Newsom 1

USP 656 Multilevel Regression

Winter 2006
Dsfsdfsdf0 mg, 5 mg, and 10 mg! "owever, if t#e resear$#er wants to ma%e inferen$es &e'ond t#e
(arti$ular values of t#e used in t#e stud', a random effe$ts model is used! ) $ommon e*am(le would
&e t#e use of (u&li$ art wor%s re(resenting low, moderate, and
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-1 $v$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 $om(anies w#en we e*amine t#e
means 3inter$e(ts or t#e *-' relations#i( 3slo(es!
,n "4M, 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$e(ts
would im(l' t#e grou( average for t#e de(endent varia&le is assumed to &e e5ual in ea$# 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$ause we are reall' assuming t#e' are fi*ed and nonvarying!
Intercept Model and Random Effects ANOVA
,n t#e sim(lest "4M model, t#ere are no (redi$tors! We #ave one level-1 e5uation and one level-2
e5uation6
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 e5uation also #as no (redi$tors in it7s sim(lest
form6
0 00 0 j j
U = +
w#ere 0j is t#e de(endent varia&le, 00 is t#e level-2 inter$e(t, and U0j is t#e level-2 error! ,n t#is
e5uation, 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 $an &e s#own t#at t#is is reall' t#e )N89) model! )N89) e*amines t#e deviations of grou( means
from t#e grand mean! .e$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 e5uivalent to t#e random effects )N89) model! We
$an rewrite our two "4M e5uations as a single e5uation, if we (lug in t#e level-2 terms into level-1
e5uation!
00 0 ij j ij
Y U R = + +
,n t#is e5uation, 00 re(resents t#e grand mean, t#e U0j term re(resents t#e deviations from t#e mean
3or mean differen$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 )N89) te*t&oo%s, 'ou will see an )N89) model written
somet#ing li%e6
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
,f t#e model is an random effe$ts )N89), j is assumed to #ave a random distri&ution! ,n multilevel
regression, &e$ause we assume U0j to var' randoml', t#e sim(le "4M model wit# no level-1 or level-2
(redi$tors is e5uivalent to t#e random effe$ts )N89) model!
W#en we add (redi$tors to t#e level-1 e5uation, t#e' are $ovariates and t#e model &e$omes a
random effe$ts )N:89) in w#i$# 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 $se in Multilevel
Regression
Varia!les Random variable6 31 is assumed to &e measured wit#
measurement error! +#e s$ores are a fun$tion of a true
s$ore and random error< 32 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
3e!g!, normal distri&ution< 3= 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
variable6 31 assumed to &e measured wit#out
measurement error< 32 desired generali1ation to
(o(ulation or ot#er studies is to t#e same values< 3=
t#e varia&le used in t#e stud' $ontains all or most of t#e
varia&le7s 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
3e5ual 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 M4R
generall'
assumed to &e
fi*ed
Effects Random effect6 31 different statisti$al model of
regression or )N89) model w#i$# assumes t#at an
inde(endent varia&le is random< 32 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$# one wis#es
to generali1e to< 3= will (ro&a&l' (rodu$e larger
standard errors 3less (owerful! Fixed effect6 31
statisti$al model t'(i$all' used in regression and )N89)
assuming inde(endent varia&le is fi*ed< 32
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< 3= will (ro&a&l' (rodu$e smaller standard
errors 3more (owerful!
Random effect6
random effe$ts )N89),
random effe$ts
regression
Fixed effect6 fi*ed
effe$ts )N89), fi*ed
effe$ts regression
,nter$e(t onl'
models in M4R
are e5uivalent to
random effe$ts
)N89) or
)N:89)!
Coefficients Random coefficient: term a((lies onl' to M4R
anal'ses in w#i$# inter$e(ts, slo(es, and varian$es $an
&e assumed to &e random! M4R anal'ses most
t'(i$all' assume random $oeffi$ients! 8ne $an
$on$e(tuali1e t#e $oeffi$ients o&tained from t#e level-1
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 $an &e fi*ed to &e non-
var'ing 3invariant a$ross grou(s &' setting its &etween
grou( varian$e to 1ero!
Random $oeffi$ients must &e varia&le a$ross grou(s!
:on$e(tuall', fi*ed $oeffi$ients ma' &e invariant or
var'ing a$ross grou(s!
Random coefficient6
t#e level-2 (redi$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$#ools!
Fixed coefficient6
slo(es or inter$e(ts
$onstrained to &e e5ual
over different s$#ools!
.ot# used in
M4R! 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!