Newsom 1

USP 656 Multilevel Regression

Winter 2006
bvnvnvnnvnfjfk (i.e. 0 mg 5 mg !n" #0 mg$. %owever if t&e rese!r'&er w!nts to m!ke inferen'es
be(on" t&e )!rti'ul!r v!lues of t&e 'g&"f"gfg"fgsfgs"fgs"fg"ffffffffffkkkkk"fg&"g&ble use" in t&e stu"(
! r!n"om effe'ts mo"el is use". * 'ommon e+!m)le woul" be t&e use of )ubli' !rt works
re)resenting low mo"er!te !n" 'vb'b'b'vb'vb
Fixed and Random Coefficients in Multilevel Regression
,&e r!n"om vs. fi+e" "&g"fg"fg"fg"fg"fg"fg"fk!n" effe'ts is im)ort!nt in multilevel regression. -n
multilevel regression mo"els bot& level.# 'v'vb'vbv'b to v!r( r!n"oml( !'ross grou)s. /e'!use of
t&e !ssum)tions !bout t&eir error "istributions we '!ll t&eir v!ri!n'es oo=var(U0j) !n" 11=var(U1j),
0r!n"om 'oeffi'ients.1
,&is me!ns t&!t we '!n t&ink !bout 0j !n" 1j !s !kin to t&e r!n"om variables - "es'ribe"
!bove. -nste!" of !ttem)ting to gener!li2e be(on" t&e )!rti'ul!r v!lues of t&e in"e)en"ent v!ri!ble
we !re !ttem)ting to gener!li2e be(on" t&e )!rti'ul!r grou)s in t&e stu"(. 3or inst!n'e we m!( &!ve
50 'om)!nies but we wis& to gener!li2e to ! l!rger universe of 'om)!nies w&en we e+!mine t&e
me!ns (inter'e)ts$ or t&e +.( rel!tions&i) (slo)es$.
-n %4M v!ri!n'es for t&e inter'e)ts !n" slo)es !re estim!te" b( "ef!ult. ,&!t is w&en (ou
first 'onstru't ! mo"el U0j !n" U1j !re estim!te" b( "ef!ult. %owever t&e rese!r'&er &!s t&e '&oi'e
of setting U0j !n" U1j to be 2ero. /( setting t&em to 2ero 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 be 2ero so t&e(
!re !ssume" to be 'onst!nt or 0nonv!r(ing1 !'ross grou)s. 3or 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!ble is !ssume" 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)es1 t&e term is
somew&!t loosel( !))lie" be'!use we !re re!ll( !ssuming t&e( !re fi+e" and nonvarying.
Intercept Model and Random Effects ANOVA
-n t&e sim)lest %4M mo"el t&ere !re no )re"i'tors. We &!ve one level.# e5u!tion !n" one level.2
e5u!tion6
0 ij j ij
Y R = +
w&ere Y is t&e "e)en"ent v!ri!ble 0j is t&e inter'e)t !n" Rij is t&e resi"u!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 )re"i'tors in it7s sim)lest
form6
0 00 0 j j
U = +
w&ere
0j
is t&e "e)en"ent v!ri!ble
00
is t&e level.2 inter'e)t !n" U
0j
is t&e level.2 error. -n t&is
e5u!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 be s&own t&!t t&is is re!ll( t&e *N89* mo"el. *N89* e+!mines t&e "evi!tions of grou) me!ns
from t&e gr!n" me!n. /e'!use we !ssume t&!t t&e grou) me!ns re)resente" b( 0j !n" t&us t&eir
"evi!tions !re r!n"oml( v!r(ing t&is mo"el is e5uiv!lent to t&e random effects *N89* mo"el. 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!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&in.grou) error or
v!ri!tion. -n more m!t&em!ti'!ll( oriente" *N89* te+tbooks (ou will see !n *N89* mo"el written
somet&ing like6
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 *N89* j is !ssume" to &!ve ! r!n"om "istribution. -n multilevel
regression be'!use we !ssume U0j to v!r( r!n"oml( t&e sim)le %4M mo"el wit& no level.# or level.2
)re"i'tors is e5uiv!lent to t&e r!n"om effe'ts *N89* mo"el.
