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1 18
5.7 Complete Examples of Regression Analysis 138 6.5.4.3 Specific Comparisons and
5.7.1 Evaluation of Assumptions 139 Trend Analysis ISS
5.7.1.1 Ratio of Cases to IVs 139 6.5.4.4 Effect Size 187
5.7.12 Normality, Linearity, 6.5.5 Alternatives to ANCOVA 187
Homoscedasticity, and 6.6 Complete Example of Analysis of Covariance 189
Independence of Residuals 139 6.6.1 Evaluation of Assumptions 189
5.7.1.3 Outliers 142 6.6.1.1 Unequal 11 and Missing Oat• 189
5.7.1.4 Multicollinearity and Singularity 144 6.6.1.2 Normality 189
5.7.2 Standard Multiple Regression 144 6.6.1.3 Linearity 191
5.7.3 Sequential Regression 150 6.6.1.4 Outliers 191
5.7.4 Example of Standard Multiple 6.6.1.5 Multicollinearity and Singularity 192
Regression with Missing Values 6.6.1.6 Homogeneity of Variance 192
Multiply Imputed 154 6.6.1.7 Homogeneity of Regression 193
5.8 Comparison of Programs 162 6.6.1.8 Reliability of Covariates 193
5.8.1 ffiM SPSS Package 163 6.6.2 Analysis of Covariance 193
5.8.2 SAS System 165 6.6.2.1 Main Analysis 193
5.8.3 SYSTATSystem 166 6.6.2.2 Evaluation of Covariates 196
6.6.2.3 Homogeneity of Regression Run 196
6 Analysis of Covariance 167 6.7 Comparison of Programs 200
6.1 General Purpose and Description 167 6.7.1 IBM SPSS Package 200
6.7.2 SAS System 200
6.2 Kinds of Research Questions 170
6.7.3 SYSTAT System 200
6.2.1 Main Effects of !Vs 170
6.2.2 Interactions Among IVs 170
6.2.3 Specific Comparisons and Trend
7 Multivariate Analysis of
Analysis 170 Variance and Covariance 203
6.2.4 Effects of Covariates 170 7.1 General Purpose and Description 203
6.2.5 Effect Size 171 7 2 Kinds of Research Questions 206
6.2.6 Parameter Estimates 171 7.2.1 Main Effects ofiVs 206
6.3 Limitations to Analysis of Covariance 171 7.2.2 Interactions Among IVs 207
6.3.1 Theoretical Issues 171 7.2.3 Importance of DVs 207
6.3.2 Practical Issues 172 7.2.4 Parameter Estimates 207
6.3.2.1 Unequal Sample Sizes, Missing 7.2.5 Specific Comparisons
Data, and Ratio of Cases to IVs 172 and Trend Analysis 207
6.3.2.2 Absence of Outliers 172 7.2.6 Effect Size 208
6.3.2.3 Absence of Multicollinearity
7.2.7 Effects of Covariates 208
and Singularity 172
6.3.2.4 Normality of Sampling Distributions 173 7.2.8 Re peated-Measures Analysis
of Variance 208
6.3.2.5 Homogeneity of Variance 173
6.32.6 Linearity 173 7.3 Limitations to Multivariate Analysis
6.32.7 Homogeneity of Regression 173 of Variance and Covariance 208
6.3.2.8 Reliability of Co,•ariatcs 174 7.3.1 Theoretical Issues 208
6.4 Fundamental Equations for Analysis 7.3.2 Practica I Issues 209
of Covariance 174 7.3.2.1 Unequal Sample Sizes,
Missing Data, and Power 209
6.4.1 Sums of Squares and Cross-Products 175
7.3.2.2 Multivariate Normality 210
6.4.2 Significance Test and Effect Size 177
7.3.2.3 Absence of Outliers 210
6.4.3 Computer Analyses of Small-Sample
7.3.2.4 Homogeneity of Variance-
Example 178 Covariance Matrices 210
6.5 Some Important Issues 179 7.3.2.5 Linearity 211
6.5.1 Choosing Covariates 179 7.3.2.6 Homogeneity of Regression 211
6.5.2 Evaluation of Covariales 180 7.3.2.7 Reliability of Covariates 211
6.5.3 Test for Homogeneity of Regression 180 7.3.2.8 Absence of Multicollinearity
and Singularity 211
6.5.4 Design Complexity 181
65.4.1 Wiiliin-Subjects and Mixed 7.4 Fundamental Equations for Multivariate
