Newsom 1

USP 656 Multilevel Regression

Winter 2006
hjfjjjjjjjjjjjjjjfgfdk (ie! 0 mg! 5 mg! "nd #0 mg$ %owever! if the rese"r&her w"nts to m"ke inferen&es
'e(ond the )"rti&ul"r v"lues of the &ghdfdgfgdfgsfgsdfgsdfgdffffffffffkkkkkdfghdgh'le used in the stud(!
" r"ndom effe&ts model is used * &ommon e+"m)le would 'e the use of )u'li& "rt works
re)resenting low! moder"te! "nd &v'&'&'&v'&v'
Fixed and Random Coefficients in Multilevel Regression
,he r"ndom vs fi+ed dhgdfgdfgdfgdfgdfgdfgdfk"nd effe&ts is im)ort"nt in multilevel regression -n
multilevel regression models! 'oth level.# &v&v'&v'v&' to v"r( r"ndoml( "&ross grou)s /e&"use of
the "ssum)tions "'out their error distri'utions! we &"ll their v"ri"n&es! oo=var(U0j) "nd 11=var(U1j),
0r"ndom &oeffi&ients1
,his me"ns th"t we &"n think "'out 0j "nd 1j "s "kin to the r"ndom variables - des&ri'ed
"'ove -nste"d of "ttem)ting to gener"li2e 'e(ond the )"rti&ul"r v"lues of the inde)endent v"ri"'le!
we "re "ttem)ting to gener"li2e 'e(ond the )"rti&ul"r grou)s in the stud( 3or inst"n&e! we m"( h"ve
50 &om)"nies! 'ut we wish to gener"li2e to " l"rger universe of &om)"nies when we e+"mine the
me"ns (inter&e)ts$ or the +.( rel"tionshi) (slo)es$
-n %4M! v"ri"n&es for the inter&e)ts "nd slo)es "re estim"ted '( def"ult ,h"t is! when (ou
first &onstru&t " model! U0j "nd U1j "re estim"ted '( def"ult %owever! the rese"r&her h"s the &hoi&e
of setting U0j "nd U1j to 'e 2ero /( setting them to 2ero! we "re testing " model in whi&h we "ssume
0j "nd 1j do not v"r( r"ndoml( "&ross grou)s -n f"&t! their v"ri"n&e is "ssumed to 'e 2ero! so the(
"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( the grou) "ver"ge for the de)endent v"ri"'le is "ssumed to 'e e5u"l in e"&h grou)
*lthough we t()i&"ll( refer to this &onstr"int "s 0fi+ing the inter&e)ts1 or 0fi+ing the slo)es!1 the term is
somewh"t loosel( "))lied! 'e&"use we "re re"ll( "ssuming the( "re fi+ed and nonvarying
Intercept Model and Random Effects ANOVA
-n the sim)lest %4M model! there "re no )redi&tors We h"ve one level.# e5u"tion "nd one level.2
e5u"tion6
0 ij j ij
Y R = +
where Y is the de)endent v"ri"'le! 0j is the inter&e)t! "nd Rij is the residu"l or error 0j &"n 'e
thought of "s the me"n of e"&h grou) ,he level.2 e5u"tion "lso h"s no )redi&tors in it7s sim)lest
form6
0 00 0 j j
U = +
where
0j
is the de)endent v"ri"'le!
00
is the level.2 inter&e)t! "nd U
0j
is the level.2 error -n this
e5u"tion! 00 re)resents the gr"nd me"n or the me"n of the inter&e)ts U0j re)resents the devi"tion of
e"&h me"n from the gr"nd me"n When the "ver"ge devi"tion is l"rge! there "re l"rge grou)
differen&es
-t &"n 'e shown th"t this is re"ll( the *N89* model *N89* e+"mines the devi"tions of grou) me"ns
from the gr"nd me"n /e&"use we "ssume th"t the grou) me"ns! re)resented '( 0j "nd! thus! their
devi"tions "re r"ndoml( v"r(ing! this model is e5uiv"lent to the random effects *N89* model We
&"n rewrite our two %4M e5u"tions "s " single e5u"tion! if we )lug in the level.2 terms into level.#
e5u"tion
00 0 ij j ij
Y U R = + +
-n this e5u"tion! 00 re)resents the gr"nd me"n! the U0j term re)resents the devi"tions from the me"n
(or me"n differen&es or tre"tment effe&t! if (ou would like$! "nd Rij re)resents the within.grou) error or
v"ri"tion -n more m"them"ti&"ll( oriented *N89* te+t'ooks! (ou will see "n *N89* model written
something like6
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
-f the model is "n r"ndom effe&ts *N89*! j is "ssumed to h"ve " r"ndom distri'ution -n multilevel
regression! 'e&"use we "ssume U0j to v"r( r"ndoml(! the sim)le %4M model with no level.# or level.2
)redi&tors is e5uiv"lent to the r"ndom effe&ts *N89* model
When we "dd )redi&tors to the level.# e5u"tion! the( "re &ov"ri"tes "nd the model 'e&omes "
r"ndom effe&ts *N:89* in whi&h the me"ns "re "djusted for the &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 with
me"surement error ,he s&ores "re " fun&tion of " true
s&ore "nd r"ndom error; (2$ the v"lues &ome from "nd
"re intended to gener"li2e to " mu&h l"rger )o)ul"tion
of )ossi'le v"lues with " &ert"in )ro'"'ilit( distri'ution
(eg! norm"l distri'ution$; (<$ the num'er of v"lues in
the stud( is sm"ll rel"tive to the v"lues of the v"ri"'le "s
it "))e"rs in the )o)ul"tion it is dr"wn from Fixed
variable6 (#$ "ssumed to 'e me"sured without
me"surement error; (2$ desired gener"li2"tion to
)o)ul"tion or other studies is to the s"me v"lues; (<$
the v"ri"'le used in the stud( &ont"ins "ll or most of the
v"ri"'le7s v"lues in the )o)ul"tion
-t is im)ort"nt to distinguish 'etween " v"ri"'le th"t is
varying "nd " v"ri"'le th"t is random * fi+ed v"ri"'le
&"n h"ve different v"lues! it is not ne&ess"ril( inv"ri"nt
(e5u"l$ "&ross grou)s
Random variable:
)hotogr")hs
re)resenting individu"ls
with 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 whi&h "ssumes th"t "n
inde)endent v"ri"'le is r"ndom; (2$ gener"ll( used if
the levels of the inde)endent v"ri"'le "re thought to 'e
" sm"ll su'set of the )ossi'le v"lues whi&h one wishes
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 the results "))l( to simil"r v"lues of
inde)endent v"ri"'le in the )o)ul"tion or in other
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 whi&h 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 the &oeffi&ients o't"ined from the level.#
regressions "s " t()e of r"ndom v"ri"'le whi&h &omes
from "nd gener"li2es to " distri'ution of )ossi'le v"lues
=rou)s "re &on&eived of "s " su'set of the )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
the level.2 )redi&tor!
"ver"ge in&ome! is
used to )redi&t s&hool
)erform"n&e in e"&h
s&hool -nter&e)t
v"lues for s&hool
)erform"n&e "re
"ssumed to 'e "
s"m)le of the inter&e)ts
from " l"rger )o)ul"tion
of s&hools
Fixed coefficient6
slo)es or inter&e)ts
&onstr"ined to 'e e5u"l
over different s&hools
/oth 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&hers
"ssum)tions "nd
how the model is
s)e&ified ,he
v"ri"n&e of the
slo)es or
inter&e)ts "re
&onsidered
r"ndom
&oeffi&ients