Newsom 1

USP 656 Multilevel Regression

Winter 2006
hjffffkjg10 mg) kjgkkkjkgkkkg gggg!owever" if the rese#r$her w#nts to m#ke inferen$es %e&on' the
(#rti$ul#r v#lues hgk guse' in the stu'&" # r#n'om effe$ts mo'el is use' ) $ommon e*#m(le woul'
%e the use of (u%li$ #rt works 'fskkgjhh
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Fixed and Random Coefficients in Multilevel Regression
+he r#n'om vs fi*e' 'hg'fg'fg'fg'fg'fg'fg'fk#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 $oeffi$ients0
+his me#ns th#t we $#n think #%out 0j #n' 1j #s #kin to the r#n'om variables , 'es$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$t" if &ou woul' like)" #n' Rij re(resents the within-grou( error or
v#ri#tion ,n more m#them#ti$#ll& oriente' )N89) te*t%ooks" &ou will see #n )N89) mo'el written
something like6
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
3eg" 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" $ensus
tr#$ks
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