Newsom 1

USP 656 Multilevel Regression

Winter 2006
Vmknjk,,n,nnn7f i!e!, 0 mg, 5 mg, "n# $0 mg%! &owever, if t'e rese"r('er w"nts to m"ke inferen(es
)e*on# t'e +"rti(ul"r v"lues of t'e (g'#f#gfg#fgsfgs#fgs#fg#ffffffffffkkkkk#fg'#g')le use# in t'e stu#*,
" r"n#om effe(ts mo#el is use#! , (ommon e-"m+le woul# )e t'e use of +u)li( "rt works
re+resenting low, mo#er"te, "n# (v)()()(v)(v)
Fixed and Random Coefficients in Multilevel Regression
.'e r"n#om vs! fi-e# #'g#fg#fg#fg#fg#fg#fg#fk"n# effe(ts is im+ort"nt in multilevel regression! /n
multilevel regression mo#els, )ot' level0$ (v(v)(v)v() to v"r* r"n#oml* "(ross grou+s! 1e("use of
t'e "ssum+tions ")out t'eir error #istri)utions, we ("ll t'eir v"ri"n(es, oo=var(U0j) "n# 11=var(U1j),
2r"n#om (oeffi(ients!3
.'is me"ns t'"t we ("n t'ink ")out 0j "n# 1j "s "kin to t'e r"n#om variables / #es(ri)e#
")ove! /nste"# of "ttem+ting to gener"li4e )e*on# t'e +"rti(ul"r v"lues of t'e in#e+en#ent v"ri")le,
we "re "ttem+ting to gener"li4e )e*on# t'e +"rti(ul"r grou+s in t'e stu#*! 5or inst"n(e, we m"* '"ve
50 (om+"nies, )ut we wis' to gener"li4e to " l"rger universe of (om+"nies w'en we e-"mine t'e
me"ns inter(e+ts% or t'e -0* rel"tions'i+ slo+es%!
/n &6M, v"ri"n(es for t'e inter(e+ts "n# slo+es "re estim"te# )* #ef"ult! .'"t is, w'en *ou
first (onstru(t " mo#el, U0j "n# U1j "re estim"te# )* #ef"ult! &owever, t'e rese"r('er '"s t'e ('oi(e
of setting U0j "n# U1j to )e 4ero! 1* setting t'em to 4ero, we "re testing " mo#el in w'i(' we "ssume
0j "n# 1j #o not v"r* r"n#oml* "(ross grou+s! /n f"(t, t'eir v"ri"n(e is "ssume# to )e 4ero, so t'e*
"re "ssume# to )e (onst"nt or 2nonv"r*ing3 "(ross grou+s! 5or e-"m+le, fi-e#, nonv"r*ing inter(e+ts
woul# im+l* t'e grou+ "ver"ge for t'e #e+en#ent v"ri")le is "ssume# to )e e7u"l in e"(' grou+!
,lt'oug' we t*+i("ll* refer to t'is (onstr"int "s 2fi-ing t'e inter(e+ts3 or 2fi-ing t'e slo+es,3 t'e term is
somew'"t loosel* "++lie#, )e("use we "re re"ll* "ssuming t'e* "re fi-e# and nonvarying!
Intercept Model and Random Effects ANOVA
/n t'e sim+lest &6M mo#el, t'ere "re no +re#i(tors! We '"ve one level0$ e7u"tion "n# one level02
e7u"tion8
0 ij j ij
Y R = +
w'ere Y is t'e #e+en#ent v"ri")le, 0j is t'e inter(e+t, "n# Rij is t'e resi#u"l or error! 0j ("n )e
t'oug't of "s t'e me"n of e"(' grou+! .'e level02 e7u"tion "lso '"s no +re#i(tors in it9s sim+lest
form8
0 00 0 j j
U = +
w'ere
0j
is t'e #e+en#ent v"ri")le,
00
is t'e level02 inter(e+t, "n# U
0j
is t'e level02 error! /n t'is
e7u"tion, 00 re+resents t'e gr"n# me"n or t'e me"n of t'e inter(e+ts! U0j re+resents t'e #evi"tion of
e"(' me"n from t'e gr"n# me"n! W'en t'e "ver"ge #evi"tion is l"rge, t'ere "re l"rge grou+
#ifferen(es!
/t ("n )e s'own t'"t t'is is re"ll* t'e ,N:V, mo#el! ,N:V, e-"mines t'e #evi"tions of grou+ me"ns
from t'e gr"n# me"n! 1e("use we "ssume t'"t t'e grou+ me"ns, re+resente# )* 0j "n#, t'us, t'eir
#evi"tions "re r"n#oml* v"r*ing, t'is mo#el is e7uiv"lent to t'e random effects ,N:V, mo#el! We
("n rewrite our two &6M e7u"tions "s " single e7u"tion, if we +lug in t'e level02 terms into level0$
e7u"tion!
00 0 ij j ij
Y U R = + +
/n t'is e7u"tion, 00 re+resents t'e gr"n# me"n, t'e U0j term re+resents t'e #evi"tions from t'e me"n
or me"n #ifferen(es or tre"tment effe(t, if *ou woul# like%, "n# Rij re+resents t'e wit'in0grou+ error or
v"ri"tion! /n more m"t'em"ti("ll* oriente# ,N:V, te-t)ooks, *ou will see "n ,N:V, mo#el written
somet'ing like8
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
/f t'e mo#el is "n r"n#om effe(ts ,N:V,, j is "ssume# to '"ve " r"n#om #istri)ution! /n multilevel
regression, )e("use we "ssume U0j to v"r* r"n#oml*, t'e sim+le &6M mo#el wit' no level0$ or level02
+re#i(tors is e7uiv"lent to t'e r"n#om effe(ts ,N:V, mo#el!
