Wednesday, April 6, 2011

Topics Related to Linear Models

While attending a session at this year’s SAS Global Forum, I was reminded of several topics that I have not covered in previous posts, but should have.

Fixed and Random Effects Models and Panel Data (see also Mixed, Fixed and Random Effects)

Notes: Panel data, or repeated measures data, is characterized by multiple observations on individuals over time.  A consequence of this is that measurements on the same individual will likely be more correlated than measurements for (or between) different individuals.  Measurements taken closer together over time will also likely be more correlated than measurements taken at greater intervals. As a result, assumptions from OLS regression regarding independence and homogenous variance will likely be violated.  As noted during the session I attended, in SAS, PROC MIXED appropriately handles within subject and time dependent correlations and the covariance structure associated with repeated measures.

Let’s structure the model as follows: Yit = Xit + Ait +Uit

Where Ait is a unobserved individual effect. There are two assumptions that we can work under when estimating this model,

1)Random Effects (RE): Assumes that Ait is independent of X . X may be considered a  predetermined, or other fixed effect. Ait is a random effect.

Estimation: Feasible Generalized Least Squares-  Bfgls = (X’W-1X)-1X’W-1y
i.e V(e) != σ2  I  which would be the case under OLS

2)Fixed Effects (FE): Assumes Ait is not independent of X.

Estimation: differencing or subtracting the respective means from X and Y  and running OLS on the adjusted data produces the estimate of B.

You could also subtract the lagged version of each variable X and Y from itself respectively to move the time-correlated component, or you could remove Ait through dummy variable regression.

Fixed and Random Effects in Analysis of Variance (in general)

In my previous posts related to AOV and Mixed Models,  I did not discuss these in the context of  AOV.

Typically fixed effects are repeatable factors that are set by the experimenter,  often the ‘treatments.’  Random effects are effects that are selected randomly from a population, often ‘blocks.’

Type I and III Sums of Squares

Type I Sums of Squares: often referred to as sequential sums of squares, this is the SS for each effect adjusted for all effects that appear earlier in the model.

Y1 = X1B1                       

Type I SS = SSR(Y1) = SS(x1)

Y2 = X1B1 + X2B2

Type I SS = SSR(Y2) – SSR(Y1) = SS(X2)

Type III sums of squares are adjusted for every X in the full model.


Y1 = B1X1 + B2X2
Y2 = B1X1

Type III SS = SSR(Y1) – SSR(Y2) = SS(X1)

Y3 = B2X2

Type III SS = SSR(Y1) – SSR(Y3) = SS(X2)

Means vs. LS Means

Means = overall mean for a treatment or factor level

LS Means = within group means adjusted for other effects in the model

Type I SS are used to test differences between means while type III SS are used to test differences between LS Means. 

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