We consider hierarchical generalized linear models which allow extra error components in the linear predictors of generalized linear models. The distribution of these components is not restricted to be normal; this allows a broader class of models, which includes generalized linear mixed models. We use a generalization of Henderson's joint likelihood, called a hierarchical or h-likelihood, for inferences from hierarchical generalized linear models. This avoids the integration that is necessary when marginal likelihood is used. Under appropriate conditions maximizing the h-likelihood gives fixed effect estimators that are asymptotically equivalent to those obtained from the use of marginal likelihood; at the same time we obtain the random effect estimates that are asymptotically best unbiased predictors. An adjusted profile h-likelihood is shown to give the required generalization of restricted maximum likelihood for the estimation of dispersion components. A scaled deviance test for the goodness of fit, a model selection criterion for choosing between various dispersion models and a graphical method for checking the distributional assumption of random effects are proposed. The ideas of quasi-likelihood and extended quasi-likelihood are generalized to the new class. We give examples of the Poisson-gamma, binomial-beta and gamma-inverse gamma hierarchical generalized linear models. A resolution is proposed for the apparent difference between population-averaged and subject-specific models. A unified framework is provided for viewing and extending many existing methods.
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Journal of the Royal Statistical Society. Series B (Methodological)
© 1996 Royal Statistical Society
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