Can fixed-effects become biased due to random structure misspecification

Question

I'm following-up on this great answer. Essentially, I was wondering how could misspecification of random-effects bias the estimates of fixed-effects?

So, can the same set of fixed-effect coefficients become biased if we create models that only differ in their random-effect specification?

Also as a conceptual matter, can we say in mixed-effect models, the fixed-effect coef is some kind of (weighted) average of the individual regression counterparts fit to each individual cluster and that is why fixed-effect coefs in mixed models can prevent something like this Simpson's Paradox case from happening?

A possible R demonstration is appreciated.

Answer 1

Can fixed-effects become biased due to random structure misspecification

Yes they can. Let's do a simulation in R to show it.

We will simulate data according to the following model:

Y ~ treatment + time + (1 | site) + (time | subject)

So we have fixed effects for treatment and time, random intercepts for subject nested within site and random slopes for time over subject. There are many things that we can vary with this simulation and obviously there is a limit to what I can do here. But if you (or others) have some suggestions for altering the simulations, then please let me know. Of course you can also play with the code yourself :)

In order to look at bias in the fixed effects we will do a Monte Carlo simulation. We will make use of the following helper function to determine if the model converged properly or not:

hasConverged <- function (mm) {
  
  if ( !(class(mm)[1] == "lmerMod" | class(mm)[1] == "lmerModLmerTest"))  stop("Error must pass a lmerMod object")
  
  retval <- NULL
  
  if(is.null(unlist(mm@optinfo$conv$lme4))) {
    retval = 1
  }
  else {
    if (isSingular(mm)) {
      retval = 0
    } else {
      retval = -1
    }
  }
  return(retval)
}

So we will start by setting up the parameters for the nested factors:

n_site <- 100; n_subject_site <- 5;  n_time <- 2

which are the number of sites, the number of subjects per site and the number of measurements within subjects.

So now we simulate the factors:

dt <-  expand.grid(
  time = seq(0, 2, length = n_time),
  site = seq_len(n_site),
  subject = seq_len(n_subject_site),
  reps = 1:2
) %>%
  mutate(
    subject = interaction(site, subject),
    treatment = sample(0:1, size = n_site * n_subject_site,, replace =
                         TRUE)[subject],
    Y = 1
    
  )
X <- model.matrix(~ treatment + time, dt)  # model matrix for fixed effects

where we also add a column of 1s for the reponse at this stage in order to make use of the lFormula function in lme4 which can construct the model matrix of random effects Z:

myFormula <- "Y ~ treatment + time + (1 | site) + (time|subject)"

foo <- lFormula(eval(myFormula), dt)
Z <- t(as.matrix(foo$reTrms$Zt))

Now we set up the parameters we will use in the simulations:

# fixed effects
intercept <- 10; trend <- 0.1; effect <- 0.5   

# SDs of random effects 
sigma_site <- 5; sigma_subject_ints <- 2; sigma_noise <- 1; sigma_subj_slopes <- 0.5 

# correlation between intercepts and slopes for time over subject
rho_subj_time <- 0.2  

betas <- c(intercept, effect, trend) # Fixed effects parameters

Then we perform the simulations:

n_sim <- 200
# vectrs to store the fixed effects from each simulations
vec_intercept <- vec_treatment <- vec_time <- numeric(n_sim)   

for (i in 1:n_sim) {
 set.seed(i)

  u_site <- rnorm(n_site, 0, sigma_site) # standard deviation of random intercepts for site

  cormat <-  matrix(c(sigma_subject_ints, rho_subj_time, rho_subj_time, sigma_subj_slopes), 2, 2)  # correlation matrix 
  covmat <- lme4::sdcor2cov(cormat)   

  umat <- MASS::mvrnorm(n_site * n_subject_site, c(0, 0), covmat, empirical = TRUE)  # simulate the random effects

  u_subj <- c(rbind(umat[, 1], umat[, 2]))  # lme4 needs the random effects in this order (interleaved) when there are slopes and intercepts

  u <- c(u_subj, u_site)

  e <- rnorm(nrow(dt), 0, sigma_noise)   # residual error

  dt$Y <- X %*% betas + Z %*% u + e   

  m0 <- lmer(myFormula, dt)
  
  summary(m0) %>% coef() -> dt.tmp

  if(hasConverged(m0)) {
    vec_intercept[i] <- dt.tmp[1, 1]
    vec_treatment[i] <- dt.tmp[2, 1]
    vec_time[i] <- dt.tmp[3, 1]
  } else {
    vec_intercept[i] <- vec_treatment[i] <- vec_time[i] <- NA
  }

