[R] Likelihood ratio test between glm and glmer fits
Dimitris Rizopoulos
Dimitris.Rizopoulos at med.kuleuven.be
Wed Jul 16 20:22:05 CEST 2008
well, for computing the p-value you need to use pchisq() and dchisq()
(check ?dchisq for more info). For model fits with a logLik method you
can directly use the following simple function:
lrt <- function (obj1, obj2) {
L0 <- logLik(obj1)
L1 <- logLik(obj2)
L01 <- as.vector(- 2 * (L0 - L1))
df <- attr(L1, "df") - attr(L0, "df")
list(L01 = L01, df = df,
"p-value" = pchisq(L01, df, lower.tail = FALSE))
}
library(lme4)
gm0 <- glm(cbind(incidence, size - incidence) ~ period,
family = binomial, data = cbpp)
gm1 <- glmer(cbind(incidence, size - incidence) ~ period + (1 | herd),
family = binomial, data = cbpp)
lrt(gm0, gm1)
However, there are some issues regarding this likelihood ratio test.
1) The null hypothesis is on the boundary of the parameter space,
i.e., you test whether the variance for the random effect is zero. For
this case the assumed chi-squared distribution for the LRT may *not*
be totally appropriate and may produce conservative p-values. There is
some theory regarding this issue, which has shown that the reference
distribution for the LRT in this case is a mixture of a chi-squared(df
= 0) and chi-squared(df = 1). Another option is to use
simulation-based approach where you can approximate the reference
distribution of the LRT under the null using simulation. You may check
below for an illustration of this procedure (not-tested):
X <- model.matrix(gm0)
coefs <- coef(gm0)
pr <- plogis(c(X %*% coefs))
n <- length(pr)
new.dat <- cbpp
Tobs <- lrt(gm0, gm1)$L01
B <- 200
out.T <- numeric(B)
for (b in 1:B) {
y <- rbinom(n, cbpp$size, pr)
new.dat$incidence <- y
fit0 <- glm(formula(gm0), family = binomial, data = new.dat)
fit1 <- glmer(formula(gm1), family = binomial, data = new.dat)
out.T[b] <- lrt(fit0, fit1)$L01
}
# estimate p-value
(sum(out.T >= Tobs) + 1) / (B + 1)
2) For the glmer fit you have to note that you work with an
approximation to the log-likelihood (obtained using numerical
integration) and not the actual log-likelihood.
I hope it helps.
Best,
Dimitris
----
Dimitris Rizopoulos
Biostatistical Centre
School of Public Health
Catholic University of Leuven
Address: Kapucijnenvoer 35, Leuven, Belgium
Tel: +32/(0)16/336899
Fax: +32/(0)16/337015
Web: http://med.kuleuven.be/biostat/
http://www.student.kuleuven.be/~m0390867/dimitris.htm
Quoting COREY SPARKS <corey.sparks at UTSA.EDU>:
> Dear list,
> I am fitting a logistic multi-level regression model and need to
> test the difference between the ordinary logistic regression from a
> glm() fit and the mixed effects fit from glmer(), basically I want
> to do a likelihood ratio test between the two fits.
>
>
> The data are like this:
> My outcome is a (1,0) for health status, I have several (1,0) dummy
> variables RURAL, SMOKE, DRINK, EMPLOYED, highereduc, INDIG, male,
> divorced, SINGLE, chronic, vigor_d and moderat_d and AGE is
> continuous (20 to 100).
> My higher level is called munid and has 581 levels.
> The data have 45243 observations.
>
> Here are my program statements:
>
> #GLM fit
> ph.fit.2<-glm(poorhealth~RURAL+SMOKE+DRINK+EMPLOYED+highereduc+INDIG+AGE+male+divorced+SINGLE+chronic+vigor_d+moderat_d,family=binomial(),
> data=mx.merge)
> #GLMER fit
> ph.fit.3<-glmer(poorhealth~RURAL+SMOKE+DRINK+EMPLOYED+INSURANCE+highereduc+INDIG+AGE+male+divorced+SINGLE+chronic+vigor_d+moderat_d+(1|munid),family=binomial(),
> data=mx.merge)
>
> I cannot find a method in R that will do the LR test between a glm
> and a glmer fit, so I try to do it using the liklihoods from both
> models
>
> #form the likelihood ratio test between the glm and glmer fits
> x2<--2*(logLik(ph.fit.2)-logLik(ph.fit.3))
>
>> ML
> 79.60454
> attr(,"nobs")
> n
> 45243
> attr(,"nall")
> n
> 45243
> attr(,"df")
> [1] 14
> attr(,"REML")
> [1] FALSE
> attr(,"class")
> [1] "logLik"
>
> #Get the associated p-value
> dchisq(x2,14)
> ML
>> 5.94849e-15
>
> Which looks like an improvement in model fit to me. Am I seeing
> this correctly or are the two models even able to be compared? they
> are both estimated via maximum likelihood, so they should be, I think.
> Any help would be appreciated.
>
> Corey
>
> Corey S. Sparks, Ph.D.
>
> Assistant Professor
> Department of Demography and Organization Studies
> University of Texas San Antonio
> One UTSA Circle
> San Antonio, TX 78249
> email:corey.sparks at utsa.edu
> web: https://rowdyspace.utsa.edu/users/ozd504/www/index.htm
>
>
> [[alternative HTML version deleted]]
>
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