The influence of misspecification of the heteroscedasticity on multilevel regression parameter and standard error estimates


van der Heijden, Peter G.M., Moerbeek, Mirjam, Maas, Cora J.M. and Korendijk, Elly J.H. (2008) The influence of misspecification of the heteroscedasticity on multilevel regression parameter and standard error estimates. Methodology: European Journal of Research Methods for the Behavioral and Social Sciences, 4, (2), 67-72. (doi:10.1027/1614-2241.4.2.67).

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Description/Abstract

Like in ordinary regression models, in multilevel analysis, homoscedasticity of the residual variances is an assumption that is mostly unchecked. However, in experimental research, the residual variance component at level two may differ in the experimental and the control condition, leading to heteroscedastic second level variances. Using a simulation study, the consequences of ignoring second level heteroscedasticity on the estimation of the fixed and random parameters and their standard errors was investigated. It was found that the standard error of the second level variance is underestimated, but that the estimated fixed parameters of the independent variables, the first level variance and their standard errors are mostly unbiased.

Item Type: Article
ISSNs: 1614-1881 (print)
1614-2241 (electronic)
Keywords: heteroscedasticity, homoscedasticity, heterogeneous variances, multilevel analysis, cluster randomized trials, simulation
Subjects: H Social Sciences > HA Statistics
Divisions: Faculty of Social and Human Sciences > Southampton Statistical Sciences Research Institute
ePrint ID: 344676
Date Deposited: 26 Oct 2012 13:53
Last Modified: 27 Mar 2014 20:26
URI: http://eprints.soton.ac.uk/id/eprint/344676

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