Newsom 1

USP 656 Multilevel Regression

Winter 2006
hjfffffffff 10 mg). owever! if the rese"r#her w"nts to m"$e inferen#es %e&on' the ("rti#ul"r v"lues
hg$ guse' in the stu'&! " r"n'om effe#ts mo'el is use'. ) #ommon e*"m(le woul' %e the use of
(u%li# "rt wor$s 'fs$$gjhh
M!%$jllgj
Fixed and Random Coefficients in Multilevel Regression
+he r"n'om vs. fi*e' 'hg'fg'fg'fg'fg'fg'fg'f$"n' effe#ts is im(ort"nt in multilevel regression. ,n
multilevel regression mo'els! %oth level-1 #v#v%#v%v#% to v"r& r"n'oml& "#ross grou(s. .e#"use of
the "ssum(tions "%out their error 'istri%utions! we #"ll their v"ri"n#es! oo=var(U0j) "n' 11=var(U1j),
/r"n'om #oeffi#ients.0
+his me"ns th"t we #"n thin$ "%out 0j "n' 1j "s "$in to the r"n'om variables , 'es#ri%e'
"%ove. ,nste"' of "ttem(ting to gener"li1e %e&on' the ("rti#ul"r v"lues of the in'e(en'ent v"ri"%le!
we "re "ttem(ting to gener"li1e %e&on' the ("rti#ul"r grou(s in the stu'&. 2or inst"n#e! we m"& h"ve
50 #om("nies! %ut we wish to gener"li1e to " l"rger universe of #om("nies when we e*"mine the
me"ns 3inter#e(ts) or the *-& rel"tionshi( 3slo(es).
,n 4M! v"ri"n#es for the inter#e(ts "n' slo(es "re estim"te' %& 'ef"ult. +h"t is! when &ou
first #onstru#t " mo'el! U0j "n' U1j "re estim"te' %& 'ef"ult. owever! the rese"r#her h"s the #hoi#e
of setting U0j "n' U1j to %e 1ero. .& setting them to 1ero! we "re testing " mo'el in whi#h we "ssume
0j "n' 1j 'o not v"r& r"n'oml& "#ross grou(s. ,n f"#t! their v"ri"n#e is "ssume' to %e 1ero! so the&
"re "ssume' to %e #onst"nt or /nonv"r&ing0 "#ross grou(s. 2or e*"m(le! fi*e'! nonv"r&ing inter#e(ts
woul' im(l& the grou( "ver"ge for the 'e(en'ent v"ri"%le is "ssume' to %e e5u"l in e"#h grou(.
)lthough we t&(i#"ll& refer to this #onstr"int "s /fi*ing the inter#e(ts0 or /fi*ing the slo(es!0 the term is
somewh"t loosel& "((lie'! %e#"use we "re re"ll& "ssuming the& "re fi*e' and nonvarying.
Intercept Model and Random Effects ANOVA
,n the sim(lest 4M mo'el! there "re no (re'i#tors. We h"ve one level-1 e5u"tion "n' one level-2
e5u"tion6
0 ij j ij
Y R = +
where Y is the 'e(en'ent v"ri"%le! 0j is the inter#e(t! "n' Rij is the resi'u"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 (re'i#tors in it7s sim(lest
form6
0 00 0 j j
U = +
where 0j is the 'e(en'ent v"ri"%le! 00 is the level-2 inter#e(t! "n' U0j is the level-2 error. ,n this
e5u"tion! 00 re(resents the gr"n' me"n or the me"n of the inter#e(ts. U0j re(resents the 'evi"tion of
e"#h me"n from the gr"n' me"n. When the "ver"ge 'evi"tion is l"rge! there "re l"rge grou(
'ifferen#es.
,t #"n %e shown th"t this is re"ll& the )N89) mo'el. )N89) e*"mines the 'evi"tions of grou( me"ns
from the gr"n' me"n. .e#"use we "ssume th"t the grou( me"ns! re(resente' %& 0j "n'! thus! their
'evi"tions "re r"n'oml& v"r&ing! this mo'el is e5uiv"lent to the random effects )N89) mo'el. We
#"n rewrite our two 4M e5u"tions "s " single e5u"tion! if we (lug in the level-2 terms into level-1
e5u"tion.
00 0 ij j ij
Y U R = + +
,n this e5u"tion! 00 re(resents the gr"n' me"n! the U0j term re(resents the 'evi"tions from the me"n
3or me"n 'ifferen#es or tre"tment effe#t! if &ou woul' li$e)! "n' Rij re(resents the within-grou( error or
v"ri"tion. ,n more m"them"ti#"ll& oriente' )N89) te*t%oo$s! &ou will see "n )N89) mo'el written
something li$e6
Newsom 2
USP 656 Multilevel Regression
Winter 2006
ij j ij
Y e = + +
,f the mo'el is "n r"n'om effe#ts )N89)! j is "ssume' to h"ve " r"n'om 'istri%ution. ,n multilevel
regression! %e#"use we "ssume U0j to v"r& r"n'oml&! the sim(le 4M mo'el with no level-1 or level-2
(re'i#tors is e5uiv"lent to the r"n'om effe#ts )N89) mo'el.
