The following data are from Pothoff and Roy (1964) and consist of growth measurements for 11 girls and 16 boys at ages 8, 10, 12, and 14. Some of the observations are suspect (for example, the third observation for person 20); however, all of the data are used here for comparison purposes.

The analysis strategy employs a linear growth curve model for the boys and girls as well as a variance-covariance model that incorporates correlations for all of the observations arising from the same person. The data are assumed to be Gaussian, and their likelihood is maximized to estimate the model parameters. For overviews of this approach to repeated measures, see Jennrich and Schluchter (1986); Louis (1988); Crowder and Hand (1990); Diggle, Liang, and Zeger (1994); Everitt (1995). Jennrich and Schluchter present results for the Pothoff and Roy data from various covariance structures. The PROC MIXED statements to fit an unstructured variance matrix (their Model 2) are as follows:

data pr; input Person Gender $ y1 y2 y3 y4; y=y1; Age=8; output; y=y2; Age=10; output; y=y3; Age=12; output; y=y4; Age=14; output; drop y1-y4; datalines; 1 F 21.0 20.0 21.5 23.0 2 F 21.0 21.5 24.0 25.5 3 F 20.5 24.0 24.5 26.0 4 F 23.5 24.5 25.0 26.5 5 F 21.5 23.0 22.5 23.5 6 F 20.0 21.0 21.0 22.5 7 F 21.5 22.5 23.0 25.0 8 F 23.0 23.0 23.5 24.0 9 F 20.0 21.0 22.0 21.5 10 F 16.5 19.0 19.0 19.5 11 F 24.5 25.0 28.0 28.0 12 M 26.0 25.0 29.0 31.0 13 M 21.5 22.5 23.0 26.5 14 M 23.0 22.5 24.0 27.5 15 M 25.5 27.5 26.5 27.0 16 M 20.0 23.5 22.5 26.0 17 M 24.5 25.5 27.0 28.5 18 M 22.0 22.0 24.5 26.5 19 M 24.0 21.5 24.5 25.5 20 M 23.0 20.5 31.0 26.0 21 M 27.5 28.0 31.0 31.5 22 M 23.0 23.0 23.5 25.0 23 M 21.5 23.5 24.0 28.0 24 M 17.0 24.5 26.0 29.5 25 M 22.5 25.5 25.5 26.0 26 M 23.0 24.5 26.0 30.0 27 M 22.0 21.5 23.5 25.0 ;

proc mixed data=pr method=ml covtest; class Person Gender; model y = Gender Age Gender*Age / s; repeated / type=un subject=Person r; run;

To follow Jennrich and Schluchter, this example uses maximum likelihood (METHOD= ML) instead of the default REML to estimate the unknown covariance parameters. The COVTEST option requests asymptotic tests of all the covariance parameters.

The MODEL
statement first lists the dependent variable `Y`

. The fixed effects are then listed after the equal sign. The variable `Gender`

requests a different intercept for the girls and boys, `Age`

models an overall linear growth trend, and `Gender`

*`Age`

makes the slopes different over time. It is actually not necessary to specify `Age`

separately, but doing so enables PROC MIXED to carry out a test for heterogeneous slopes. The SOLUTION
option requests the display of the fixed-effects solution vector.

The REPEATED
statement contains no effects, taking advantage of the default assumption that the observations are ordered similarly for
each subject. The TYPE=UN
option requests an unstructured block for each SUBJECT=
`Person`

. The matrix is, therefore, block diagonal with 27 blocks, each block consisting of identical 44 unstructured matrices. The 10 parameters of these unstructured blocks make up the covariance parameters estimated by maximum
likelihood. The R
option requests that the first block of be displayed.

The results from this analysis are shown in Output 77.2.1–Output 77.2.9.

Output 77.2.1: Repeated Measures Analysis with Unstructured Covariance Matrix

In Output 77.2.1, the covariance structure is listed as "Unstructured," and no residual variance is used with this structure. The default degrees-of-freedom method here is "Between-Within."

