Newsom 1

USP 656 Multilevel Regression

Winter 2006
hjffffkjg10 mg) hjjjjjjjjjjjjjj! 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#ients/
*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"li0e $e%on& the '"rti#ul"r v"lues of the in&e'en&ent v"ri"$le!
we "re "ttem'ting to gener"li0e $e%on& the '"rti#ul"r grou's in the stu&% 1or inst"n#e! we m"% h"ve
50 #om'"nies! $ut we wish to gener"li0e to " l"rger universe of #om'"nies when we e)"mine the
me"ns 2inter#e'ts) or the ),% rel"tionshi' 2slo'es)
+n 34M! 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 3owever! the rese"r#her h"s the #hoi#e
of setting U0j "n& U1j to $e 0ero -% setting them to 0ero! 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 0ero! so the%
"re "ssume& to $e #onst"nt or .nonv"r%ing/ "#ross grou's 1or e)"m'le! fi)e&! nonv"r%ing inter#e'ts
woul& im'l% the grou' "ver"ge for the &e'en&ent v"ri"$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'ts/ or .fi)ing the slo'es!/ the term is
somewh"t loosel% "''lie&! $e#"use we "re re"ll% "ssuming the% "re fi)e& and nonvarying
Intercept Model and Random Effects ANOVA
+n the sim'lest 34M mo&el! there "re no 're&i#tors We h"ve one level,1 e5u"tion "n& one level,2
e5u"tion6
0 ij j ij
Y R = +
where Y is the &e'en&ent v"ri"$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& $% 0j "n&! thus! their
&evi"tions "re r"n&oml% v"r%ing! this mo&el is e5uiv"lent to the random effects (N89( mo&el We
#"n rewrite our two 34M e5u"tions "s " single e5u"tion! if we 'lug in the level,2 terms into level,1
e5u"tion
00 0 ij j ij
Y U R = + +
+n this e5u"tion! 00 re'resents the gr"n& me"n! the U0j term re'resents the &evi"tions from the me"n
2or me"n &ifferen#es or tre"tment effe#t! if %ou woul& like)! "n& Rij re'resents the within,grou' error or
v"ri"tion +n more m"them"ti#"ll% oriente& (N89( te)t$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 34M 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 21) is "ssume& to $e me"sure& with
me"surement error *he s#ores "re " fun#tion of " true
s#ore "n& r"n&om error; 22) the v"lues #ome from "n&
"re inten&e& to gener"li0e to " mu#h l"rger 'o'ul"tion
of 'ossi$le v"lues with " #ert"in 'ro$"$ilit% &istri$ution
2eg! norm"l &istri$ution); 2<) 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 21) "ssume& to $e me"sure& without
me"surement error; 22) &esire& gener"li0"tion to
'o'ul"tion or other stu&ies is to the s"me v"lues; 2<)
the v"ri"$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
2e5u"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 $e
fi)e&
Effects Random effect6 21) &ifferent st"tisti#"l mo&el of
regression or (N89( mo&el whi#h "ssumes th"t "n
in&e'en&ent v"ri"$le is r"n&om; 22) 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$le v"lues whi#h one wishes
to gener"li0e to; 2<) will 'ro$"$l% 'ro&u#e l"rger
st"n&"r& errors 2less 'owerful) Fixed effect6 21)
st"tisti#"l mo&el t%'i#"ll% use& in regression "n& (N89(
"ssuming in&e'en&ent v"ri"$le is fi)e&; 22)
gener"li0"tion of the results "''l% to simil"r v"lues of
in&e'en&ent v"ri"$le in the 'o'ul"tion or in other
stu&ies; 2<) will 'ro$"$l% 'ro&u#e sm"ller st"n&"r&
errors 2more '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 $e r"n&om M4R "n"l%ses most
t%'i#"ll% "ssume r"n&om #oeffi#ients 8ne #"n
#on#e'tu"li0e the #oeffi#ients o$t"ine& from the level,1
regressions "s " t%'e of r"n&om v"ri"$le whi#h #omes
from "n& gener"li0es to " &istri$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 2inv"ri"nt) "#ross grou's $% setting its $etween
grou' v"ri"n#e to 0ero
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