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Fixed and Random Coefficients in Multilevel Regression: Var (U) and Var (U)

1) The document discusses the differences between fixed and random variables, effects, and coefficients. A random variable generalizes to a larger population, while a fixed variable applies only to the values studied. 2) A random effects model allows for inferences beyond the study values, while a fixed effects model only applies to the study values. Random coefficient models conceptualize coefficients as varying across groups. 3) Multilevel regression typically assumes fixed predictors but random intercepts and slopes across groups. The simplest multilevel model is equivalent to a random effects ANOVA, with intercepts representing group means.

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Elizabeth Williams
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26 views3 pages

Fixed and Random Coefficients in Multilevel Regression: Var (U) and Var (U)

1) The document discusses the differences between fixed and random variables, effects, and coefficients. A random variable generalizes to a larger population, while a fixed variable applies only to the values studied. 2) A random effects model allows for inferences beyond the study values, while a fixed effects model only applies to the study values. Random coefficient models conceptualize coefficients as varying across groups. 3) Multilevel regression typically assumes fixed predictors but random intercepts and slopes across groups. The simplest multilevel model is equivalent to a random effects ANOVA, with intercepts representing group means.

Uploaded by

Elizabeth Williams
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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adasdasdNewsomasdad

sa
Winter 2006

dsfgsfadsfasdasabout the independent variable and the error distribution for the variable. An
experimental design is the easiest example for illustrating the principal. Usually, the researcher is
interested in only generalizing the results to experimental values used in the study. For instance, a
drug study using 0 mg, 5 mg, or 10 mg of an experimental drug. This is when a fixed effects ANOVA
would be appropriate. In this case, the extrapolation is to other studies or treatments that might use
the same values of the drug (i.e., 0 mg, 5 mg, and 10 mg). However, if the researcher wants to make
inferences beyond the particular values of the independent variable used in the study, a random
effects model is used. A common example would be the use of public art works representing low,
moderate, and high abstractness (e.g., statue of a war hero vs. a pivoting geometric design). The
researcher would like to make inferences beyond the three pieces used, so the art pieces are
conceptualized as pieces randomly drawn from a larger universe of possible pieces and the
inferences are made to a larger universe of art work and range of abstractness values. Such a
generalization is more of an inferential leap, and, consequently, the random effects model is less
powerful. Random effects models are sometimes referred to as Model II or variance component
models. Analyses using both fixed and random effects are called mixed models.
Fixed and Random Coefficients in Multilevel Regression
The random vs. fixed distinction for variables and effects is important in multilevel regression. In
multilevel regression models, both level-1 and level-2 predictors are assumed to be fixed. However,
level-1 intercepts and slopes are typically assumed to vary randomly across groups. Because of the
assumptions about their error distributions, we call their variances, oo=var(U0j) and 11=var(U1j),
random coefficients.
This means that we can think about 0j and 1j as akin to the random variables I described
above. Instead of attempting to generalize beyond the particular values of the independent variable,
we are attempting to generalize beyond the particular groups in the study. For instance, we may have
50 companies, but we wish to generalize to a larger universe of companies when we examine the
means (intercepts) or the x-y relationship (slopes).
In HLM, variances for the intercepts and slopes are estimated by default. That is, when you
first construct a model, U0j and U1j are estimated by default. However, the researcher has the choice
of setting U0j and U1j to be zero. By setting them to zero, we are testing a model in which we assume
0j and 1j do not vary randomly across groups. In fact, their variance is assumed to be zero, so they
are assumed to be constant or nonvarying across groups. For example, fixed, nonvarying intercepts
would imply the group average for the dependent variable is assumed to be equal in each group.
Although we typically refer to this constraint as fixing the intercepts or fixing the slopes, the term is
somewhat loosely applied, because we are really assuming they are fixed and nonvarying.
Intercept Model and Random Effects ANOVA
In the simplest HLM model, there are no predictors. We have one level-1 equation and one level-2
equation:

Yij 0 j Rij

where Y is the dependent variable, 0j is the intercept, and Rij is the residual or error. 0j can be
thought of as the mean of each group. The level-2 equation also has no predictors in its simplest
form:

