(This article was originally published at Statistical Modeling, Causal Inference, and Social Science, and syndicated at StatsBlogs.)
Bruce Doré writes:
I have a question about multilevel modeling I’m hoping you can help with.
What should one do when random effects coefficients are clearly not normally distributed (i.e., coef(lmer(y~x+(x|id))) )? Is this a sign that the model should be changed? Or can you stick with this model and infer that the assumption of normally distributed coefficients is incorrect?
I’m seeing strongly leptokurtic random slopes in a context where I have substantive interest in the shape of this distribution. That is, it would be useful to know if there are more individuals with “extreme” and fewer with “moderate” slopes than you’d expect of a normal distribution.
My reply: You can fit a mixture model, or even better you can have a group-level predictor that breaks up your data appropriately. To put it another way: What are your groups? And which are the groups that have low slopes and which have high slopes? Or which have slopes near the middle of the distribution and which have extreme slopes? You could fit a mixture model where the variance varies, but I think you’d be better off with a model using group-level predictors. Also I recommend using Stan which is more flexible than lmer and gives you the full posterior distribution.
Doré then added:
My groups are different people reporting life satisfaction annually surrounding a stressful life event (divorce, bereavement, job loss). I take it that the kurtosis is a clue that there are unobserved person-level factors driving this slope variability? With my current data I don’t have any person-level predictors that could explain this variability, but certainly it would be good to try to find some.
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