ML or REML for LR tests
On 29/08/2008, at 2:47 PM, Austin Frank wrote:
On Thu, Aug 28 2008, Doran, Harold wrote:
The likelihood-ratio test approach directly compares these two.
Since these models differ in their fixed effects, you need REML=FALSE for the LRT to be meaningful.
This is a standard operating procedure that I picked up and accepted on faith when I first started using lmer, before I really knew what I was doing. It occurs to me that this is the case for much of my understanding of model comparison, so I'd like to check my understanding of the use of LR tests with lmer. If this is a case of RTFM, please provide a pointer to the relevant Friendly Manual ;) 1) Can anyone offer a reference where the case is made for doing LR tests on models fit by ML (as opposed to REML)?
Any decent mixed models text. Verbeke and Molenberghs "Linear Mixed Models for Longitudinal Data" p63 or Pinheiro and Bates "Mixed-Effects Models in S and S-Plus" p76.
2) Can non-nested ML models with the same number of fixed effects be meaningfully compared with an LR test? Something like:
No. General principle is for LR test models must be nested.
--8<---------------cut here---------------start------------->8---
data(sleepstudy)
set.seed(535353)
sleepstudy$Fake <- rnorm(nrow(sleepstudy))
m1 <- lmer(Reaction ~ Days + (1 | Subject), sleepstudy, REML=FALSE)
m2 <- lmer(Reaction ~ Fake + (1 | Subject), sleepstudy, REML=FALSE)
anova(m1, m2) # Is this test meaningful...
## When possible, test against superset model
m12 <- lmer(Reaction ~ Days + Fake (1 | Subject),
sleepstudy, REML=FALSE)
anova(m1, m2, m12) # ... or only this one?
--8<---------------cut here---------------end--------------->8---
3) Is it the case that LR tests between REML models with different
random effects are meaningful? Does this apply to both nested and
non-nested models?
Maybe, but only for nested (see Q2). Supposedly it works better than ML. The significance tests wont be correct but if there is a huge significance level then there is probably a random effect. Simulation seems a better idea. Ken
Thanks for the help, /au -- Austin Frank http://aufrank.net GPG Public Key (D7398C2F): http://aufrank.net/personal.asc
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