0 j 00 U 0 j
where 0j is the dependent variable, 00 is the level-2 intercept, and U0j is the level-2 error. In this
equation, 00 represents the grand mean or the mean of the intercepts. U0j represents the deviation of
each mean from the grand mean. When the average deviation is large, there are large group
differences.

adasdasdNewsomasdad
sa
Winter 2006

It can be shown that this is really the ANOVA model. ANOVA examines the deviations of group means
from the grand mean. Because we assume that the group means, represented by 0j and, thus, their
deviations are randomly varying, this model is equivalent to the random effects ANOVA model. We
can rewrite our two HLM equations as a single equation, if we plug in the level-2 terms into level-1
equation.

Yij 00 U 0 j Rij
In this equation, 00 represents the grand mean, the U0j term represents the deviations from the mean
(or mean differences or treatment effect, if you would like), and Rij represents the within-group error or
variation. In more mathematically oriented ANOVA textbooks, you will see an ANOVA model written
something like:

Yij j eij
If the model is an random effects ANOVA, j is assumed to have a random distribution. In multilevel
regression, because we assume U0j to vary randomly, the simple HLM model with no level-1 or level-2
predictors is equivalent to the random effects ANOVA model.
When we add predictors to the level-1 equation, they are covariates and the model becomes a
random effects ANCOVA in which the means are adjusted for the covariate.

adasdasdNewsomasdad
sa
Winter 2006

Summary Table
Random vs.
Fixed
Variables

Effects

Coefficients

Definition

Example

Random variable: (1) is assumed to be measured with


measurement error. The scores are a function of a true
score and random error; (2) the values come from and
are intended to generalize to a much larger population
of possible values with a certain probability distribution
(e.g., normal distribution); (3) the number of values in
the study is small relative to the values of the variable as
it appears in the population it is drawn from. Fixed
variable: (1) assumed to be measured without
measurement error; (2) desired generalization to
population or other studies is to the same values; (3)
the variable used in the study contains all or most of the
variables values in the population.

Random variable:
photographs
representing individuals
with differing levels of
attractiveness
manipulated in an
experiment, census
tracks

It is important to distinguish between a variable that is


varying and a variable that is random. A fixed variable
can have different values, it is not necessarily invariant
(equal) across groups.
Random effect: (1) different statistical model of
regression or ANOVA model which assumes that an
independent variable is random; (2) generally used if
the levels of the independent variable are thought to be
a small subset of the possible values which one wishes
to generalize to; (3) will probably produce larger
standard errors (less powerful). Fixed effect: (1)
statistical model typically used in regression and ANOVA
assuming independent variable is fixed; (2)
generalization of the results apply to similar values of
independent variable in the population or in other
studies; (3) will probably produce smaller standard
errors (more powerful).
Random coefficient: term applies only to MLR
analyses in which intercepts, slopes, and variances can
be assumed to be random. MLR analyses most
typically assume random coefficients. One can
conceptualize the coefficients obtained from the level-1
regressions as a type of random variable which comes
from and generalizes to a distribution of possible values.
Groups are conceived of as a subset of the possible
groups.
Fixed coefficient: a coefficient can be fixed to be nonvarying (invariant) across groups by setting its between
group variance to zero.
Random coefficients must be variable across groups.
Conceptually, fixed coefficients may be invariant or
varying across groups.

Use in Multilevel
Regression
Predictor
variables in MLR
generally
assumed to be
fixed

Fixed variable:
gender, race, or
intervention vs. control
group.

Random effect:
random effects ANOVA,
random effects
regression
Fixed effect: fixed
effects ANOVA, fixed
effects regression

Intercept only
models in MLR
are equivalent to
random effects
ANOVA or
ANCOVA.

Random coefficient:
the level-2 predictor,
average income, is
used to predict school
performance in each
school. Intercept
values for school
performance are
assumed to be a
sample of the intercepts
from a larger population
of schools.

Both used in
MLR. Slopes and
intercept values
can be
considered to be
fixed or random,
depending on
researchers
assumptions and
how the model is
specified. The
variance of the
slopes or
intercepts are
considered
random
coefficients.

Fixed coefficient:
slopes or intercepts
constrained to be equal
over different schools.

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