RE: Covariate lead to increase in Eta shrinkage
it sounds like that covariate provides information for the parameter influenced
by eta.
you have taken something that was unexplained population variation and
explained part of it with the covariate.
this is usually a good thing.
if the covariate helps so much to predict the parameter that the eta becomes
very small and as a result gets a high shrinkage then this can happen when
there isnt much information left.
can you just do the regular hypothesis testing?
try removing the eta i.e. (0 FIXED) , reestimate and compare AIC? and whatever
other metrics you might use.
warm regards
Douglas
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Quoted reply history
Van: [email protected] [mailto:[email protected]] Namens
Xinting Wang
Verzonden: January 22, 2015 8:27 AM
Aan: [email protected]
Onderwerp: [NMusers] Covariate lead to increase in Eta shrinkage
Dear all,
I have a model that I am currently working on that is going through covariate
selection. There's one particular parameter, whose ETA-shrinkage before adding
any covariate was 25%. However, after adding a covariate successfully, the
ETA-shrinkage was increased to almost 80%. While the model parameter estimation
in this final model is reasonable, and there's no warnings or errors in the
output file, the increase in the ETA-shrinkage basically means that the
individual estimation falls back to population estimation. Under such a
circumstance, how should I decide if it's reasonable to keep this parameter?
Thank you.
Best Regards
--
Xinting
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