MCMC Sampling for a Multilevel Model With Nonindependent Residuals Within and Between Cluster Units

William Browne and Harvey Goldstein

Journal of Educational and Behavioral Statistics, 2010, vol. 35, issue 4, 453-473

Abstract: In this article, we discuss the effect of removing the independence assumptions between the residuals in two-level random effect models. We first consider removing the independence between the Level 2 residuals and instead assume that the vector of all residuals at the cluster level follows a general multivariate normal distribution. We demonstrate how this assumption can allow us to fit higher levels of clustering and school competition effects via an example from education. We then consider removing the assumption of independence between Level 1 residuals within clusters. We show how this extension can allow time series type models. Both normal and binary responses are considered.

Keywords: correlated residuals; education; MCMC; multilevel models; time series (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:jedbes:v:35:y:2010:i:4:p:453-473

DOI: 10.3102/1076998609359788

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