Is there some reason you are NOT using "anova", as in "Examples"
section of "?lmer"?
Permit me to summarize what I know about this, and I'll be pleased if
someone else who thinks they know different would kindly enlighten me
and others who might otherwise be misled if anything I say is
inconsistent with the best literature available at the moment:
1. Doug Bates in his PhD dissertation and later in his book with Don
Watts (1988) Nonlinear Regression Analysis and Its Applications (Wiley)
split approximation errors in nonlinear least squares into "intrinsic
curvature" and "parameter effects curvature". He quantified these two
problems in the context of roughly three dozen published examples, if my
memory is correct, and found that in not quite all cases, the parameter
effects were at least an order of magnitude greater than the intrinsic
curvature.
2. In nonnormal situations, maximum likelihood is subject to more
approximation error -- intrinsic curvature -- than "simple" nonlinear
least squares. However, I would expect this comparison to still be
fairly accurate, even if the differences may not be quite as stark.
3. The traditional use of "standard errors" to judge statistical
significance is subject to both intrinsic and parameter effects errors,
while likelihood ratio procedures such as anova are subject only to the
intrinsic curvature (assuming there are no substantive problems with
nonconvergence). Consequently, to judge statistical significance of an
effect, anova is usually substantially better than the so-called Wald
procedure using approximate standard errors, and is almost never worse.
If anyone knows of a case where this is NOT true, I'd like to know.
4. With parameters at a boundary as with variance components, the
best procedure seems to double the p-value from a nested anova (unless
the reported p-value is already large). This is because the
2*log(likelihood ratio) in such cases is roughly a 50-50 mixture of 0
and chi-square(1) [if testing only 1 variance component parameter].
This is supported by a substantial amount of research, including
simulations discussed in a chapter in Pinheiro and Bates (2000)
Mixed-Effects Models in S and S-Plus (Springer). The may be more
accurate procedures available in the literature, but none so simple as
this as far as I know.
Comments?
spencer graves
p.s. It looks like [EMAIL PROTECTED] is a list containing vectors of length 29
and 6 in your example. I don't know what they are, but I don't see how
they can be standard errors in the usual sense.
Doran, Harold wrote:
> These are the posterior variances of the random effects (I think more
> properly termed "empirical" posteriors). Your model apparently includes
> three levels of random variation (commu, bcohort, residual). The first
> are the variances associated with your commu random effect and the
> second are the variances associated with the bcohort random effect.
>
> Accessing either one would require
>
> [EMAIL PROTECTED] or [EMAIL PROTECTED]
>
> Obviously, replace "fm" with the name of your fitted model.
>
> -----Original Message-----
> From: [EMAIL PROTECTED]
> [mailto:[EMAIL PROTECTED] On Behalf Of Shige Song
> Sent: Wednesday, August 17, 2005 7:50 AM
> To: [email protected]
> Subject: Re: [R] How to assess significance of random effect in lme4
>
> Hi Harold,
>
> Thanks for the reply. I looked at my outputs using str() as you
> suggested, here is the part you mentioned:
>
> ..@ bVar :List of 2
> .. ..$ commu : num [1, 1, 1:29] 5e-10 5e-10 5e-10 5e-10 5e-10 ...
> .. ..$ bcohort: num [1, 1, 1:6] 1.05e-05 7.45e-06 6.53e-06 8.25e-06
> 7.11e-06 ...
>
> where commu and bcohort are the two second-level units. Are these
> standard errors? Why the second vector contains a series of different
> numbers?
>
> Thanks!
>
> Shige
>
> On 8/17/05, Doran, Harold <[EMAIL PROTECTED]> wrote:
>
>>
>>
>>You can extract the posterior variance of the random effect from the
>>bVar slot of the fitted lmer model. It is not a hidden option, but a
>>part of the fitted model. It just doesn't show up when you use
>
> summary().
>
>>
>> Look at the structure of your object to see what is available using
>
> str().
>
>>
>> However, your comment below seems to imply that it is incorrect for
>>lmer to report SDs instead of the standard error, which is not true.
>>That is a quantity of direct interest.
>>
>> Other multilevel programs report the same exact statistics (for the
>>most part). For instance, HLM reports the variances as well. If you
>>want the posterior variance of an HLM model you need to extract it.
>>
>>
>>
>> -----Original Message-----
>> From: [EMAIL PROTECTED] on behalf of
>>Shige Song
>> Sent: Wed 8/17/2005 6:30 AM
>> To: [email protected]
>> Cc:
>> Subject: [R] How to assess significance of random effect in
>
> lme4
>
>>
>> Dear All,
>>
>> With kind help from several friends on the list, I am getting close.
>> Now here are something interesting I just realized: for random
>>effects, lmer reports standard deviation instead of standard error! Is
>
>
>>there a hidden option that tells lmer to report standard error of
>>random effects, like most other multilevel or mixed modeling software,
>
>
>>so that we can say something like "randome effect for xxx is
>>significant, while randome effect for xxx is not significant"? Thanks!
>>
>> Best,
>> Shige
>>
>> ______________________________________________
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>> PLEASE do read the posting guide!
>>http://www.R-project.org/posting-guide.html
>>
>>
>>
>>
>>
>
>
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--
Spencer Graves, PhD
Senior Development Engineer
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333 West San Carlos Street Suite 700
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