**Multilevel and Longitudinal Modeling Using Stata, Fourth Edition**

165,600원

## Volume I: Continuous Responses

## Volume II: Categorical Responses, Counts, and Survival

Authors: Sophia Rabe-Hesketh and Anders Skrondal Publisher: Stata Press Copyright: 2022 ISBN-13: 978-1-59718-108-5 Pages: 974; paperback Download the datasets used in this book (from www.stata-press.com)

Obtain answers to the exercises

Resources for instructors

Read reviews of the first edition

Review of second edition from theStata Journal

Read reviews of the second edition## Volume I: Continuous Responses

ISBN-13: 978-1-59718-137-2 Pages: 554; paperback Author index for Volume I (PDF)

Subject index for Volume I (PDF)

Preface (PDF)

## Volume II: Categorical Responses, Counts, and Survival

ISBN-13: 978-1-59718-138-9 Pages: 477; paperback Author index for Volume II (PDF)

Subject index for Volume II (PDF)

Chapter 10—Dichotomous or binary responses (PDF)

*Multilevel and Longitudinal Modeling Using Stata, Fourth Edition*, by Sophia Rabe-Hesketh and Anders Skrondal, is a complete resource for learning to model data in which observations are grouped—whether those groups are formed by a nesting structure, such as children nested in classrooms, or formed by repeated observations on the same individuals. This text introduces random-effects models, fixed-effects models, mixed-effects models, marginal models, dynamic models, and growth-curve models, all of which account for the grouped nature of these types of data. As Rabe-Hesketh and Skrondal introduce each model, they explain when the model is useful, its assumptions, how to fit and evaluate the model using Stata, and how to interpret the results. With this comprehensive coverage, researchers who need to apply multilevel models will find this book to be the perfect companion. It is also the ideal text for courses in multilevel modeling because it provides examples from a variety of disciplines as well as end-of-chapter exercises that allow students to practice newly learned material.

The book comprises two volumes. Volume I focuses on linear models for continuous outcomes, while volume II focuses on generalized linear models for binary, ordinal, count, and other types of outcomes.

Volume I begins with a review of linear regression and then builds on this review to introduce two-level models, the simplest extensions of linear regression to models for multilevel and longitudinal/panel data. Rabe-Hesketh and Skrondal introduce the random-intercept model without covariates, developing the model from principles and thereby familiarizing the reader with terminology, summarizing and relating the widely used estimating strategies, and providing historical perspective. Once the authors have established the foundation, they smoothly generalize to random-intercept models with covariates and then to a discussion of the various estimators (between, within, and random effects). The authors also discuss models with random coefficients. The text then turns to models specifically designed for longitudinal and panel data—dynamic models, marginal models, and growth-curve models. The last portion of volume I covers models with more than two levels and models with crossed random effects.

The foundation and in-depth coverage of linear-model principles provided in volume I allow for a straightforward transition to generalized linear models for noncontinuous outcomes, which are described in volume II. This second volume begins with chapters introducing multilevel and longitudinal models for binary, ordinal, nominal, and count data. Focus then turns to survival analysis, introducing multilevel models for both discrete-time survival data and continuous-time survival data. The volume concludes by extending the two-level generalized linear models introduced in previous chapters to models with three or more levels and to models with crossed random effects.

In both volumes, readers will find extensive applications of multilevel and longitudinal models. Using many datasets that appeal to a broad audience, Rabe-Hesketh and Skrondal provide worked examples in each chapter. They also show the breadth of Stata's commands for fitting the models discussed. They demonstrate Stata's xt suite of commands (xtreg, xtlogit, xtpoisson, etc.), which is designed for two-level random-intercept models for longitudinal/panel data. They demonstrate the me suite of commands (mixed, melogit, mepoisson, etc.), which is designed for multilevel models, including those with random coefficients and those with three or more levels. In volume 2, they discuss gllamm, a community-contributed Stata command developed by Rabe-Hesketh and Skrondal that can fit many latent-variable models, of which the generalized linear mixed-effects model is a special case.The types of models fit by the xt commands, the me commands, and gllamm sometimes overlap; when this happens, the authors highlight the differences in syntax, data organization, and output for the commands. The authors also point out the strengths and weaknesses of these commands, based on considerations such as computational speed, accuracy, available predictions, and available postestimation statistics.

The fourth edition of *Multilevel and Longitudinal Modeling Using Stata* has been thoroughly revised and updated. In it, you will find new material on Kenward–Roger degrees-of-freedom adjustments for small sample sizes, difference-in-differences estimation for natural experiments, instrumental-variables estimation to account for level-one endogeneity, and Bayesian estimation for crossed-effects models. In addition, you will find new discussions of meologit, cmxtmixlogit, mestreg, menbreg, and other commands introduced in Stata since the third edition of the book.

In summary, *Multilevel and Longitudinal Modeling Using Stata, Fourth Edition* is the most complete, up-to-date depiction of Stata’s capacity for fitting models to multilevel and longitudinal data. Readers will also find thorough explanations of the methods and practical advice for using these techniques. This text is a great introduction for researchers and students wanting to learn about these powerful data analysis tools.

