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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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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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.