When we "'' (re'i#tors to the level-1 e5u"tion! the& "re #ov"ri"tes "n' the mo'el %e#omes "
r"n'om effe#ts )N:89) in whi#h the me"ns "re "'juste' for the #ov"ri"te.
Newsom 3
USP 656 Multilevel Regression
Winter 2006
Summary a!le
Random vs"
Fixed
#efinition Example $se in Multilevel
Regression
Varia!les Random variable6 31) is "ssume' to %e me"sure' with
me"surement error. +he s#ores "re " fun#tion of " true
s#ore "n' r"n'om error; 32) the v"lues #ome from "n'
"re inten'e' to gener"li1e to " mu#h l"rger (o(ul"tion
of (ossi%le v"lues with " #ert"in (ro%"%ilit& 'istri%ution
3e.g.! norm"l 'istri%ution); 3<) the num%er of v"lues in
the stu'& is sm"ll rel"tive to the v"lues of the v"ri"%le "s
it "((e"rs in the (o(ul"tion it is 'r"wn from. Fixed
variable6 31) "ssume' to %e me"sure' without
me"surement error; 32) 'esire' gener"li1"tion to
(o(ul"tion or other stu'ies is to the s"me v"lues; 3<)
the v"ri"%le use' in the stu'& #ont"ins "ll or most of the
v"ri"%le7s v"lues in the (o(ul"tion.
,t is im(ort"nt to 'istinguish %etween " v"ri"%le th"t is
varying "n' " v"ri"%le th"t is random. ) fi*e' v"ri"%le
#"n h"ve 'ifferent v"lues! it is not ne#ess"ril& inv"ri"nt
3e5u"l) "#ross grou(s.
Random variable:
(hotogr"(hs
re(resenting in'ivi'u"ls
with 'iffering levels of
"ttr"#tiveness
m"ni(ul"te' in "n
e*(eriment! #ensus
tr"#$s
Fixed variable:
gen'er! r"#e! or
intervention vs. #ontrol
grou(.
Pre'i#tor
v"ri"%les in M4R
gener"ll&
"ssume' to %e
fi*e'
Effects Random effect6 31) 'ifferent st"tisti#"l mo'el of
regression or )N89) mo'el whi#h "ssumes th"t "n
in'e(en'ent v"ri"%le is r"n'om; 32) gener"ll& use' if
the levels of the in'e(en'ent v"ri"%le "re thought to %e
" sm"ll su%set of the (ossi%le v"lues whi#h one wishes
to gener"li1e to; 3<) will (ro%"%l& (ro'u#e l"rger
st"n'"r' errors 3less (owerful). Fixed effect6 31)
st"tisti#"l mo'el t&(i#"ll& use' in regression "n' )N89)
"ssuming in'e(en'ent v"ri"%le is fi*e'; 32)
gener"li1"tion of the results "((l& to simil"r v"lues of
in'e(en'ent v"ri"%le in the (o(ul"tion or in other
stu'ies; 3<) will (ro%"%l& (ro'u#e sm"ller st"n'"r'
errors 3more (owerful).
Random effect6
r"n'om effe#ts )N89)!
r"n'om effe#ts
regression
Fixed effect6 fi*e'
effe#ts )N89)! fi*e'
effe#ts regression
,nter#e(t onl&
mo'els in M4R
"re e5uiv"lent to
r"n'om 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! "n' v"ri"n#es #"n
%e "ssume' to %e r"n'om. M4R "n"l&ses most
t&(i#"ll& "ssume r"n'om #oeffi#ients. 8ne #"n
#on#e(tu"li1e the #oeffi#ients o%t"ine' from the level-1
regressions "s " t&(e of r"n'om v"ri"%le whi#h #omes
from "n' gener"li1es to " 'istri%ution of (ossi%le v"lues.
=rou(s "re #on#eive' of "s " su%set of the (ossi%le
grou(s.
Fixed coefficient: " #oeffi#ient #"n %e fi*e' to %e non-
v"r&ing 3inv"ri"nt) "#ross grou(s %& setting its %etween
grou( v"ri"n#e to 1ero.
R"n'om #oeffi#ients must %e v"ri"%le "#ross grou(s.
:on#e(tu"ll&! fi*e' #oeffi#ients m"& %e inv"ri"nt or
v"r&ing "#ross grou(s.
Random coefficient6
the level-2 (re'i#tor!
"ver"ge in#ome! is
use' to (re'i#t s#hool
(erform"n#e in e"#h
s#hool. ,nter#e(t
v"lues for s#hool
(erform"n#e "re
"ssume' 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"ine' to %e e5u"l
over 'ifferent s#hools.
.oth use' in
M4R. Slo(es "n'
inter#e(t v"lues
#"n %e
#onsi'ere' to %e
fi*e' or r"n'om!
'e(en'ing on
rese"r#hers
"ssum(tions "n'
how the mo'el is
s(e#ifie'. +he
v"ri"n#e of the
slo(es or
inter#e(ts "re
#onsi'ere'
r"n'om
#oeffi#ients.