Efficient computational procedures for the estimation of parameters in multilevel models based on iterative generalised least squares

Goldstein, H. and Rasbash, J.
Computational Statistics and Data Analysis, 40, 235-244

Multilevel modelling is sometimes used for data from complex surveys involving multistage sampling, unequal sampling probabilities and stratification. We consider generalized linear mixed models and particularly the case of dichotomous responses. A pseudolikelihood approach for accommodating inverse probability weights in multilevel models with an arbitrary number of levels is implemented by using adaptive quadrature. A sandwich estimator is used to obtain standard errors that account for stratification and clustering. When level 1 weights are used that vary between elementary units in clusters, the scaling of the weights becomes important. We point out that not only variance components but also regression coefficients can be severely biased when the response is dichotomous. The pseudolikelihood methodology is applied to complex survey data on reading proficiency from the American sample of the 'Program for international student assessment' 2000 study, using the Stata program gllamm which can estimate a wide range of multilevel and latent variable models. Performance of pseudo-maximum-likelihood with different methods for handling level 1 weights is investigated in a Monte Carlo experiment. Pseudo-maximum-likelihood estimators of (conditional) regression coefficients perform well for large cluster sizes but are biased for small cluster sizes. In contrast, estimators of marginal effects perform well in both situations. We conclude that caution must be exercised in pseudo-maximum-likelihood estimation for small cluster sizes when level 1 weights are used.

Number of levels
Model data structure
Response types
Multivariate response model?
Longitudinal data?
Substantive discipline

provided computational details of IGLS algorithm to form basis of future software - mln and mlwin.

Paper submitted by
Harvey Goldstein, Graduate School of Education, University of Bristol, h.goldstein@bristol.ac.uk
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