"ri"tion -n more m"t&em"ti'"ll( oriented *N89* te+tbooks! (ou will see "n *N89* model written
somet&ing like6
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
-f t&e model is "n r"ndom effe'ts *N89*! j is "ssumed to &"ve " r"ndom distribution -n multilevel
regression! be'"use we "ssume U0j to v"r( r"ndoml(! t&e sim)le %4M model wit& no level.# or level.2
)redi'tors is e5uiv"lent to t&e r"ndom effe'ts *N89* model
W&en we "dd )redi'tors to t&e level.# e5u"tion! t&e( "re 'ov"ri"tes "nd t&e model be'omes "
r"ndom effe'ts *N:89* in w&i'& t&e me"ns "re "djusted for t&e 'ov"ri"te
Newsom 3
USP 656 Multilevel Regression
Winter 2006
Summary a!le
Random vs"
Fixed
#efinition Example $se in Multilevel
Regression
Varia!les Random variable6 (#$ is "ssumed to be me"sured wit&
me"surement error ,&e s'ores "re " fun'tion of " true
s'ore "nd r"ndom error; (2$ t&e v"lues 'ome from "nd
"re intended to gener"li2e to " mu'& l"rger )o)ul"tion
of )ossible v"lues wit& " 'ert"in )rob"bilit( distribution
(eg! norm"l distribution$; (<$ t&e number of v"lues in
t&e stud( is sm"ll rel"tive to t&e v"lues of t&e v"ri"ble "s
it "))e"rs in t&e )o)ul"tion it is dr"wn from Fixed
variable6 (#$ "ssumed to be me"sured wit&out
me"surement error; (2$ desired gener"li2"tion to
)o)ul"tion or ot&er studies is to t&e s"me v"lues; (<$
t&e v"ri"ble used in t&e stud( 'ont"ins "ll or most of t&e
v"ri"ble7s v"lues in t&e )o)ul"tion
-t is im)ort"nt to distinguis& between " v"ri"ble t&"t is
varying "nd " v"ri"ble t&"t is random * fi+ed v"ri"ble
'"n &"ve different v"lues! it is not ne'ess"ril( inv"ri"nt
(e5u"l$ "'ross grou)s
Random variable:
)&otogr")&s
re)resenting individu"ls
wit& differing levels of
"ttr"'tiveness
m"ni)ul"ted in "n
e+)eriment! 'ensus
tr"'ks
Fixed variable:
gender! r"'e! or
intervention vs 'ontrol
grou)
Predi'tor
v"ri"bles in M4R
gener"ll(
"ssumed to be
fi+ed
Effects Random effect6 (#$ different st"tisti'"l model of
regression or *N89* model w&i'& "ssumes t&"t "n
inde)endent v"ri"ble is r"ndom; (2$ gener"ll( used if
t&e levels of t&e inde)endent v"ri"ble "re t&oug&t to be
" sm"ll subset of t&e )ossible v"lues w&i'& one wis&es
to gener"li2e to; (<$ will )rob"bl( )rodu'e l"rger
st"nd"rd errors (less )owerful$ Fixed effect6 (#$
st"tisti'"l model t()i'"ll( used in regression "nd *N89*
"ssuming inde)endent v"ri"ble is fi+ed; (2$
gener"li2"tion of t&e results "))l( to simil"r v"lues of
inde)endent v"ri"ble in t&e )o)ul"tion or in ot&er
studies; (<$ will )rob"bl( )rodu'e sm"ller st"nd"rd
errors (more )owerful$
Random effect6
r"ndom effe'ts *N89*!
r"ndom effe'ts
regression
Fixed effect6 fi+ed
effe'ts *N89*! fi+ed
effe'ts regression
-nter'e)t onl(
models in M4R
"re e5uiv"lent to
r"ndom effe'ts
*N89* or
*N:89*
Coefficients Random coefficient: term "))lies onl( to M4R
"n"l(ses in w&i'& inter'e)ts! slo)es! "nd v"ri"n'es '"n
be "ssumed to be r"ndom M4R "n"l(ses most
t()i'"ll( "ssume r"ndom 'oeffi'ients 8ne '"n
'on'e)tu"li2e t&e 'oeffi'ients obt"ined from t&e level.#
regressions "s " t()e of r"ndom v"ri"ble w&i'& 'omes
from "nd gener"li2es to " distribution of )ossible v"lues
=rou)s "re 'on'eived of "s " subset of t&e )ossible
grou)s
Fixed coefficient: " 'oeffi'ient '"n be fi+ed to be non.
v"r(ing (inv"ri"nt$ "'ross grou)s b( setting its between
grou) v"ri"n'e to 2ero
R"ndom 'oeffi'ients must be v"ri"ble "'ross grou)s
:on'e)tu"ll(! fi+ed 'oeffi'ients m"( be inv"ri"nt or
v"r(ing "'ross grou)s
Random coefficient6
t&e level.2 )redi'tor!
"ver"ge in'ome! is
used to )redi't s'&ool
)erform"n'e in e"'&
s'&ool -nter'e)t
v"lues for s'&ool
)erform"n'e "re
"ssumed to be "
s"m)le of t&e inter'e)ts
from " l"rger )o)ul"tion
of s'&ools
Fixed coefficient6
slo)es or inter'e)ts
'onstr"ined to be e5u"l
over different s'&ools
/ot& used in
M4R Slo)es "nd
inter'e)t v"lues
'"n be
'onsidered to be
fi+ed or r"ndom!
de)ending on
rese"r'&ers
"ssum)tions "nd
&ow t&e model is
s)e'ified ,&e
v"ri"n'e of t&e
slo)es or
inter'e)ts "re
'onsidered
r"ndom
'oeffi'ients