Title
reffadjust4nlcom -- random effects adjustment: regression coefficient formula to pass to nlcom
reffadjust4nlcom depvar indepvars , eqn(string) [options]
options Description ------------------------------------------------------------------------- eqn(string) name of the equation the adjusted coefficients are to be extracted from mcmcsum returned local in format for use with chains from mcmcsum sf(numlist) scaling factors corresponding to each coefficient sublevel(#) sublevel of a repeated group variable -------------------------------------------------------------------------
reffadjust4nlcom is a postestimation command to perform adjustment of random effects estimates. It runs with estimates from runmlwin or chains from runmlwin by mcmcsum (Leckie and Charlton, 2011), xtmixed, xtmelogit, and xtmepoisson. It returns the formula for a regression coefficient to pass to nlcom to generate a delta-method confidence interval.
For example, for an outcome variable Y (depvar) and covariate X1 (indepvar) the formula for the regression coefficient beta_X1 is:
beta_X1 = cov(Y,X1)/var(X1).
The approach is described in more detail in Macdonald-Wallis et al. (2011, submitted). Further details are given in reffadjust.
reffadjust4nlcom can return the formulae for upto four covariates and returns locals for all specified covariates. The covariates (indepvars) can be specified in any order. reffadjustsim can adjust for more covariates.
See Buis (2011) for a description of how to retrieve random effect variances and correlations from xt commands.
Note on multivariate response models: Covariates (indepvars) in runmlwin estimates from multivariate response models have suffix _#, where # is the corresponding equation number. For example, from equation 1 cons would be referred to as cons_1.
Note on shrinkage estimates: reffadjust4nlcom uses the estimated random effect variances and covariances from the model. It does not use the shrinkage estimates of these parameters, i.e. the variances and covariances of the residuals (see chapter 3 of the MLwiN User Manual).
Warning about P-values for these estimates The P-values associated with these estimates from nlcom may be affected by boundary value issues in the estimation of the random effect variances and covariances (see Distribution theory for likelihood ratio tests subsection in [XT] xtmixed, Gutierrez et al. 2001).
Interpretation of coefficients: The coefficients estimated by reffadjust4nlcom represent the mean difference in the random effect entered as the dependent variable, which is associated with a unit increase in each of the random effects entered as independent variables, whilst adjusting for the other random effects included as independent variables.
Parameters estimated with zero variance: Sometimes a multilevel model can be declared as converged but some parameters (especially random effect variances and covariances) may not have a standard error. A warning is issued that resulting confidence intervals may not be valid in this case.
eqn(string) the name of the equation the coefficients are to be extracted from. For example a two level random effects model from runmlwin will typically return four equations (FP1, FP2, RP1, RP2).
mcmcsum specifies that the returned local is to use variable names of chains which are returned from MLwiN Bayesian MCMC estimation by mcmcsum, getchains. Only allowed with runmlwin estimates.
sf(numlist) a numlist of scaling factors. If specified each number corresponds to the respective covariate (indepvar), i.e. the first number is the scaling factor for the first coefficient and so on. If specified the numlist must be the same length as the number of covariates. To scale the coefficient by 2 times the dependent variable (Y), for example, then with one covariate (X) specify sf(2). To scale the coefficient by 2 times the covariate specify sf(.5) because the coefficient is by 2/2^2 since a regression coefficient is given by: cov(X,Y)/var(X).
sublevel(#) the sublevel of a repeated group variable. For example, in the following model
. xtmixed f_p || school: z1 z2, nocons cov(id) || school: z3 z4, nocons cov(un) options
z1 and z2 are at sublevel 1 and z3 and z4 are at sublevel 2 of the school group variable. Only valid with xtmixed, xtmelogit, and xtmepoisson.
