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Var (U) and Var (U) ,: Fixed and Random Coefficients in Multilevel Regression

This document discusses key concepts in multilevel regression including: 1) Random effects models allow inferences to be made beyond the particular groups studied by modeling group-level variables as random effects with a probability distribution. 2) In multilevel regression, both intercepts and slopes can vary randomly across groups and their variances are estimated as random coefficients. 3) Researchers have the choice to fix intercepts and slopes by setting their variances to zero, assuming they are constant across groups. 4) The simplest multilevel model with no predictors is equivalent to a random effects ANOVA model that examines deviations of group means from the grand mean.

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0% found this document useful (0 votes)
23 views3 pages

Var (U) and Var (U) ,: Fixed and Random Coefficients in Multilevel Regression

This document discusses key concepts in multilevel regression including: 1) Random effects models allow inferences to be made beyond the particular groups studied by modeling group-level variables as random effects with a probability distribution. 2) In multilevel regression, both intercepts and slopes can vary randomly across groups and their variances are estimated as random coefficients. 3) Researchers have the choice to fix intercepts and slopes by setting their variances to zero, assuming they are constant across groups. 4) The simplest multilevel model with no predictors is equivalent to a random effects ANOVA model that examines deviations of group means from the grand mean.

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ricky5ricky
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Newsom 1