Wiiliin-Between Designs 181 Analysis of Variance and Covariance 212
6.5.42 Unequal Sample Sizes 182 7.4.1 Multivariate Analysis of Variance 212
vi Contents
14.4 Fundamen tal Equations for Slructural 14.7 Compa rison of Programs 607
Equations Modeling 535 14.7.1 EQS 607
14.4.1 Covariance Algebra 535 14.7.2 LlSREL 607
14.4.2 Model Hypotheses 537 14.7.3 AMOS 612
14.4.3 Model Specification 538 14.7.4 SAS System 612
14.4.4 Model Estimation 540
14.45 Model Evaluation 543 15 Multilevel Linear Modeling 613
14.4.6 Computer Analysis of
545 15.1 General Purpose and Description 613
Small-Sample Example
555 15.2 Kinds of Research Questions 616
14.5 Some Important Issues
14.5.1 Model Identification 555 15.2.1 Croup Differences in Means 616
557 15.2.2 Croup Differences in Slopes 616
14.5.2 Estimation Techniques
14.5.2.1 Estimation Methods 15.2.3 Cross-Level Interactions 616
and Sample Size 559 15.2.4 Meta-Analysis 616
14.5.2.2 Estimation Methods 15.2.5 Relative Strength of Predictors
and Nonnormality 559 at Various Levels 617
14.5.2.3 Estimation Metllods 15.2.6 Individual and Croup Structure 617
and Dependence 559
15.2.7 Effect Size 617
14.5.24 Some Recommendations
for Choice of Estim.1tion
15.2.8 Path Analysis at Individual
Metllod 560 and Croup Levels 617
14.5.3 Assessing the Fit of the Model 560 15.2.9 Analysis of Longitudinal Data 617
14.53.1 Comparative Fit Indices 560 15.2.10 Multilevel Logistic Regression 618
14.5.3.2 Absolute Fit Index 562 15.2.11 Multiple Response Analysis 618
Contents xi
15.3 Limitations to Multilevel Linear Modeling 618 15.7.1.1 Sample Sizes, Missing
15.3.1 Theoretical Issues 618 Data, and Distributions 656
618 15.7.1.2 Outliers 659
15.3.2 Practical Issues
15.3.2.1 Sample SUe, Unequal-11, 15.7.1.3 Multicollinearity
and Singularity 659
and l\1issing Data 619
15.7.1.4 Independence of Errors:
15.3.2.2 Independence of Errors 619
lntracLlss Correlations 659
15.3.2.3 Absence of Multicollinearity
and Singularity 620 15.7.2 Multilevel Modeling 661
15.4 Fundamental Equations 620 15.8 Comparison of Programs 668
15.4.1 Intercepts-Only Model 623 15.8.1 SAS System 668
15.4.1.1 The lnlercep~y Model: 15.8.2 IBM SPSS Package 670
Level-l Equation 623 15.8.3 HLM Program 671
15.4.1.2 The Intercepts-Only Model: 15.8.4 MlwiN Program 671
Level-2 Equation 623
15.8.5 SYSTATSystem 671
15.4.1.3 Computer Analyses
of Intercepts-Only Model 624
15.4.2 Model with a First-Level Predictor 627 16 Multiway Frequency Analysis 672
15.4.2.1 Level-l Equation fora 16.1 General Purpose and Description 672
Model with a Level-l
1'1\.>dictor 627 16.2 Kinds of Resea rch Questions 673
15.4.2.2 Level-2 Equations for a 16.2.1 Associations Among Variables 673
Model with a Level-l 16.2.2 Effect on a Dependent Variable 674
Pl\.>dictor 628 16.2.3 Parameter Estimates 674
15.4.2.3 Computer Analysis of a
Model with a Level-l 16.2.4 Importance of Effects 674
Predictor 630 16.2.5 Effect Size 674
15.4.3 Model with Predictors a t First 16.2.6 Specific Comparisons and
and Second Levels 633 Trend Analysis 674
15.4.3.1 Level-l Equation for 16.3 Limitations to Multiway Frequency Analysis 675
Model with Predictors at 16.3.1 Theoretical Issues 675
Both Levels 633
16.3.2 Practical Issues 675
15.4.3.2 Level-2 Equations for
Model with Predictors 16.3.2.1 Independence 675