}

And finally we can check for bias:

mean(vec_intercept, na.rm = TRUE)
## [1] 10.04665
mean(vec_treatment, na.rm = TRUE)
## 0.497358
mean(vec_time, na.rm = TRUE)
## [1] 0.09761494

...and these agree closely with the values used in the simulation: 10, 0.5 and 0.1.

Now, let us repeat the simulations, based on the same model:

Y ~ treatment + time + (1 | site) + (time|subject)

but instead of fitting this model, we will fit:

Y ~ treatment + time + (1 | site)

So we just need to make a simple change:

 m0 <- lmer(myFormula, dt)  

to

 m0 <- lmer(Y ~ treatment + time + (1 | site), data = dt )

And the results are:

mean(vec_intercept, na.rm = TRUE)
## [1] 10.04169
mean(vec_treatment, na.rm = TRUE)
##[1] 0.5068864
mean(vec_time, na.rm = TRUE)
##[1] 0.09761494

So that's all good.

Now we make a simple change:

n_site <- 4

So now, instead of 100 sites, we have 4 sites. We retain the number of subjects per site (5) and the number of time points per subject (2).

For the "correct" model, the results are:

mean(vec_intercept, na.rm = TRUE)
## 10.16447
mean(vec_treatment, na.rm = TRUE)
## [1] 0.422812
mean(vec_time, na.rm = TRUE)
## [1] 0.1049933

Now, while the intercept and time are close to unbiased, the treatment fixed effect is a little off (0.42 vs 0.5, a bias of around -15% which perhaps stregthens the argument for not fitting random intercepts at all for such a small group even when the random structure is correct). But, if we fit the "wrong" model, the results are:

mean(vec_intercept, na.rm = TRUE)
## [1] 10.0194
mean(vec_treatment, na.rm = TRUE)
## [1] 0.7084542
mean(vec_time, na.rm = TRUE)
## [1] 0.1029664

So now we find the bias of around +42%

As mentioned above, there are a huge number of possible ways this simulation can be altered and adapted, but it does show that biased fixed effects can result when the random structure is wrong, as requested.

Answer 2

Heterogeneity alone does not constitute a random variable. It is the act of sampling that does. If, for example, you have collected data at various sites and decide to treat site as a random effect you are saying that these sites were randomly selected from a broader population of sites and individual patients represent repeated measurements on each site. Site is now the primary sampling unit. The endpoint and regression coefficients could be interpreted to pertain to sites instead of people. If you did not actually randomly select these sites from a broader population, that is you would not imagine using an entirely different set of sites each time the experiment is performed, then site should not be treated as a random effect. If sites are not considered random, any inference we derive is on a broader population of subjects who visit the fixed collection of sites in the study. We could include site as a fixed effect but this makes the results site specific which may also not be of interest. If we treat sites as random anyways this can most certainly introduce bias in estimation and inference. It all comes down to the sampling scheme.

Answer 3

This paper may (or may not!) be of interest https://www.sciencedirect.com/science/article/abs/pii/S0378375820300732?via%3Dihub

We explore how violations of the often-overlooked standard assumption that the random effects model matrix in a linear mixed model is fixed (and thus independent of the random effects vector) can lead to bias in estimators of estimable functions of the fixed effects. However, if the random effects of the original mixed model are instead also treated as fixed effects, or if the fixed and random effects model matrices are orthogonal with respect to the inverse of the error covariance matrix (with probability one), or if the random effects and the corresponding model matrix are independent, then these estimators are unbiased. The bias in the general case is quantified and compared to a randomized permutation distribution of the predicted random effects, producing an informative summary graphic for each estimator of interest. This is demonstrated through the examination of sporting outcomes used to estimate a home field advantage.