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MULTILEVEL
ANALYSIS
2nd Edition
MULTILEVEL
ANALYSIS
An
Introduction to
Basic and Advanced
Multilevel Modeling
Tom A B SNIJDERS
Roel J BOSKER
© Tom A B Snijders and Roel J Bosker 2012
Apart from any fair dealing for the purposes of research or private study, or criticism or review, as
permitted under the Copyright, Designs and Patents Act, 1988, this publication may be reproduced,
stored or transmitted in any form, or by any means, only with the prior permission in writing of the
publishers, or in the case of reprographic reproduction, in accordance with the terms of licences
issued by the Copyright Licensing Agency. Enquiries concerning reproduction outside those terms
should be sent to the publishers.
A catalogue record for this book is available from the British Library
ISBN 978-1-84920-200-8
ISBN 978-1-84920-201-5
1 Introduction
1.1 Multilevel analysis
1.1.1 Probability models
1.2 This book
1.2.1 Prerequisites
1.2.2 Notation
8 Heteroscedasticity
8.1 Heteroscedasticity at level one
8.1.1 Linear variance functions
8.1.2 Quadratic variance functions
8.2 Heteroscedasticity at level two
8.3 Glommary
9 Missing Data
9.1 General issues for missing data
9.1.1 Implications for design
9.2 Missing values of the dependent variable
9.3 Full maximum likelihood
9.4 Imputation
9.4.1 The imputation method
9.4.2 Putting together the multiple results
9.5 Multiple imputations by chained equations
9.6 Choice of the imputation model
9.7 Glommary
13 Imperfect Hierarchies
13.1 A two-level model with a crossed random factor
13.2 Crossed random effects in three-level models
13.3 Multiple membership models
13.4 Multiple membership multiple classification models
13.5 Glommary
14 Survey Weights
14.1 Model-based and design-based inference
14.1.1 Descriptive and analytic use of surveys
14.2 Two kinds of weights
14.3 Choosing between model-based and design-based analysis
14.3.1 Inclusion probabilities and two-level weights
14.3.2 Exploring the informativeness of the sampling design
14.4 Example: Metacognitive strategies as measured in the PISA study
14.4.1 Sampling design
14.4.2 Model-based analysis of data divided into parts
14.4.3 Inclusion of weights in the model
14.5 How to assign weights in multilevel models
14.6 Appendix. Matrix expressions for the single-level estimators
14.7 Glommary
15 Longitudinal Data
15.1 Fixed occasions
15.1.1 The compound symmetry model
15.1.2 Random slopes
15.1.3 The fully multivariate model
15.1.4 Multivariate regression analysis
15.1.5 Explained variance
15.2 Variable occasion designs
15.2.1 Populations of curves
15.2.2 Random functions
15.2.3 Explaining the functions
15.2.4 Changing covariates
15.3 Autocorrelated residuals
15.4 Glommary
18 Software
18.1 Special software for multilevel modeling
18.1.1 HLM
18.1.2 MLwiN
18.1.3 The MIXOR suite and SuperMix
18.2 Modules in general-purpose software packages
18.2.1 SAS procedures VARCOMP, MIXED, GLIMMIX, and
NLMIXED
18.2.2 R
18.2.3 Stata
18.2.4 SPSS, commands VARCOMP and MIXED
18.3 Other multilevel software
18.3.1 PinT
18.3.2 Optimal Design
18.3.3 MLPowSim
18.3.4 Mplus
18.3.5 Latent Gold
18.3.6 REALCOM
18.3.7 WinBUGS
References
Index
Preface to the Second Edition
Tom Snijders
Roel Bosker
March,2011
Preface to the First Edition
This book grew out of our teaching and consultation activities in the
domain of multilevel analysis. It is intended for the absolute beginner in this
field as well as for those who have already mastered the fundamentals and
are now entering more complicated areas of application. The reader is
referred to Section 1.2 for an overview of this book and for some reading
guidelines.
