[R-meta] Var-cov structure in multilevel/multivariate meta-analysis

James Pustejovsky jepu@to @end|ng |rom gm@||@com
Sat Mar 23 17:18:50 CET 2019


Fabian,

I don’t follow the new results you’ve just described. I meant clustering as in the clustering variable specified when computing robust standard errors. Switching this to a higher level should not affect your variance component estimates at all—only the SEs of the fixed effects will change. So I’m not sure what you’ve modified that leads to changes in the variance component estimates.

James

> On Mar 23, 2019, at 11:10 AM, Fabian Schellhaas <fabian.schellhaas using yale.edu> wrote:
> 
> Hi James,
> 
> Thanks a lot for the quick reply -- this makes sense. I just checked and clustering at a higher level instead (e.g., study) actually reduces the variance component for papers so much that retaining it does not improve model fit, so I suppose that random effect would no longer be needed? More generally, is it a correct rule of thumb to specify clustering at the highest/outermost level, and then model hierarchical dependence at lower levels by adding random effects as needed?
> 
> Thanks!
> Fabian
> 
> 
>> On Sat, Mar 23, 2019 at 11:41 AM James Pustejovsky <jepusto using gmail.com> wrote:
>> Fabian,
>> 
>> That will not work. Cluster-robust standard errors require that the clusters are independent, and so clustering at the level of the sample will fail to capture dependence at higher levels (studies and papers). I think the appropriate approach here is to cluster at the highest level (papers).
>> 
>> James
>> 
>> 
>> > On Mar 22, 2019, at 5:41 PM, Fabian Schellhaas <fabian.schellhaas using yale.edu> wrote:
>> > 
>> > Hi Wolfgang and mailing list,
>> > 
>> > I would like to follow up on point (3) from this old thread. Quick
>> > refresher of the data structure: We have (approximately) 650 effects from
>> > 400 treatment-control comparisons, which come from 325 independent samples,
>> > nested in 275 studies from 200 papers. Many of the samples include more
>> > than one treatment-control comparison and evaluate their effect on more
>> > than one outcome measure, resulting in correlated residuals clustered at
>> > the level of independent samples.
>> > 
>> > First, we model the hierarchical dependence of the true effects. LRTs
>> > indicate that model fit is improved significantly by adding random effects
>> > for treatment-control comparisons (relative to a single-level model) and
>> > further improved by adding random effects for papers (relative to the
>> > two-level model). Adding random effects for samples and studies did not
>> > improve on the two-level model. So in short, we include random effects for
>> > papers, treatment-control comparisons, and individual estimates, skipping
>> > studies and samples. Second, to deal with the nonindependent residuals, due
>> > to multiple comparisons and multiple outcome measures, we use
>> > cluster-robust variance estimation. In our data, residuals are clustered at
>> > the level of independent samples.
>> > 
>> > As such, we could fit a model as follows:
>> > vcv <- clubSandwich::impute_covariance_matrix(vi = data$vi, cluster =
>> > data$sample_id, r = 0.7)
>> > m <- metafor::rma.mv(yi, V = vcv, random = ~ 1 | paper_id/comp_id/es_id)
>> > clubSandwich::coef_test(m, cluster = data$sample_id, vcov = "CR2")
>> > 
>> > Are there any problems with computing robust standard errors at a level of
>> > clustering (here: samples) that does not correspond to the levels at which
>> > hierarchical dependence of the true effects are modeled (here: papers and
>> > treatment-control comparisons)? If so, what would be a better approach?
>> > 
>> > Many thanks!
>> > Fabian
>> > 
>> > 
>> > On Fri, Oct 5, 2018 at 11:37 AM Viechtbauer, Wolfgang (SP) <
>> > wolfgang.viechtbauer using maastrichtuniversity.nl> wrote:
>> > 
>> >> Hi Fabian,
>> >> 
>> >> (very clear description of the structure, thanks!)
>> >> 
>> >> 1) Your approach sounds sensible.
>> >> 
>> >> 2) If you are going to use cluster-robust inference methods in the end
>> >> anyway, then getting the var-cov matrix of the sampling errors 'exactly
>> >> right' is probably not crucial. It can be a huge pain constructing the
>> >> var-cov matrix, especially when dealing with complex data structures as you
>> >> describe. So, sticking to the "best guess" approach is probably defensible.
>> >> 
>> >> 3) It is difficult to give general advice, but it is certainly possible to
>> >> add random effects for samples, studies, and papers (plus random effects
>> >> for the individual estimates) here. One can probably skip a level if the
>> >> number of units at a particular level is not much higher than the number of
>> >> units at the next level (the two variance components are then hard to
>> >> distinguish). So, for example, 200 studies in 180 papers is quite similar,
>> >> so one could probably leave out the studies level and only add random
>> >> effects for papers (plus for samples and the individual estimates). You can
>> >> also run likelihood ratio tests to compare models to see if adding random
>> >> effects at the studies level actually improves the model fit significantly.
>> >> 
>> >> Best,