Sophia Rabe-Hesketh is a professor of educational statistics and biostatistics at the University of California at Berkeley and a chair of social statistics at the Institute of Education, University of London.

Anders Skrondal is a senior biostatistician at the Division of Epidemiology, Norwegian Institute of Public Health. He was previously a professor of statistics and director of the Methodology Institute at the London School of Economics and a professor of biostatistics at the University of Oslo.

1.2 Is there gender discrimination in faculty salaries?

1.3 Independent-samples t test

1.4 One-way analysis of variance

1.5 Simple linear regression

1.6 Dummy variables

1.7 Multiple linear regression

1.8 Interactions

1.9 Dummy variables for more than two groups

1.10 Other types of interactions

1.10.2 Interaction between continuous covariates

1.12 Residual diagnostics

1.13 Causal and noncausal interpretations of regression coefficients

1.13.2 Regression as structural model

1.15 Exercises

2.2 How reliable are peak-expiratory-flow measurements?

2.3 Inspecting within-subject dependence

2.4 The variance-components model

2.4.2 Path diagram

2.4.3 Between-subject heterogeneity

2.4.4 Within-subject dependence

Intraclass correlation versus Pearson correlation

2.5.2 Using xtreg

2.5.3 Using mixed

2.6.2 Hypothesis test and confidence interval for the between-cluster variance

Score test

F test

Confidence interval

2.8 Fixed versus random effects

2.9 Crossed versus nested effects

2.10 Parameter estimation

Distributional assumptions

2.10.3 Inference for β

Estimate: Unbalanced case

Implementation via the mean total residual

2.11.3 Empirical Bayes standard errors

Diagnostic standard errors

Accounting for uncertainty in β̂

2.11.4 Bayesian interpretation of REML estimation and prediction

2.13 Exercises

3.2 Does smoking during pregnancy affect birthweight?

3.3.2 Model assumptions

3.3.3 Mean structure

3.3.4 Residual covariance structure

3.3.5 Graphical illustration of random-intercept model

3.4.2 Using mixed

3.6 Hypothesis tests and confidence intervals

3.6.2 Joint hypothesis tests for several regression coefficients

3.6.3 Predicted means and confidence intervals

3.6.4 Hypothesis test for random-intercept variance

3.7.2 Within-mother effects

3.7.3 Relations among estimators

3.7.4 Level-2 endogeneity and cluster-level confounding

3.7.5 Allowing for different within and between effects

3.7.6 Robust Hausman test

3.9 Assigning values to random effects: Residual diagnostics

3.10 More on statistical inference

Feasible generalized least squares (FGLS)

ML by iterative GLS (IGLS)