Output 77.2.2: Repeated Measures Analysis (*continued*)

In Output 77.2.2, note that `Person`

has 27 levels and `Gender`

has 2.

Output 77.2.3: Repeated Measures Analysis (*continued*)

In Output 77.2.3, the 10 covariance parameters result from the unstructured blocks of . There is no matrix for this model, and each of the 27 subjects has a maximum of 4 observations.

Output 77.2.4: Repeated Measures Analysis (*continued*)

Three Newton-Raphson iterations are required to find the maximum likelihood estimates (Output 77.2.4). The default relative Hessian criterion has a final value less than 1E–8, indicating the convergence of the Newton-Raphson algorithm and the attainment of an optimum.

Output 77.2.5: Repeated Measures Analysis (*continued*)

The 44 matrix in Output 77.2.5 is the estimated unstructured covariance matrix. It is the estimate of the first block of , and the other 26 blocks all have the same estimate.

Output 77.2.6: Repeated Measures Analysis (*continued*)

Covariance Parameter Estimates | |||||
---|---|---|---|---|---|

Cov Parm | Subject | Estimate | Standard Error |
Z Value | Pr Z |

UN(1,1) | Person | 5.1192 | 1.4169 | 3.61 | 0.0002 |

UN(2,1) | Person | 2.4409 | 0.9835 | 2.48 | 0.0131 |

UN(2,2) | Person | 3.9279 | 1.0824 | 3.63 | 0.0001 |

UN(3,1) | Person | 3.6105 | 1.2767 | 2.83 | 0.0047 |

UN(3,2) | Person | 2.7175 | 1.0740 | 2.53 | 0.0114 |

UN(3,3) | Person | 5.9798 | 1.6279 | 3.67 | 0.0001 |

UN(4,1) | Person | 2.5222 | 1.0649 | 2.37 | 0.0179 |

UN(4,2) | Person | 3.0624 | 1.0135 | 3.02 | 0.0025 |

UN(4,3) | Person | 3.8235 | 1.2508 | 3.06 | 0.0022 |

UN(4,4) | Person | 4.6180 | 1.2573 | 3.67 | 0.0001 |

The "Covariance Parameter Estimates" table in Output 77.2.6 lists the 10 estimated covariance parameters in order; note their correspondence to the first block of displayed in Output 77.2.5. The parameter estimates are labeled according to their location in the block in the Cov Parm column, and all of these estimates
are associated with `Person`

as the subject effect. The Std Error column lists approximate standard errors of the covariance parameters obtained from
the inverse Hessian matrix. These standard errors lead to approximate Wald Z statistics, which are compared with the standard normal distribution The results of these tests indicate that all the parameters
are significantly different from 0; however, the Wald test can be unreliable in small samples.

To carry out Wald tests of various linear combinations of these parameters, use the following procedure. First, run the statements again, adding the ASYCOV option and an ODS statement:

ods output CovParms=cp AsyCov=asy; proc mixed data=pr method=ml covtest asycov; class Person Gender; model y = Gender Age Gender*Age / s; repeated / type=un subject=Person r; run;

This creates two data sets, `cp`

and `asy`

, which contain the covariance parameter estimates and their asymptotic variance covariance matrix, respectively. Then read
these data sets into the SAS/IML matrix programming language as follows:

proc iml; use cp; read all var {Estimate} into est; use asy; read all var ('CovP1':'CovP10') into asy; quit;

You can then construct your desired linear combinations and corresponding quadratic forms with the `asy`

matrix.

Output 77.2.7: Repeated Measures Analysis (*continued*)

The null model likelihood ratio test (LRT) in Output 77.2.7 is highly significant for this model, indicating that the unstructured covariance matrix is preferred to the diagonal matrix of the ordinary least squares null model. The degrees of freedom for this test is 9, which is the difference between 10 and the 1 parameter for the null model’s diagonal matrix.