at Both Levels 633 16.3.2.2 Ratio of Cases to Variables 675
15.4.3.3 Computer Analyses of 16.3.2.3 Adequacy of Expected
Model with Predictors at Frequencies 675
First and Second Le,·els 634 16.3.2.4 Absence of Outliers in the
15.5 Types of ML\11 638 Solution 676
15.5.1 Repeated Measures 638 16.4 Fundamental Equations for Multiway
15.5.2 Higher-Order ML\11 642 Frequency Analysis 676
15.5.3 Latent Variables 642 16.4.1 Screening for Effects 678
16.4.1.1 Total Effect 678
15.5.4 Nonnormal Outcome Variables 643
16.4.1.2 First-Order Effects 679
15.5.5 Multiple Response Models 644
16.4.1.3 Second-Order Effects 679
15.6 Some Important Issues 644
16.4.1.4 Third-Order Effect 683
15.6.1 lntraclass Correlation 644
16.4.2 Modeling 683
15.6.2 Centering Predictors and Changes 16.4.3 Eva luation and Interpretation 685
in Their In terpretations 646
16.4.3.1 Residuals 685
15.6.3 Interactions 648 16.4.3.2 J>aramctcr Estimates 686
15.6.4 Random and Fixed Intercepts 16.4.4 Compu ter Ana lyses of Small-Sa mple
and Slopes 648 Example 690
15.6.5 Statistical Inference 651
16.5 Some Important Issues 695
15.6.5.1 Assessing Models 651
16.5.1 Hierarchical and Nonhierarchical
15.6.5.2 Tests of Individual Effects 652
Models 695
15.6.6 Effect Size 653
16.5.2 Statistical Criteria 696
15.6.7 Estimation Techniques and 16.5.2.1 Tests of Models 696
Convergence Problems 653
16.5.2.2 Tests of Individual Effects 696
15.6.8 Exploratory Model Building 654
16.5.3 Strategies for Choosing a Model 696
15.7 Complete Example of MLM 655 16.5.3.1 IBM SPSS Hll.OGLINEAR
15.7.1 Evaluation of Assumptions 656 (Hierarchial) 697
xii Contents
A.6 Matrix "Division" (Inverses and B.7 Impact of Seat Belt Law 795
Determinants) 786 B.8 The Selene Online Educational Game 796
A.7 Eigenvalues and Eigenvectors:
Procedures for Consolidating Variance Appendix C
from a Matrix 788
Statistical Tables 797
C.l Normal Curve Areas 798
Appendix B C.2 Critical Values of the t Distribution
Research Designs for Complete for a = .05 and .01, Two-Tailed Test 799
C.3 Cri tical Values of the F Distribution 800
Examples 791 C.4 Critical Values of Chi Square (r) 804
B.1 Women's Health and Drug Study 791 c.s Critical Values for Squares Multiple
B.2 Sexual Attraction Study 793 Correlation (R~ in Forward Stepwise
B.3 Learning Disabilities Data Bank 794 Selection: a = .05 805
B.4 Reaction Ttme to Identify Figures 794 C.6 Critical Values for F~1AX (S2~1AX/S2~iiN)
B.S Field Studies of Noise-Induced Sleep Distribution for a = .05 and .01 807
Disturbance 795
B.6 Clinical Trial for Primary Biliary References 808
Cirrhosis 795 Index 815
Preface
ome good things seem to go on forever: friendship and updating this book. It is d iffi-
S cult to be lieve that the firs t ed ition manuscript was typewritten, with real cu tting and
pasting. The pub lisher required a paper manuscrip t w ith numbered pages-that was
almost our downfa ll. We cou ld write a book on multivariate statistics, bu t we couldn' t get the
same numbe r of pages (abou t 1200, doub le-spaced) twice in a row. SPSS was in release 9.0,
and the o ther p rogram we d emonstrated was BMDP. There were a mere 11 chapters, of which
6 of them were describing techniques. Multilevel and structural equation modeling were not
yet ready for prime time. Logistic regression and survival analysis were not yet popular.
