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Newsom 1

USP 656 Multilevel Regression

Winter 2006
vmvvnmvmjf (i.e., 0 mg, 5 mg, an !0 mg". #owever, if t$e resear%$er wants to ma&e inferen%es
'e(on t$e )arti%ular values of t$e %g$fgfgfgsfgsfgsfgffffffffff&&&&&fg$g$'le use in t$e stu(,
a ranom effe%ts moel is use. * %ommon e+am)le woul 'e t$e use of )u'li% art wor&s
re)resenting low, moerate, an %v'%'%'%v'%v'
Fixed and Random Coefficients in Multilevel Regression
,$e ranom vs. fi+e $gfgfgfgfgfgfgf&an effe%ts is im)ortant in multilevel regression. -n
multilevel regression moels, 'ot$ level.! %v%v'%v'v%' to var( ranoml( a%ross grou)s. /e%ause of
t$e assum)tions a'out t$eir error istri'utions, we %all t$eir varian%es, oo=var(U0j) an 11=var(U1j),
0ranom %oeffi%ients.1
,$is means t$at we %an t$in& a'out 0j an 1j as a&in to t$e ranom variables - es%ri'e
a'ove. -nstea of attem)ting to generali2e 'e(on t$e )arti%ular values of t$e ine)enent varia'le,
we are attem)ting to generali2e 'e(on t$e )arti%ular grou)s in t$e stu(. 3or instan%e, we ma( $ave
50 %om)anies, 'ut we wis$ to generali2e 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 #4M, varian%es for t$e inter%e)ts an slo)es are estimate '( efault. ,$at is, w$en (ou
first %onstru%t a moel, U0j an U1j are estimate '( efault. #owever, t$e resear%$er $as t$e %$oi%e
of setting U0j an U1j to 'e 2ero. /( setting t$em to 2ero, we are testing a moel in w$i%$ we assume
0j an 1j o not var( ranoml( a%ross grou)s. -n fa%t, t$eir varian%e is assume to 'e 2ero, so t$e(
are assume to 'e %onstant or 0nonvar(ing1 a%ross grou)s. 3or e+am)le, fi+e, nonvar(ing inter%e)ts
woul im)l( t$e grou) average for t$e e)enent varia'le is assume to 'e e5ual in ea%$ grou).
*lt$oug$ we t()i%all( refer to t$is %onstraint as 0fi+ing t$e inter%e)ts1 or 0fi+ing t$e slo)es,1 t$e term is
somew$at loosel( a))lie, 'e%ause we are reall( assuming t$e( are fi+e and nonvarying.
Intercept Model and Random Effects ANOVA
-n t$e sim)lest #4M moel, t$ere are no )rei%tors. We $ave one level.! e5uation an one level.2
0 ij j ij
Y R = +
w$ere Y is t$e e)enent varia'le, 0j is t$e inter%e)t, an Rij is t$e resiual or error. 0j %an 'e
t$oug$t of as t$e mean of ea%$ grou). ,$e level.2 e5uation also $as no )rei%tors in it7s sim)lest
0 00 0 j j
U = +
is t$e e)enent varia'le,
is t$e level.2 inter%e)t, an U
is t$e level.2 error. -n t$is
e5uation, 00 re)resents t$e gran mean or t$e mean of t$e inter%e)ts. U0j re)resents t$e eviation of
ea%$ mean from t$e gran mean. W$en t$e average eviation is large, t$ere are large grou)
-t %an 'e s$own t$at t$is is reall( t$e *N89* moel. *N89* e+amines t$e eviations of grou) means
from t$e gran mean. /e%ause we assume t$at t$e grou) means, re)resente '( 0j an, t$us, t$eir
eviations are ranoml( var(ing, t$is moel is e5uivalent to t$e random effects *N89* moel. We
%an rewrite our two #4M e5uations as a single e5uation, if we )lug in t$e level.2 terms into level.!
00 0 ij j ij
Y U R = + +
-n t$is e5uation, 00 re)resents t$e gran mean, t$e U0j term re)resents t$e eviations from t$e mean
(or mean ifferen%es or treatment effe%t, if (ou woul li&e", an Rij re)resents t$e wit$in.grou) error or
variation. -n more mat$emati%all( oriente *N89* te+t'oo&s, (ou will see an *N89* moel written
somet$ing li&e6
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
-f t$e moel is an ranom effe%ts *N89*, j is assume to $ave a ranom istri'ution. -n multilevel
regression, 'e%ause we assume U0j to var( ranoml(, t$e sim)le #4M moel wit$ no level.! or level.2
)rei%tors is e5uivalent to t$e ranom effe%ts *N89* moel.
