Specification of Random Effects in Multilevel Models: A Review

13 Pages Posted: 21 Feb 2016

See all articles by Leonardo Grilli

Leonardo Grilli

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)

Carla Rampichini

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)

Date Written: February 20, 2016

Abstract

The analysis of highly structured data requires models with unobserved components (random effects) able to adequately account for the patterns of variances and correlations. The specification of the unobserved components is a key and challenging task. In this paper, we first review the literature about the consequences of misspecifying the distribution of the random effects and the related diagnostic tools; we then outline the main alternatives and generalizations, also considering some issues arising in Bayesian inference. The relevance of suitably structuring the unobserved components is illustrated by means of an application exploiting a model with heteroscedastic random effects.

Keywords: finite mixture; heteroscedasticity; misspecification; mixed model; prior distribution

JEL Classification: C10, C21, C51

Suggested Citation

Grilli, Leonardo and Rampichini, Carla, Specification of Random Effects in Multilevel Models: A Review (February 20, 2016). Available at SSRN: https://ssrn.com/abstract=2735400 or http://dx.doi.org/10.2139/ssrn.2735400

Leonardo Grilli (Contact Author)

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA) ( email )

Viale Morgagni, 59
Florence, 50134
Italy

Carla Rampichini

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA) ( email )

Viale Morgagni, 59
Florence, 50134
Italy

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