--------------------------------------------------------------------------- Examples 1 & 2 assume the path to the MLwiN executable is set in global MLwiN_path; see runmlwin
Example 1: Two level continuous response model (see page 59 of the MLwiN User Manual)
. * read in data . use http://www.bristol.ac.uk/cmm/media/runmlwin/tutorial, clear
. * fit model using MLwiN via runmlwin . runmlwin normexam cons standlrt, level1(student: cons) level2(school: cons standlrt) batch
. * report coefficient and delta-method confidence interval . reffadjust4nlcom cons standlrt, eqn(RP2) . nlcom `r(beta_standlrt)'
. * compare reporting coefficient as median with 2.5 & 97.5 percentiles . reffadjustsim cons standlrt, eqn(RP2) seed(12345)
. * compare reporting coefficient as mean & Wald-type confidence interval . * Warning: mean and Wald-type confidence are inaccurate in this example . reffadjustsim cons standlrt, eqn(RP2) seed(12345) waldtype
. * to view just the coefficient or string expression for the coefficient . reffadjust4nlcom cons standlrt, eqn(RP2) . display `r(beta_standlrt)' . mata st_macroexpand("`r(beta_standlrt)'")
. * compare with Bayesian posterior distribution . runmlwin normexam cons standlrt, level1(student: cons) level2(school: cons standlrt) batch mcmc(on) initsprevious seed(121211) . mcmcsum, getchains . reffadjust4nlcom cons standlrt, eqn(RP2) mcmcsum . gen beta_standlrt = `r(beta_standlrt)' . mcmcsum beta_standlrt, variables
Example 2: Multivariate response model (see page 214 of the MLwiN User Manual)
. * read in data . use http://www.bristol.ac.uk/cmm/media/runmlwin/gcsemv1, clear
. * fit model using MLwiN via runmlwin . runmlwin (written cons female, eq(1)) (csework cons female, eq(2)), level1(student: (cons, eq(1)) (cons, eq(2))) level2(school: (cons, eq(1)) (cons, eq(2))) batch
. * report coefficient and delta-method confidence interval . reffadjust4nlcom cons_1 cons_2, eqn(RP2) . nlcom `r(beta_cons_2)'
. * compare reporting coefficient as median with 2.5 and 97.5 percentiles . reffadjustsim cons_1 cons_2, eqn(RP2) seed(12345) . * compare reporting coefficient as mean with Wald-type confidence interval . reffadjustsim cons_1 cons_2, eqn(RP2) seed(12345) waldtype
. * to view just the coefficient or string expression for the coefficient . reffadjust4nlcom cons_1 cons_2, eqn(RP2) . display `r(beta_cons_2)' . mata st_macroexpand("`r(beta_cons_2)'")
. * compare with Bayesian posterior distribution . runmlwin (written cons female, eq(1)) (csework cons female, eq(2)), level1(student: (cons, eq(1)) (cons, eq(2))) level2(school: (cons, eq(1)) (cons, eq(2))) batch mcmc(on) initsprevious seed(121211) . mcmcsum, getchains . reffadjust4nlcom cons_1 cons_2, eqn(RP2) mcmcsum . gen beta_cons_2 = `r(beta_cons_2)' . mcmcsum beta_cons_2, variables
Example 3: based on xtmixed helpfile . webuse nlswork, clear . xtmixed ln_w grade age c.age#c.age ttl_exp tenure c.tenure#c.tenure || idcode: tenure, cov(uns) var . reffadjust4nlcom _cons tenure, eqn(idcode) . nlcom `r(beta_tenure)'
Example 4: based on xtmelogit helpfile . webuse bangladesh, clear . xtmelogit c_use urban age child* || district: urban, cov(uns) var . reffadjust4nlcom _cons urban, eqn(district) . nlcom `r(beta_urban)'
Example 5: based on xtmepoisson helpfile . webuse epilepsy, clear . xtmepoisson seizures treat lbas lbas_trt lage visit || subject: visit, cov(uns) var intpoints(9) . reffadjust4nlcom _cons visit, eqn(subject) . nlcom `r(beta_visit)'
Example 6: repeated group variable . webuse nlswork, clear . xtmixed ln_w grade age || idcode: tenure union, cov(uns) || idcode: race, cov(uns) var . reffadjust4nlcom tenure union, eqn(idcode) sub(1) . nlcom `r(beta_union)' . reffadjust4nlcom race _cons, eqn(idcode) sub(2) . nlcom `r(beta__cons)' ---------------------------------------------------------------------------
reffadjust4nlcom saves the following in r():
Macros r(beta_indepvar) Formula for beta_indepvar
Buis ML. 2011. Stata tip 97: Getting at rho's and sigma's. The Stata Journal. 11(2) 315-317.
Gutierrez RG, Carter S, Drukker DM. 2001. sg160: On boundary-value likelihood ratio tests. Stata Technical Bulletin. 60. 15-18.
Leckie G, Charlton C. 2011. runmlwin: Stata module for fitting multilevel models in the MLwiN software package. Centre for Multilevel Modelling, University of Bristol, UK. http://www.bristol.ac.uk/cmm/software/runmlwin/
Macdonald-Wallis C, Lawlor DA, Palmer TM, Tilling K. 2011 (submitted). Multivariate multilevel spline models for parallel growth processes: application to weight and mean arterial pressure in pregnancy. Statistics in Medicine.
Rasbash J, Charlton C, Browne WJ, Healy M, Cameron B. 2009. MLwiN version 2.1. Centre for Multilevel Modelling, University of Bristol, UK. http://www.bristol.ac.uk/cmm/software/mlwin.
Rasbash J, Steele F, Browne WJ, Goldstein H. 2009. A user's guide to MLwiN, v2.10. Centre for Multilevel Modelling, University of Bristol, UK. http://www.bristol.ac.uk/cmm/software/mlwin/download/manuals.html.
Tom Palmer, MRC Centre for Causal Analyses in Translational Epidemiology, School of Social and Community Medicine, University of Bristol, UK. tom.palmer@bristol.ac.uk.
Corrie Macdonald-Wallis, MRC Centre for Causal Analyses in Translational Epidemiology, School of Social and Community Medicine, University of Bristol, UK. c.macdonald-wallis@bristol.ac.uk.
Also see
Help: reffadjust, reffadjustsim, runmlwin (if installed), mcmcsum (if installed), nlcom, xtmixed, xtmelogit, xtmepoisson