W$en we a )rei%tors to t$e level.! e5uation, t$e( are %ovariates an t$e moel 'e%omes a
ranom effe%ts *N:89* in w$i%$ t$e means are ajuste for t$e %ovariate.
Newsom 3
USP 656 Multilevel Regression
Winter 2006
Summary a!le
Random vs"
#efinition Example $se in Multilevel
Varia!les Random variable6 (!" is assume to 'e measure wit$
measurement error. ,$e s%ores are a fun%tion of a true
s%ore an ranom error; (2" t$e values %ome from an
are intene to generali2e to a mu%$ larger )o)ulation
of )ossi'le values wit$ a %ertain )ro'a'ilit( istri'ution
(e.g., normal istri'ution"; (<" t$e num'er of values in
t$e stu( is small relative to t$e values of t$e varia'le as
it a))ears in t$e )o)ulation it is rawn from. Fixed
variable6 (!" assume to 'e measure wit$out
measurement error; (2" esire generali2ation to
)o)ulation or ot$er stuies is to t$e same values; (<"
t$e varia'le use in t$e stu( %ontains all or most of t$e
varia'le7s values in t$e )o)ulation.
-t is im)ortant to istinguis$ 'etween a varia'le t$at is
varying an a varia'le t$at is random. * fi+e varia'le
%an $ave ifferent values, it is not ne%essaril( invariant
(e5ual" a%ross grou)s.
Random variable:
re)resenting iniviuals
wit$ iffering levels of
mani)ulate in an
e+)eriment, %ensus
Fixed variable:
gener, ra%e, or
intervention vs. %ontrol
varia'les in M4R
assume to 'e
Effects Random effect6 (!" ifferent statisti%al moel of
regression or *N89* moel w$i%$ assumes t$at an
ine)enent varia'le is ranom; (2" generall( use if
t$e levels of t$e ine)enent varia'le are t$oug$t to 'e
a small su'set of t$e )ossi'le values w$i%$ one wis$es
to generali2e to; (<" will )ro'a'l( )rou%e larger
stanar errors (less )owerful". Fixed effect6 (!"
statisti%al moel t()i%all( use in regression an *N89*
assuming ine)enent varia'le is fi+e; (2"
generali2ation of t$e results a))l( to similar values of
ine)enent varia'le in t$e )o)ulation or in ot$er
stuies; (<" will )ro'a'l( )rou%e smaller stanar
errors (more )owerful".
Random effect6
ranom effe%ts *N89*,
ranom effe%ts
Fixed effect6 fi+e
effe%ts *N89*, fi+e
effe%ts regression
-nter%e)t onl(
moels in M4R
are e5uivalent to
ranom effe%ts
*N89* or
Coefficients Random coefficient: term a))lies onl( to M4R
anal(ses in w$i%$ inter%e)ts, slo)es, an varian%es %an
'e assume to 'e ranom. M4R anal(ses most
t()i%all( assume ranom %oeffi%ients. 8ne %an
%on%e)tuali2e t$e %oeffi%ients o'taine from t$e level.!
regressions as a t()e of ranom varia'le w$i%$ %omes
from an generali2es to a istri'ution of )ossi'le values.
=rou)s are %on%eive of as a su'set of t$e )ossi'le
Fixed coefficient: a %oeffi%ient %an 'e fi+e to 'e non.
var(ing (invariant" a%ross grou)s '( setting its 'etween
grou) varian%e to 2ero.
Ranom %oeffi%ients must 'e varia'le a%ross grou)s.
:on%e)tuall(, fi+e %oeffi%ients ma( 'e invariant or
var(ing a%ross grou)s.
Random coefficient6
t$e level.2 )rei%tor,
average in%ome, is
use to )rei%t s%$ool
)erforman%e in ea%$
s%$ool. -nter%e)t
values for s%$ool
)erforman%e are
assume to 'e a
sam)le of t$e inter%e)ts
from a larger )o)ulation
of s%$ools.
Fixed coefficient6
slo)es or inter%e)ts
%onstraine to 'e e5ual
over ifferent s%$ools.
/ot$ use in
M4R. Slo)es an
inter%e)t values
%an 'e
%onsiere to 'e
fi+e or ranom,
e)ening on
assum)tions an
$ow t$e moel is
s)e%ifie. ,$e
varian%e of t$e
slo)es or
inter%e)ts are