>> >> Wolfgang
>> >> 
>> >> -----Original Message-----
>> >> From: R-sig-meta-analysis [mailto:
>> >> r-sig-meta-analysis-bounces using r-project.org] On Behalf Of Fabian Schellhaas
>> >> Sent: Thursday, 27 September, 2018 23:55
>> >> To: r-sig-meta-analysis using r-project.org
>> >> Subject: [R-meta] Var-cov structure in multilevel/multivariate
>> >> meta-analysis
>> >> 
>> >> Dear all,
>> >> 
>> >> My meta-analytic database consists of 350+ effect size estimates, drawn
>> >> from 240+ samples, which in turn were drawn from 200+ studies, reported in
>> >> 180+ papers. Papers report results from 1-3 studies each, studies report
>> >> results from 1-2 samples each, and samples contribute 1-6 effect sizes
>> >> each. Multiple effects per sample are possible due to (a) multiple
>> >> comparisons, such that more than one treatment is compared to the same
>> >> control group, (b) multiple outcomes, such that more than one outcome is
>> >> measured within the same sample, or (c) both. We coded for a number of
>> >> potential moderators, which vary between samples, within samples, or both.
>> >> I included an example of the data below.
>> >> 
>> >> There are two main sources of non-independence: First, there is
>> >> hierarchical dependence of the true effects, insofar as effects nested in
>> >> the same sample (and possibly those nested in the same study and paper) are
>> >> correlated. Second, there is dependence arising from correlated sampling
>> >> errors when effect-size estimates are drawn from the same set of
>> >> respondents. This is the case whenever a sample contributes more than one
>> >> effect, i.e. when there are multiple treatments and/or multiple outcomes.
>> >> 
>> >> To model these data, I start by constructing a “best guess” of the var-cov
>> >> matrices following James Pustejovsky's approach (e.g.,
>> >> https://stat.ethz.ch/pipermail/r-sig-meta-analysis/2017-August/000094.html
>> >> ),
>> >> treating samples in my database as independent clusters. Then, I use these
>> >> var-cov matrices to construct the multilevel/multivariate meta-analytic
>> >> model. To account for the misspecification of the var-cov structure, I
>> >> perform all coefficient and moderator tests using cluster-robust variance
>> >> estimation. This general approach has also been recommended on this mailing
>> >> list and allows me (I think) to use all available data, test all my
>> >> moderators, and estimate all parameters with an acceptable degree of
>> >> precision.
>> >> 
>> >> My questions:
>> >> 
>> >> 1. Is this approach advisable, given the nature of my data? Any problems I
>> >> missed?
>> >> 
>> >> 2. Most manuscripts don’t report the correlations between multiple
>> >> outcomes, thus preventing the precise calculation of covariances for this
>> >> type of dependent effect size. By contrast, it appears to be fairly
>> >> straightforward to calculate the covariances between multiple-treatment
>> >> effects (i.e., those sharing a control group), as per Gleser and Olkin
>> >> (2009). Given my data, is there a practical way to construct the var-cov
>> >> matrices using a combination of “best guesses” (when correlations cannot be
>> >> computed) and precise computations (when they can be computed via Gleser
>> >> and Olkin)? I should note that I’d be happy to just stick with the “best
>> >> guess” approach entirely, but as Wolfgang Viechtbauer pointed out (
>> >> https://stat.ethz.ch/pipermail/r-sig-meta-analysis/2017-August/000131.html
>> >> ),
>> >> only a better approximation of the var-cov structure can improve precision
>> >> of the fixed-effects estimates. That's why I'm exploring this option.
>> >> 
>> >> 3. How would I best determine for which hierarchical levels to specify
>> >> random effects? I certainly expect the true effects within the same set of
>> >> respondents to be correlated, so would at least add a random effect for
>> >> sample. Beyond that (i.e., study, paper, and so forth) I’m not so sure.
>> >> 
>> >> Cheers,
>> >> 
>> >> Fabian
>> >> 
>> >> ### Database example:
>> >> 
>> >> Paper 1 contributes two studies - one containing just one sample, the other
>> >> containing two samples – evaluating the effect of treatment vs. control on
>> >> one outcome. Paper 2 contributes one study containing one sample,
>> >> evaluating the effect of two treatments (relative to the same control) on
>> >> two separate outcomes each. The first moderator varies between samples, the
>> >> second moderator varies both between and within samples.
>> >> 
>> >> paper     study sample    comp es yi        vi mod1 mod2
>> >> 
>> >> 1         1 1         1 1 0.x       0.x A A
>> >> 
>> >> 1         2 2         2 2 0.x       0.x B B
>> >> 
>> >> 1         2 3         3 3 0.x       0.x A B
>> >> 
>> >> 2         3 4         4 4 0.x       0.x B A
>> >> 
>> >> 2         3 4         4 5 0.x       0.x B C
>> >> 
>> >> 2         3 4         5 6 0.x       0.x B A
>> >> 
>> >> 2         3 4         5 7 0.x       0.x B C
>> >> 
>> >> ---
>> >> Fabian Schellhaas | Ph.D. Candidate | Department of Psychology | Yale
>> >> University
>> >> 
>> > 
>> >    [[alternative HTML version deleted]]
>> > 
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