Newsom 1

USP 656 Multilevel Regression

Winter 2006
hjffffkjg10 mg) kjgkkknj!kgggggg"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