Output 77.2.8: Repeated Measures Analysis (*continued*)

The "Solution for Fixed Effects" table in Output 77.2.8 lists the solution vector for the fixed effects. The estimate of the boys’ intercept is 15.8423, while that for the girls is . Similarly, the estimate for the boys’ slope is 0.8268, while that for the girls is . Thus the girls’ starting point is larger than that for the boys, but their growth rate is about half that of the boys.

Note that two of the estimates equal 0; this is a result of the overparameterized model used by PROC MIXED. You can obtain a full-rank parameterization by using the following MODEL statement:

model y = Gender Gender*Age / noint s;

Here, the NOINT
option causes the different intercepts to be fit directly as the two levels of `Gender`

. However, this alternative specification results in different tests for these effects.

Output 77.2.9: Repeated Measures Analysis (*continued*)

The "Type 3 Tests of Fixed Effects" table in Output 77.2.9 displays Type 3 tests for all of the fixed effects. These tests are partial in the sense that they account for all of the other fixed effects in the model. In addition, you can use the HTYPE= option in the MODEL statement to obtain Type 1 (sequential) or Type 2 (also partial) tests of effects.

It is usually best to consider higher-order terms first, and in this case the `Age`

*`Gender`

test reveals a difference between the slopes that is statistically significant at the 1% level. Note that the p-value for this test (0.0091) is the same as the p-value in the "Age*Gender F" row in the "Solution for Fixed Effects" table (Output 77.2.8) and that the F statistic (7.99) is the square of the t statistic (–2.83), ignoring rounding error. Similar connections are evident among the other rows in these two tables.

The `Age`

test is one for an overall growth curve accounting for possible heterogeneous slopes, and it is highly significant. Finally,
the `Gender`

row tests the null hypothesis of a common intercept, and this hypothesis cannot be rejected from these data.

As an alternative to the F tests shown here, you can carry out likelihood ratio tests of various hypotheses by fitting the reduced models, subtracting –2 log likelihoods, and comparing the resulting statistics with distributions.

Since the different levels of the repeated effect represent different years, it is natural to try fitting a time series model to the data within each subject. To obtain time series structures in , you can replace TYPE=UN with TYPE=AR(1) or TYPE=TOEP to obtain the first- or nth-order autoregressive covariance matrices, respectively. For example, the statements to fit an AR(1) structure are as follows:

/* first-order autoregressive */ proc mixed data=pr method=ml; class Person Gender; model y = Gender Age Gender*Age / s; repeated / type=ar(1) sub=Person r; run;

To fit a random coefficients model, use the following statements:

/* random coefficients model */ proc mixed data=pr method=ml; class Person Gender; model y = Gender Age Gender*Age / s; random intercept Age / type=un sub=Person g; run;

This specifies an unstructured covariance matrix for the random intercept and slope. In mixed model notation, is block diagonal with identical 22 unstructured blocks for each person. By default, becomes . See Example 77.5 for further information about this model.

Finally, you can fit a compound symmetry structure by using TYPE=CS , as follows:

proc mixed data=pr method=ml covtest; class Person Gender; model y = Gender Age Gender*Age / s; repeated / type=cs subject=Person r; run;

The results from this analysis are shown in Output 77.2.10–Output 77.2.17.

The "Model Information" table in Output 77.2.10 is the same as before except for the change in "Covariance Structure."

Output 77.2.10: Repeated Measures Analysis with Compound Symmetry Structure

The "Dimensions" table in Output 77.2.11 shows that there are only two covariance parameters in the compound symmetry model; this covariance structure has common variance and common covariance.

Output 77.2.11: Analysis with Compound Symmetry (*continued*)

Since the data are balanced, only one step is required to find the estimates (Output 77.2.12).

