Newsom 1

USP 656 Multilevel Regression

Winter 2006
kjgggggkkgkgfsdfk (i.e. 0 mg 5 mg !nd "0 mg#. $owever if t%e rese!r&%er w!nts to m!ke
inferen&es 'e(ond t%e )!rti&ul!r v!lues of t%e &g%dfdgfgdfgsfgsdfgsdfgdffffffffffkkkkkdfg%dg%'le used
in t%e stud( ! r!ndom effe&ts model is used. * &ommon e+!m)le would 'e t%e use of )u'li& !rt
works re)resenting low moder!te !nd &v'&'&'&v'&v'
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 'ot% level." &v&v'&v'v&' to v!r( r!ndoml( !&ross grou)s. /e&!use of
t%e !ssum)tions !'out t%eir error distri'utions we &!ll t%eir v!ri!n&es oo=var(U0j) !nd 11=var(U1j),
0r!ndom &oeffi&ients.1
,%is me!ns t%!t we &!n t%ink !'out 0j !nd 1j !s !kin to t%e r!ndom variables - des&ri'ed
!'ove. -nste!d of !ttem)ting to gener!li2e 'e(ond t%e )!rti&ul!r v!lues of t%e inde)endent v!ri!'le
we !re !ttem)ting to gener!li2e 'e(ond t%e )!rti&ul!r grou)s in t%e stud(. 3or inst!n&e we m!( %!ve
50 &om)!nies 'ut 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 '( def!ult. ,%!t is w%en (ou
first &onstru&t ! model U0j !nd U1j !re estim!ted '( def!ult. $owever t%e rese!r&%er %!s t%e &%oi&e
of setting U0j !nd U1j to 'e 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 'e 2ero so t%e(
!re !ssumed to 'e &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!'le is !ssumed to 'e 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)es1 t%e term is
somew%!t loosel( !))lied 'e&!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!'le 0j is t%e inter&e)t !nd Rij is t%e residu!l or error. 0j &!n 'e
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!'le
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 'e 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 '( 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+t'ooks (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 distri'ution. -n multilevel
regression 'e&!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 'e&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 'e 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 )ossi'le v!lues wit% ! &ert!in )ro'!'ilit( distri'ution
(e.g. norm!l distri'ution#; (<# t%e num'er of v!lues in
t%e stud( 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 dr!wn from. Fixed
variable6 ("# !ssumed to 'e 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!'le used in t%e stud( &ont!ins !ll or most of t%e
v!ri!'le7s v!lues in t%e )o)ul!tion.
-t is im)ort!nt to distinguis% 'etween ! v!ri!'le t%!t is
varying !nd ! v!ri!'le t%!t is random. * fi+ed v!ri!'le
&!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!'les in M4R
gener!ll(
!ssumed to 'e
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!'le is r!ndom; (2# gener!ll( used if
t%e levels of t%e inde)endent 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!li2e to; (<# will )ro'!'l( )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!'le is fi+ed; (2#
gener!li2!tion of t%e results !))l( to simil!r v!lues of
inde)endent v!ri!'le in t%e )o)ul!tion or in ot%er
studies; (<# will )ro'!'l( )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
'e !ssumed to 'e 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 o't!ined from t%e level."
regressions !s ! t()e of r!ndom v!ri!'le w%i&% &omes
from !nd gener!li2es to ! distri'ution of )ossi'le v!lues.
=rou)s !re &on&eived of !s ! su'set of t%e )ossi'le
grou)s.
Fixed coefficient: ! &oeffi&ient &!n 'e fi+ed to 'e non.
v!r(ing (inv!ri!nt# !&ross grou)s '( setting its 'etween
grou) v!ri!n&e to 2ero.
R!ndom &oeffi&ients must 'e v!ri!'le !&ross grou)s.
:on&e)tu!ll( fi+ed &oeffi&ients m!( 'e 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 'e !
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 'e e5u!l
over different s&%ools.
/ot% used in
M4R. Slo)es !nd
inter&e)t v!lues
&!n 'e
&onsidered to 'e
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.