Ma terial new to this edition includes a redo of all SAS examples, with a p retty new output
forma t and replacement of interactive analyses that are no longer available. We've also re-run
the IBM SPSS examples to show the new ou tput format. We've tried to update the references in
all chapters, including only classic citations if they d ate prior to 2000. New work on rela tive im-
portance has been incorpora ted in multiple regression, canonical correlation, and logistic regres-
s ion analysis-complete with d emonstrations. Multiple imputation procedu res for dealing with
missing data have been updated, and we've added a new time-series example, ta king ad vantage
of an IBM SPSS expert modeler that replaces p revious tea-leaf read ing aspects of the analysis.
Our goals in writing the book remain the same as in all previous ed itions-to p resent com-
plex s tatistical procedures in a way tha t is maximally useful and accessible to researchers who
are not necessarily statisticians. We strive to be short on theory but long on conceptual under-
s tanding. The statistical packages have become increasingly easy to use, making it all the more
critical to make sure that they a re applied w ith a good understanding of what they can and
cannot do. But above all else-what does it all mean?
We have not changed the basic format underlying all of the technique chapters, now 14 of
them. We start with an overview of the technique, followed by the types of research questions
the techniques are designed to answer. We then p rovide the cautionary tale-what you need to
worry about and how to deal with those worries. Then come the fundamenta l equa tions underly-
ing the technique, which some readers truly enjoy working through (we know because they help-
fully point out any errors and/ or inconsistencies they find); but other read ers discover they can
skim (or skip) the section without any loss to their ability to conduct meaningful ana lysis of their
research. The fundamental equations are in the context of a small, made-up, usually silly data set
for which compu ter analyses are p rovided- usually IBM SPSS and SAS. Next, we delve into is-
sues surrounding the technique (such as different types of the analysis, follow-up procedures to
the main analysis, and effect size, if it is not amply covered elsewhere). Finally, we provide one or
two full-bore analyses of an actual rea l-life data set together with a Results section appropria te for
a journal. Data sets for these examples are available at www.pearsontughered.com in IBM SPSS,
SAS, and ASCTI formats. We end each technique chapter with a comparison of features available
in IBM SPSS, SAS, SYSTAT and sometimes other specialized p rograms. SYSTAT is a statis tical
package that we reluctantly had to d rop a few editions ago for lack of space.
We apologize in advance for the heft of the book; it is not our intention to line the cof-
fers of cruropractors, p h ysical therapists, acupuncturists, and the like, but there's really just so
much to say. As to our friendship, it's still going strong despite living in d ifferent cities. Art has
taken the place of creating belly dance costumes for both of us, but we remain silly in outlook,
although serious in our analysis of research.
The lineup of people to thank grows with each ed ition, far too extensive to lis t: students,
reviewers, ed itors, and readers who send us corrections and point ou t areas of confusion. As
always, we ta ke full responsibility for remaining errors and lack of clarity.
Barbnrn G. Tabachnick
Linda S. Fidel/
xiv