W&en we !"" )re"i'tors to t&e level.# e5u!tion t&e( !re 'ov!ri!tes !n" t&e mo"el be'omes !
r!n"om effe'ts *N:89* 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 $se in Multilevel
Regression
Varia!les Random variable6 (#$ is !ssume" to be 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!li2e to ! mu'& l!rger )o)ul!tion
of )ossible v!lues wit& ! 'ert!in )rob!bilit( "istribution
(e.g. norm!l "istribution$; (<$ t&e number of v!lues in
t&e stu"( 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 "r!wn from. Fixed
variable6 (#$ !ssume" to be me!sure" wit&out
me!surement error; (2$ "esire" gener!li2!tion to
)o)ul!tion or ot&er stu"ies is to t&e s!me v!lues; (<$
t&e v!ri!ble use" in t&e stu"( '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 "istinguis& between ! v!ri!ble t&!t is
varying !n" ! v!ri!ble t&!t is random. * fi+e" v!ri!ble
'!n &!ve "ifferent v!lues it is not ne'ess!ril( inv!ri!nt
(e5u!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!bles in M4R
gener!ll(
!ssume" to be
fi+e"
Effects Random effect6 (#$ "ifferent st!tisti'!l mo"el of
regression or *N89* mo"el w&i'& !ssumes t&!t !n
in"e)en"ent v!ri!ble is r!n"om; (2$ gener!ll( use" if
t&e levels of t&e in"e)en"ent 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( )ro"u'e l!rger
st!n"!r" errors (less )owerful$. Fixed effect6 (#$
st!tisti'!l mo"el t()i'!ll( use" in regression !n" *N89*
!ssuming in"e)en"ent v!ri!ble is fi+e"; (2$
gener!li2!tion of t&e results !))l( to simil!r v!lues of
in"e)en"ent v!ri!ble in t&e )o)ul!tion or in ot&er
stu"ies; (<$ will )rob!bl( )ro"u'e sm!ller st!n"!r"
errors (more )owerful$.
Random effect6
r!n"om effe'ts *N89*
r!n"om effe'ts
regression
Fixed effect6 fi+e"
effe'ts *N89* fi+e"
effe'ts regression
-nter'e)t onl(
mo"els in M4R
!re e5uiv!lent to
r!n"om effe'ts
*N89* or
*N:89*.
Coefficients Random coefficient: term !))lies onl( to M4R
!n!l(ses in w&i'& inter'e)ts slo)es !n" v!ri!n'es '!n
be !ssume" to be r!n"om. M4R !n!l(ses most
t()i'!ll( !ssume r!n"om 'oeffi'ients. 8ne '!n
'on'e)tu!li2e t&e 'oeffi'ients obt!ine" from t&e level.#
regressions !s ! t()e of r!n"om v!ri!ble w&i'& 'omes
from !n" gener!li2es to ! "istribution of )ossible v!lues.
=rou)s !re 'on'eive" of !s ! subset of t&e )ossible
grou)s.
Fixed coefficient: ! 'oeffi'ient '!n be fi+e" to be non.
v!r(ing (inv!ri!nt$ !'ross grou)s b( setting its between
grou) v!ri!n'e to 2ero.
R!n"om 'oeffi'ients must be v!ri!ble !'ross grou)s.
:on'e)tu!ll( fi+e" 'oeffi'ients m!( be inv!ri!nt or
v!r(ing !'ross grou)s.
Random coefficient6
t&e level.2 )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 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!ine" to be e5u!l
over "ifferent s'&ools.
/ot& use" in
M4R. Slo)es !n"
inter'e)t v!lues
'!n be
'onsi"ere" to be
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.