W'en we "## +re#i(tors to t'e level0$ e7u"tion, t'e* "re (ov"ri"tes "n# t'e mo#el )e(omes "
r"n#om effe(ts ,N;:V, in w'i(' t'e me"ns "re "#juste# 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 variable8 $% is "ssume# to )e me"sure# wit'
me"surement error! .'e s(ores "re " fun(tion of " true
s(ore "n# r"n#om error< 2% t'e v"lues (ome from "n#
"re inten#e# to gener"li4e to " mu(' l"rger +o+ul"tion
of +ossi)le v"lues wit' " (ert"in +ro)")ilit* #istri)ution
e!g!, norm"l #istri)ution%< =% t'e num)er of v"lues in
t'e stu#* is sm"ll rel"tive to t'e v"lues of t'e v"ri")le "s
it "++e"rs in t'e +o+ul"tion it is #r"wn from! Fixed
variable8 $% "ssume# to )e me"sure# wit'out
me"surement error< 2% #esire# gener"li4"tion to
+o+ul"tion or ot'er stu#ies is to t'e s"me v"lues< =%
t'e v"ri")le use# in t'e stu#* (ont"ins "ll or most of t'e
v"ri")le9s v"lues in t'e +o+ul"tion!
/t is im+ort"nt to #istinguis' )etween " v"ri")le t'"t is
varying "n# " v"ri")le t'"t is random! , fi-e# v"ri")le
("n '"ve #ifferent v"lues, it is not ne(ess"ril* inv"ri"nt
e7u"l% "(ross grou+s!
Random variable:
+'otogr"+'s
re+resenting in#ivi#u"ls
wit' #iffering levels of
"ttr"(tiveness
m"ni+ul"te# in "n
e-+eriment, (ensus
tr"(ks
Fixed variable:
gen#er, r"(e, or
intervention vs! (ontrol
grou+!
Pre#i(tor
v"ri")les in M6R
gener"ll*
"ssume# to )e
fi-e#
Effects Random effect8 $% #ifferent st"tisti("l mo#el of
regression or ,N:V, mo#el w'i(' "ssumes t'"t "n
in#e+en#ent v"ri")le is r"n#om< 2% gener"ll* use# if
t'e levels of t'e in#e+en#ent v"ri")le "re t'oug't to )e
" sm"ll su)set of t'e +ossi)le v"lues w'i(' one wis'es
to gener"li4e to< =% will +ro)")l* +ro#u(e l"rger
st"n#"r# errors less +owerful%! Fixed effect8 $%
st"tisti("l mo#el t*+i("ll* use# in regression "n# ,N:V,
"ssuming in#e+en#ent v"ri")le is fi-e#< 2%
gener"li4"tion of t'e results "++l* to simil"r v"lues of
in#e+en#ent v"ri")le in t'e +o+ul"tion or in ot'er
stu#ies< =% will +ro)")l* +ro#u(e sm"ller st"n#"r#
errors more +owerful%!
Random effect8
r"n#om effe(ts ,N:V,,
r"n#om effe(ts
regression
Fixed effect8 fi-e#
effe(ts ,N:V,, fi-e#
effe(ts regression
/nter(e+t onl*
mo#els in M6R
"re e7uiv"lent to
r"n#om effe(ts
,N:V, or
,N;:V,!
Coefficients Random coefficient: term "++lies onl* to M6R
"n"l*ses in w'i(' inter(e+ts, slo+es, "n# v"ri"n(es ("n
)e "ssume# to )e r"n#om! M6R "n"l*ses most
t*+i("ll* "ssume r"n#om (oeffi(ients! :ne ("n
(on(e+tu"li4e t'e (oeffi(ients o)t"ine# from t'e level0$
regressions "s " t*+e of r"n#om v"ri")le w'i(' (omes
from "n# gener"li4es to " #istri)ution of +ossi)le v"lues!
>rou+s "re (on(eive# of "s " su)set of t'e +ossi)le
grou+s!
Fixed coefficient: " (oeffi(ient ("n )e fi-e# to )e non0
v"r*ing inv"ri"nt% "(ross grou+s )* setting its )etween
grou+ v"ri"n(e to 4ero!
R"n#om (oeffi(ients must )e v"ri")le "(ross grou+s!
;on(e+tu"ll*, fi-e# (oeffi(ients m"* )e inv"ri"nt or
v"r*ing "(ross grou+s!
Random coefficient8
t'e level02 +re#i(tor,
"ver"ge in(ome, is
use# to +re#i(t s('ool
+erform"n(e in e"('
s('ool! /nter(e+t
v"lues for s('ool
+erform"n(e "re
"ssume# to )e "
s"m+le of t'e inter(e+ts
from " l"rger +o+ul"tion
of s('ools!
Fixed coefficient8
slo+es or inter(e+ts
(onstr"ine# to )e e7u"l
over #ifferent s('ools!
1ot' use# in
M6R! Slo+es "n#
inter(e+t v"lues
("n )e
(onsi#ere# to )e
fi-e# or r"n#om,
#e+en#ing on
rese"r('ers
"ssum+tions "n#
'ow t'e mo#el is
s+e(ifie#! .'e
v"ri"n(e of t'e
slo+es or
inter(e+ts "re
(onsi#ere#
r"n#om
(oeffi(ients!