Output 77.2.12: Analysis with Compound Symmetry (*continued*)

Output 77.2.13 displays the estimated matrix for the first subject. Note the compound symmetry structure here, which consists of a common covariance with a diagonal enhancement.

Output 77.2.13: Analysis with Compound Symmetry (*continued*)

The common covariance is estimated to be 3.0306, as listed in the CS row of the "Covariance Parameter Estimates" table in Output 77.2.14, and the residual variance is estimated to be 1.8746, as listed in the Residual row. You can use these two numbers to estimate the intraclass correlation coefficient (ICC) for this model. Here, the ICC estimate equals . You can also obtain this number by adding the RCORR option to the REPEATED statement.

Output 77.2.14: Analysis with Compound Symmetry (*continued*)

In the case shown in Output 77.2.15, the null model LRT has only one degree of freedom, corresponding to the common covariance parameter. The test indicates that modeling this extra covariance is superior to fitting the simple null model.

Output 77.2.15: Analysis with Compound Symmetry (*continued*)

Note that the fixed-effects estimates and their standard errors (Output 77.2.16) are not very different from those in the preceding unstructured example (Output 77.2.8).

Output 77.2.16: Analysis with Compound Symmetry (*continued*)

The F tests shown in Output 77.2.17 are also similar to those from the preceding unstructured example (Output 77.2.9). Again, the slopes are significantly different but the intercepts are not.

Output 77.2.17: Analysis with Compound Symmetry (*continued*)

You can fit the same compound symmetry model with the following specification by using the RANDOM statement:

proc mixed data=pr method=ml; class Person Gender; model y = Gender Age Gender*Age / s; random Person; run;

Compound symmetry is the structure that Jennrich and Schluchter deemed best among the ones they fit. To carry the analysis one step further, you can use the GROUP= option as follows to specify heterogeneity of this structure across girls and boys:

proc mixed data=pr method=ml; class Person Gender; model y = Gender Age Gender*Age / s; repeated / type=cs subject=Person group=Gender; run;

The results from this analysis are shown in Output 77.2.18–Output 77.2.24. Note that in Output 77.2.18 `Gender`

is listed as a "Group Effect."

Output 77.2.18: Repeated Measures Analysis with Heterogeneous Structures

The four covariance parameters listed in Output 77.2.19 result from the two compound symmetry structures corresponding to the two levels of `Gender`

.

Output 77.2.19: Analysis with Heterogeneous Structures (*continued*)

As Output 77.2.20 shows, even with the heterogeneity, only one iteration is required for convergence.

Output 77.2.20: Analysis with Heterogeneous Structures (*continued*)

The "Covariance Parameter Estimates" table in Output 77.2.21 lists the heterogeneous estimates. Note that both the common covariance and the diagonal enhancement differ between girls and boys.

Output 77.2.21: Analysis with Heterogeneous Structures (*continued*)

As Output 77.2.22 shows, both Akaike’s information criterion (424.8) and Schwarz’s Bayesian information criterion (435.2) are smaller for this model than for the homogeneous compound symmetry model (440.6 and 448.4, respectively). This indicates that the heterogeneous model is more appropriate. To construct the likelihood ratio test between the two models, subtract the –2 log likelihood values: . Comparing this value with the distribution with two degrees of freedom yields a p-value less than 0.0001, again favoring the heterogeneous model.

Output 77.2.22: Analysis with Heterogeneous Structures (*continued*)

Note that the fixed-effects estimates shown in Output 77.2.23 are the same as in the homogeneous case, but the standard errors are different.

Output 77.2.23: Analysis with Heterogeneous Structures (*continued*)

The fixed-effects tests shown in Output 77.2.24 are similar to those from previous models, although the p-values do change as a result of specifying a different covariance structure. It is important for you to select a reasonable covariance structure in order to obtain valid inferences for your fixed effects.

Output 77.2.24: Analysis with Heterogeneous Structures (*continued*)