ML by Newton-Raphson and Fisher scoring

ML by the expectation-maximization (EM) algorithm

REML

Purely within-cluster covariate

Purely within-cluster covariate

3.12 Exercises

4.2 How effective are different schools?

4.3 Separate linear regressions for each school

4.4 Specification and interpretation of a random-coefficient model

4.4.2 Interpretation of the random-effects variances and covariances

4.5.2 Random-coefficient model

4.7 Interpretation of estimates

4.8 Assigning values to the random intercepts and slopes

4.8.2 Empirical Bayes prediction

4.8.3 Model visualization

4.8.4 Residual diagnostics

4.8.5 Inferences for individual schools

4.10 Some warnings about random-coefficient models

4.10.2 Many random coefficients

4.10.3 Convergence problems

4.10.4 Lack of identification

4.12 Exercises

5.2 Random-effects approach: No endogeneity

5.3 Fixed-effects approach: Level-2 endogeneity

Subject dummies

5.3.3 Mundlak approach and robust Hausman test

5.3.4 First-differencing

5.4.2 Repeated-measures ANOVA

5.5.2 Fixed-coefficient model: Level-2 endogeneity

5.7 Instrumental-variable methods: Level-1 (and level-2) endogeneity

5.7.2 Conventional fixed-effects approach

5.7.3 Fixed-effects IV estimator

5.7.4 Random-effects IV estimator

5.7.5 More Hausman tests

5.8.2 Dynamic model with subject-specific intercepts

5.10 Exercises

6.2 Mean structure

6.3 Covariance structures

6.3.2 Random-intercept or compound symmetric/exchangeable structure

6.3.3 Random-coefficient structure

6.3.4 Autoregressive and exponential structures

6.3.5 Moving-average residual structure

6.3.6 Banded and Toeplitz structures

6.4.2 Heteroskedastic level-1 residuals over occasions

6.4.3 Heteroskedastic level-1 residuals over groups

6.4.4 Different covariance matrices over groups

6.6 Generalized estimating equations (GEE)

6.7 Marginal modeling with few units and many occasions

6.7.2 Marginal modeling for long panels

6.7.3 Fitting marginal models for long panels in Stata

6.9 Exercises

7.2 How do children grow?

Predicting the mean trajectory

Predicting trajectories for individual children

Predicting the mean trajectory

7.5 Heteroskedasticity

7.5.2 Heteroskedasticity at level 2

7.7 Growth-curve model as a structural equation model

7.7.2 Estimation using mixed

7.9 Exercises

8.2 Do peak-expiratory-flow measurements vary between methods within subjects?

8.3 Inspecting sources of variability

8.4 Three-level variance-components models

8.5 Different types of intraclass correlation

8.6 Estimation using mixed

8.7 Empirical Bayes prediction

8.8 Testing variance components

8.9 Crossed versus nested random effects revisited

8.10 Does nutrition affect cognitive development of Kenyan children?

8.11 Describing and plotting three-level data

8.11.2 Level-1 variables

8.11.3 Level-2 variables

8.11.4 Level-3 variables

8.11.5 Plotting growth trajectories

8.12.2 Model specification: Three-stage formulation

8.12.3 Estimation using mixed

8.15 Summary and further reading

8.16 Exercises

9.2 How does investment depend on expected profit and capital stock?

9.3 A two-way error-components model

9.3.2 Residual variances, covariances, and intraclass correlations

Cross-sectional correlations

9.3.4 Prediction

9.5 Data structure

9.6 Additive crossed random-effects model

9.6.2 Intraclass correlations

9.6.3 Estimation using mixed

9.7.2 Intraclass correlations

9.7.3 Estimation using mixed

9.7.4 Testing variance components

9.7.5 Some diagnostics

9.9 Summary and further reading

9.10 Exercises

10.2 Single-level logit and probit regression models for dichotomous responses

Estimation using logit

Estimation using glm

Probit regression

Estimation using probit

10.4 Longitudinal data structure

10.5 Proportions and fitted population-averaged or marginal probabilities

Two-stage formulation

10.6.3 Estimation

Using melogit

Using gllamm

10.8 Measures of dependence and heterogeneity

10.8.2 Median odds ratio

10.8.3 Measures of association for observed responses at median fixed part of the model

10.9.2 Tests of variance components

10.10.2 Some speed and accuracy considerations

Starting values

Using melogit and gllamm for collapsible data

Spherical quadrature in gllamm

10.11.2 Empirical Bayes prediction

10.11.3 Empirical Bayes modal prediction

10.12.2 Predicted subject-specific probabilities

Predictions for the subjects in the sample: Posterior mean probabilities

10.15 Exercises

11.2 Single-level cumulative models for ordinal responses

11.2.2 Latent-response formulation

11.2.3 Proportional odds

11.2.4 Identification

11.4 Longitudinal data structure and graphs

11.4.2 Plotting cumulative proportions

11.4.3 Plotting cumulative sample logits and transforming the time scale

Estimation using gllamm

Median odds ratio

Estimation using gllamm

11.8.2 Predicted subject-specific probabilities: Posterior mean

11.10 A random-intercept probit model with grader bias

Continuation-ratio logit model

Adjacent-category logit model

Baseline-category logit and stereotype models

11.15 Exercises

12.2 Single-level models for nominal responses

Estimation using mlogit

Estimation using clogit

Estimation using cmclogit

Estimation using cmclogit

12.4 Utility-maximization formulation

12.5 Does marketing affect choice of yogurt?

12.6 Single-level conditional logit models

Estimation using cmclogit

Estimation using gllamm

Estimation using gllamm

Estimation using gllamm

12.9 Prediction of random effects and household-specific choice probabilites

12.10 Summary and further reading

12.11 Exercises

13.2 What are counts?

13.2.2 Counts as aggregated event-history data

13.4 Did the German healthcare reform reduce the number of doctor visits?

13.5 Longitudinal data structure

13.6 Single-level Poisson regression

Estimation using glm

13.7.2 Measures of dependence and heterogeneity

13.7.3 Estimation

Using mepoisson

Using gllamm

Estimation using gllamm

Constant dispersion or NB1

13.10.3 Negative binomial models with random intercepts

Estimation using Poisson regression with dummy variables for clusters

13.11.3 Generalized estimating equations

13.14 Standardized mortality ratios

13.15 Random-intercept Poisson regression

13.18 Exercises

14.2 Single-level models for discrete-time survival data

14.2.3 Estimation via regression models for dichotomous responses

14.4 Data expansion

14.5 Proportional hazards and interval-censoring

14.6 Complementary log&endash;log models

14.9 Summary and further reading

14.10 Exercises

15.2 What makes marriages fail?

15.3 Hazards and survival

15.4 Proportional hazards models

Estimation using poisson

Estimation using stintreg

15.8 Marginal modeling

15.12.2 Counting process risk interval

15.12.3 Gap-time risk interval

15.14 Exercises

16.2 Did the Guatemalan-immunization campaign work?

16.3 A three-level random-intercept logistic regression model

16.3.2 Measures of dependence and heterogeneity

Types of median odds ratios

16.3.4 Estimation

Using gllamm

Using gllamm

16.5.2 Empirical Bayes modal prediction

16.6.2 Predicted median or conditional probabilities

16.6.3 Predicted posterior mean probabilities: Existing clusters

16.8 Crossed random-effects logistic regression

16.8.2 Approximate maximum likelihood estimation

Priors for the salamander data

Estimation using bayes: melogit

16.8.5 Fully Bayesian versus empirical Bayesian inference for random effects

16.10 Exercises