階層線性模型 (Hierarchical Linear Modeling)
Overview
Hierarchical Linear Modeling (HLM), also called multilevel modeling, accounts for the nested structure of data where lower-level units (e.g., students, employees) are clustered within higher-level units (e.g., schools, firms). By partitioning variance into within-group and between-group components and allowing intercepts and slopes to vary randomly, HLM produces unbiased estimates and correct standard errors.
When to Use
- Data has a hierarchical or nested structure (individuals within groups)
- Intra-class correlation (ICC) is non-trivial (rule of thumb: ICC > 0.05)
- Research questions involve cross-level interactions (group-level moderators of individual-level effects)
- Repeated measures or longitudinal data nested within subjects (growth models)
When NOT to Use
- Data are not nested or clustering is negligible (ICC near zero)
- Number of groups is very small (fewer than 20 Level-2 units)
- Interest is purely in fixed effects with no group-level predictors
- The nesting structure is crossed, not hierarchical (use crossed random effects instead)
Assumptions
IRON LAW: Ignoring nested structure when ICC is non-trivial produces
UNDERESTIMATED standard errors — leading to inflated Type I error rates.
OLS treats clustered observations as independent, overstating precision.
Key assumptions:
- Level-1 residuals are normally distributed with constant variance within groups
- Random effects (intercepts, slopes) are normally distributed across groups
- Random effects are independent of Level-1 and Level-2 predictors (unless modeled)
- Sufficient number of Level-2 units for stable variance component estimation
Methodology
Step 1 — Estimate the Null Model (Unconditional)
Run an intercept-only model to compute ICC = τ₀₀ / (τ₀₀ + σ²). This tells you what proportion of total variance lies between groups. If ICC is near zero, HLM may be unnecessary.
Step 2 — Add Level-1 Predictors (Random Intercept Model)
Include individual-level predictors with a random intercept. Group-mean center Level-1 predictors if the research question distinguishes within-group from between-group effects. See
for centering decisions and equations.
Step 3 — Add Level-2 Predictors and Cross-Level Interactions
Include group-level predictors to explain between-group variance in intercepts. Add cross-level interactions to test whether group characteristics moderate individual-level slopes. Allow slopes to vary randomly if theoretically justified.
Step 4 — Evaluate Model and Report
Compare models using deviance (-2LL), AIC, BIC. Report fixed effects with robust standard errors, variance components, and proportion of variance explained at each level.
Output Format
markdown
## HLM Analysis: [Study Title]
### Data Structure
|-------|------|---|
| Level 1 | [individual] | xxx |
| Level 2 | [group] | xxx |
### ICC (Null Model)
- ICC = x.xx (x% of variance is between groups)
### Fixed Effects
|-----------|-------|---|------|---|---------|
| Intercept | — | x.xx | x.xx | x.xx | x.xx |
| [L1 var] | 1 | x.xx | x.xx | x.xx | x.xx |
| [L2 var] | 2 | x.xx | x.xx | x.xx | x.xx |
| [Cross-level] | 1×2 | x.xx | x.xx | x.xx | x.xx |
### Random Effects
|-----------|----------|-----|---------|
| Intercept (τ₀₀) | x.xx | x.xx | x.xx |
| Slope (τ₁₁) | x.xx | x.xx | x.xx |
| Residual (σ²) | x.xx | x.xx | — |
### Model Comparison
|-------|------|-----|------------|---------------|
| Null | x.xx | x.xx | x | — |
| Final | x.xx | x.xx | x | x.xx (x.xx) |
### Limitations
- [Note any assumption violations]
Gotchas
- Grand-mean centering and group-mean centering answer fundamentally different research questions
- Too few Level-2 units (< 20) yields biased variance component estimates
- Adding random slopes without theoretical justification can cause non-convergence
- Pseudo-R² at Level 2 can be negative if adding Level-1 predictors redistributes variance
- Ignoring Level-3 nesting (students in classrooms in schools) when it exists biases Level-2 estimates
- Multicollinearity between Level-1 and Level-2 predictors inflates standard errors of cross-level interactions
References
- Raudenbush, S. W., & Bryk, A. S. (2002). Hierarchical Linear Models (2nd ed.). Sage.
- Hox, J. J., Moerbeek, M., & van de Schoot, R. (2018). Multilevel Analysis (3rd ed.). Routledge.
- Snijders, T. A. B., & Bosker, R. J. (2012). Multilevel Analysis (2nd ed.). Sage.