USP 656 Multilevel Regression


Winter 2006
sdfsdfdsfsdf (i.e., 0 mg, 5 mg, and 0 mg!. "owever, if t#e resear$#er wants to ma%e inferen$es
&e'ond t#e (arti$ular values of t#e $g#dfdgfgdfgsfgsdfgsdfgdffffffffff%%%%%dfg#dg#&le used in t#e stud',
a random effe$ts model is used. ) $ommon e*am(le would &e t#e use of (u&li$ art wor%s
re(resenting low, moderate, and $v&$&$&$v&$v&
Fixed and Random Coefficients in Multilevel Regression
+#e random vs. fi*ed d#gdfgdfgdfgdfgdfgdfgdf%and effe$ts is im(ortant in multilevel regression. ,n
multilevel regression models, &ot# level- $v$v&$v&v$& to var' randoml' a$ross grou(s. .e$ause of
t#e assum(tions a&out t#eir error distri&utions, we $all t#eir varian$es, oo=var(U0j) and 11=var(U1j),
/random $oeffi$ients.0
+#is means t#at we $an t#in% a&out 0j and 1j as a%in to t#e random variables , des$ri&ed
a&ove. ,nstead of attem(ting to generali1e &e'ond t#e (arti$ular values of t#e inde(endent varia&le,
we are attem(ting to generali1e &e'ond t#e (arti$ular grou(s in t#e stud'. 2or instan$e, we ma' #ave
50 $om(anies, &ut we wis# to generali1e to a larger universe of $om(anies w#en we e*amine t#e
means (inter$e(ts! or t#e *-' relations#i( (slo(es!.
,n "3M, varian$es for t#e inter$e(ts and slo(es are estimated &' default. +#at is, w#en 'ou
first $onstru$t a model, U0j and U1j are estimated &' default. "owever, t#e resear$#er #as t#e $#oi$e
of setting U0j and U1j to &e 1ero. .' setting t#em to 1ero, we are testing a model in w#i$# we assume
0j and 1j do not var' randoml' a$ross grou(s. ,n fa$t, t#eir varian$e is assumed to &e 1ero, so t#e'
are assumed to &e $onstant or /nonvar'ing0 a$ross grou(s. 2or e*am(le, fi*ed, nonvar'ing inter$e(ts
would im(l' t#e grou( average for t#e de(endent varia&le is assumed to &e e4ual in ea$# grou(.
)lt#oug# we t'(i$all' refer to t#is $onstraint as /fi*ing t#e inter$e(ts0 or /fi*ing t#e slo(es,0 t#e term is
somew#at loosel' a((lied, &e$ause we are reall' assuming t#e' are fi*ed and nonvarying.
Intercept Model and Random Effects ANOVA
,n t#e sim(lest "3M model, t#ere are no (redi$tors. We #ave one level- e4uation and one level-2
e4uation5
0 ij j ij
Y R = +
w#ere Y is t#e de(endent varia&le, 0j is t#e inter$e(t, and Rij is t#e residual or error. 0j $an &e
t#oug#t of as t#e mean of ea$# grou(. +#e level-2 e4uation also #as no (redi$tors in it6s sim(lest
form5
0 00 0 j j
U = +
w#ere
0j
is t#e de(endent varia&le,
00
is t#e level-2 inter$e(t, and U
0j
is t#e level-2 error. ,n t#is
e4uation, 00 re(resents t#e grand mean or t#e mean of t#e inter$e(ts. U0j re(resents t#e deviation of
ea$# mean from t#e grand mean. W#en t#e average deviation is large, t#ere are large grou(
differen$es.
,t $an &e s#own t#at t#is is reall' t#e )N78) model. )N78) e*amines t#e deviations of grou( means
from t#e grand mean. .e$ause we assume t#at t#e grou( means, re(resented &' 0j and, t#us, t#eir
deviations are randoml' var'ing, t#is model is e4uivalent to t#e random effects )N78) model. We
$an rewrite our two "3M e4uations as a single e4uation, if we (lug in t#e level-2 terms into level-
e4uation.
00 0 ij j ij
Y U R = + +
,n t#is e4uation, 00 re(resents t#e grand mean, t#e U0j term re(resents t#e deviations from t#e mean
(or mean differen$es or treatment effe$t, if 'ou would li%e!, and Rij re(resents t#e wit#in-grou( error or
variation. ,n more mat#emati$all' oriented )N78) te*t&oo%s, 'ou will see an )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 an random effe$ts )N78), j is assumed to #ave a random distri&ution. ,n multilevel
regression, &e$ause we assume U0j to var' randoml', t#e sim(le "3M model wit# no level- or level-2
(redi$tors is e4uivalent to t#e random effe$ts )N78) model.
W#en we add (redi$tors to t#e level- e4uation, t#e' are $ovariates and t#e model &e$omes a
random effe$ts )N978) in w#i$# t#e means are ad:usted for t#e $ovariate.
Newsom 3
USP 656 Multilevel Regression
Winter 2006
Summary a!le
Random vs"
Fixed
#efinition Example $se in Multilevel
Regression
Varia!les Random variable5 (! is assumed to &e measured wit#
measurement error. +#e s$ores are a fun$tion of a true
s$ore and random error; (2! t#e values $ome from and
are intended to generali1e to a mu$# larger (o(ulation
of (ossi&le values wit# a $ertain (ro&a&ilit' distri&ution
(e.g., normal distri&ution!; (<! t#e num&er of values in
t#e stud' is small relative to t#e values of t#e varia&le as
it a((ears in t#e (o(ulation it is drawn from. Fixed
variable5 (! assumed to &e measured wit#out
measurement error; (2! desired generali1ation to
(o(ulation or ot#er studies is to t#e same values; (<!
t#e varia&le used in t#e stud' $ontains all or most of t#e
varia&le6s values in t#e (o(ulation.
,t is im(ortant to distinguis# &etween a varia&le t#at is
varying and a varia&le t#at is random. ) fi*ed varia&le
$an #ave different values, it is not ne$essaril' invariant
(e4ual! a$ross grou(s.
Random variable:
(#otogra(#s
re(resenting individuals
wit# differing levels of
attra$tiveness
mani(ulated in an
e*(eriment, $ensus
tra$%s
Fixed variable:
gender, ra$e, or
intervention vs. $ontrol
grou(.
Predi$tor
varia&les in M3R
generall'
assumed to &e
fi*ed
Effects Random effect5 (! different statisti$al model of
regression or )N78) model w#i$# assumes t#at an
inde(endent varia&le is random; (2! generall' used if
t#e levels of t#e inde(endent varia&le are t#oug#t to &e
a small su&set of t#e (ossi&le values w#i$# one wis#es
to generali1e to; (<! will (ro&a&l' (rodu$e larger
standard errors (less (owerful!. Fixed effect5 (!
statisti$al model t'(i$all' used in regression and )N78)
assuming inde(endent varia&le is fi*ed; (2!
generali1ation of t#e results a((l' to similar values of
inde(endent varia&le in t#e (o(ulation or in ot#er
studies; (<! will (ro&a&l' (rodu$e smaller standard
errors (more (owerful!.
Random effect5
random effe$ts )N78),
random effe$ts
regression
Fixed effect5 fi*ed
effe$ts )N78), fi*ed
effe$ts regression
,nter$e(t onl'
models in M3R
are e4uivalent to
random effe$ts
)N78) or
)N978).
Coefficients Random coefficient: term a((lies onl' to M3R
anal'ses in w#i$# inter$e(ts, slo(es, and varian$es $an
&e assumed to &e random. M3R anal'ses most
t'(i$all' assume random $oeffi$ients. 7ne $an
$on$e(tuali1e t#e $oeffi$ients o&tained from t#e level-
regressions as a t'(e of random varia&le w#i$# $omes
from and generali1es to a distri&ution of (ossi&le values.
=rou(s are $on$eived of as a su&set of t#e (ossi&le
grou(s.
Fixed coefficient: a $oeffi$ient $an &e fi*ed to &e non-
var'ing (invariant! a$ross grou(s &' setting its &etween
grou( varian$e to 1ero.
Random $oeffi$ients must &e varia&le a$ross grou(s.
9on$e(tuall', fi*ed $oeffi$ients ma' &e invariant or
var'ing a$ross grou(s.
Random coefficient5
t#e level-2 (redi$tor,
average in$ome, is
used to (redi$t s$#ool
(erforman$e in ea$#
s$#ool. ,nter$e(t
values for s$#ool
(erforman$e are
assumed to &e a
sam(le of t#e inter$e(ts
from a larger (o(ulation
of s$#ools.
Fixed coefficient5
slo(es or inter$e(ts
$onstrained to &e e4ual
over different s$#ools.
.ot# used in
M3R. Slo(es and
inter$e(t values
$an &e
$onsidered to &e
fi*ed or random,
de(ending on
resear$#ers
assum(tions and
#ow t#e model is
s(e$ified. +#e
varian$e of t#e
slo(es or
inter$e(ts are
$onsidered
random
$oeffi$ients.

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