We are grateful to various people from whom we got reactions on
earlier parts of this manuscript and also to the students who were exposed to
it and helped us realize what was unclear. We received useful comments
from, and benefited from discussions about parts of the manuscript with,
among others, Joerg Blasius, Marijtje van Duijn, Wolfgang Langer, Ralf
Maslowski, and Ian Plewis. Moreover we would like to thank Hennie
Brandsma, Mieke Brekelmans, Jan van Damme, Hetty Dekkers, Miranda
Lubbers, Lyset Rekers-Mombarg and Jan Maarten Wit, Carolina de Weerth,
Beate Völker, Ger van der Werf, and the Zentral Archiv (Cologne) who
kindly permitted us to use data from their respective research projects as
illustrative material for this book. We would also like to thank Annelies
Verstappen-Remmers for her unfailing secretarial assistance.
Tom Snijders
Roel Bosker
June, 1999
1
Introduction
1.2.1 Prerequisites
In order to read this textbook, a good working knowledge of statistics is
required. It is assumed that you know the concepts of probability, random
variable, probability distribution, population, sample, statistical
independence, expectation (population mean), variance, covariance,
correlation, standard deviation, and standard error. Furthermore, it is
assumed that you know the basics of hypothesis testing and multiple
regression analysis, and that you can understand formulas of the kind that
occur in the explanation of regression analysis.
Matrix notation is used only in a few more advanced sections. These
sections can be skipped without loss of understanding of other parts of the
book.
1.2.2 Notation
The main notational conventions are as follows. Abstract variables and
random variables are denoted by italicized capital letters, such as X or Y.
Outcomes of random variables and other fixed values are denoted by
italicized lower-case letters, such as x or z. Thus we speak about the
variable X, but in formulas where the value of this variable is considered as
a fixed, nonrandom value, it will be denoted by x. There are some
exceptions to this, for example in Chapter 2 and in the use of the letter N for
the number of groups (‘level-two units’) in the data.
The letter ε is used to denote the expected value, or population average,
of a random variable. Thus, εY and ε(Y) denote the expected value of Y. For
example, if Pn is the fraction of tails obtained in n coin flips, and the coin is
fair, then the expected value is
Statistical parameters are indicated by Greek letters. Examples are μ, σ2,
and β. The following Greek letters are used.
α alpha
β beta
γ gamma
δ delta
η eta
θ theta
λ lambda
μ mu
π pi
ρ rho
σ sigma
τ tau
φ phi
χ chi
ω omega
∆ capital Delta
Σ capital Sigma
τ capital Tau
χ capital Chi
1
We are indebted to Ivo Molenaar for this reference.
2
Multilevel Theories, Multistage
Sampling, and Multilevel Models
Phenomena and data sets in the social sciences often have a multilevel
structure. This may be reflected in the design of data collection: simple
random sampling is often not a very cost-efficient strategy, and multistage
samples may be more efficient instead. This chapter is concerned with the
reasons why it is important to take account of the clustering of the data, also
called their multilevel structure, in the data analysis phase.
MARMALADES
Apple Marmalade, 23
Apricot Marmalade, 19
Orange Marmalade, 8
Orange and Grapefruit Marmalade, 13
Orange and Rhubarb Marmalade, 15
Peach Marmalade, 17
Peach Marmalade No. 2, 18
Plum Marmalade, 21
Prune Marmalade, 22
Quince Marmalade, 20
MISCELLANEOUS
PICKLES
Chili Sauce, 132
Chopped Pickles, 144
Chow Chow, 145
Cucumber Pickles, 149
Mustard Pickles No. 1, 137
Mustard Pickles No. 2, 140
Pepper Relish, 136
Piccalilli, 134
Pickled Beets, 128
Pickled Onions No. 1, 129
Pickled Onions No. 2, 131
Pickled Red Cabbage, 147
Plum Tomato Pickles, 105
Ripe Cucumber Pickles, 142
Tomato Catsup, 151
Tomatoes, 153
SPICED FRUITS
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