- Random intercepts and random slopes
- Multiple levels of hierarchy
- Random-effects covariance structures
- Flexible residual correlation structures
- ML and REML estimation
- Single-stage and multistage specifications
- Predict random effects and their standard errors
- Easily visualize the expected means
- For specific covariate values
- Averaged over subpopulations
- Profiles over covariate ranges

- Marginal models

Stata fits nonlinear mixed-effects models, also known as nonlinear multilevel models and nonlinear hierarchical models. These models can be thought of in two ways. You can think of them as nonlinear models containing random effects. Or you can think of them as linear mixed-effects models in which some or all fixed and random effects enter nonlinearly. However you think of them, the overall error distribution is assumed to be Gaussian.

These models are popular because some problems are not, says their science, linear in the parameters. These models are popular in population pharmacokinetics, bioassays, and studies of biological and agricultural growth processes. For example, nonlinear mixed-effects models have been used to model drug absorption in the body, intensity of earthquakes, and growth of plants.

The estimation command is **menl**. It implements the
popular-in-practice Lindstrom–Bates algorithm, which is based on
the linearization of the nonlinear mean function with respect to fixed
and random effects. Both maximum likelihood and restricted
maximum-likelihood estimation methods are supported.

Let's look at several examples.

- Random intercepts
- Random coefficients and random-effects covariance structures
- Residual covariance structures: Pharmacokinetic (PK) model
- Nonlinear three-level model: CES production function

**menl** is a serious estimator for serious problems. Nonetheless,
for pedagogical reasons, we will begin with a silly example. You will
remember it.

Suppose we are interested in modeling brain weight growth of unicorns in the land of Zootopia. The graph below shows the brain weight profiles of 20 unicorns over time.

The variability in brain weight measurements between unicorns increases with time.

Based on previous unicorn studies, a model for unicorn brain growth is believed to be

$${\tt weight} = \phi_1/[1+\exp\{-({\tt time}-\phi_2)/\phi_3\}]+\epsilon$$

Parameter \(\phi_1\) represents asymptotic growth—the unicorn's brain weight as time increases to infinity. Parameter \(\phi_2\) is the time at which the brain weight reaches half of \(\phi_1\), and \(\phi_3\) is a scale parameter that determines the growth rate, the rate at which the brain weight approaches the asymptotic weight \(\phi_1\).

We will initially assume that only the asymptotic growth \(\phi_1\) is unicorn specific by including a random intercept \(U_j\) in the equation of \(\phi_1\) for the \(j\)th unicorn:

$$ \eqalign{ \phi_{1} &= \phi_{1j}=\beta_1+ U_{j}\cr \phi_{2} &= \beta_2 \cr \phi_{3} &= \beta_3 } $$

We fit this model using **menl** as follows:

.menl weight = ({b1}+{U[id]})/(1+exp(-(time-{b2})/{b3}))Mixed-effects ML nonlinear regression Number of obs = 260 Group variable: id Number of groups = 20 Obs per group: min = 13 avg = 13.0 max = 13 Linearization log likelihood = -270.54625

weight | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

/b1 | 5.722583 | .423781 | 13.50 | 0.000 | 4.891987 6.553178 | |||||

/b2 | 1.469935 | .0160542 | 91.56 | 0.000 | 1.438469 1.5014 | |||||

/b3 | .2311064 | .0138384 | 16.70 | 0.000 | .2039837 .2582292 | |||||

Random-effects Parameters | Estimate | Std. Err. | [95% Conf. Interval] | |||||||

id: Identity | ||||||||||

var(U) | 3.491344 | 1.118415 | 1.863457 6.54133 | |||||||

var(Residual) | .3355996 | .0306359 | .2806194 .4013517 | |||||||

You can see that the specification to **menl** looks much like the
equation we wrote earlier. Parameters to be estimated are enclosed in
curly braces: **{b1}**, **{b2}**, and **{b3}**. By typing
**{U[id]}**, we specified a random intercept for each unicorn,
identified by the group variable **id**.

The above syntax uses what we call a single-equation or single-stage
specification. **menl** also allows multistage or hierarchical
specifications in which parameters of interest can be defined at each
level of hierarchy as functions of other model parameters and random
effects, such as

.menl weight = {phi1:}/(1+exp(-(time-{phi2:})/{phi3:})), define(phi1: {b1}+{U1[id]}) define(phi2: {b2}+{U2[id]}) define(phi3: {b3}+{U3[id]})Mixed-effects ML nonlinear regression Number of obs = 260 Group variable: id Number of groups = 20 Obs per group: min = 13 avg = 13.0 max = 13 Linearization log likelihood = -164.64495 phi1: {b1}+{U1[id]} phi2: {b2}+{U2[id]} phi3: {b3}+{U3[id]}

weight | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

/b1 | 5.800164 | .4243722 | 13.67 | 0.000 | 4.96841 6.631919 | |||||

/b2 | 1.50837 | .0278376 | 54.18 | 0.000 | 1.45381 1.562931 | |||||

/b3 | .2304272 | .0312735 | 7.37 | 0.000 | .1691323 .2917221 | |||||

Random-effects Parameters | Estimate | Std. Err. | [95% Conf. Interval] | |||||||

id: Independent | ||||||||||

var(U1) | 3.542828 | 1.125532 | 1.900769 6.603452 | |||||||

var(U2) | .0132124 | .0046321 | .006646 .0262667 | |||||||

var(U3) | .0178048 | .0061246 | .0090727 .0349411 | |||||||

var(Residual) | .0895668 | .0089351 | .07366 .1089088 | |||||||

This is the same model except that \(\phi_2\) and \(\phi_3\) are also allowed to vary across unicorns using their own sets of random intercepts.

Continuing with our unicorn example,
we know that boosting brain weight
has been an active research area in Zootopia for the past two
decades, and scientists believe that consuming rainbow cupcakes right
after birth may help attain higher asymptotic growth. Hence, covariate
**cupcake**, which represents the number of rainbow cupcakes consumed
right after birth, is added to the equation for \(\phi_{1j}\):

$$\phi_{1j}=\beta_{10}+\beta_{11}\times{\tt cupcake}+U_j$$

We type

.menl weight = {phi1:}/(1+exp(-(time-{b2})/{b3})), define(phi1: {b10}+{b11}*cupcake+{U[id]})Mixed-effects ML nonlinear regression Number of obs = 260 Group variable: id Number of groups = 20 Obs per group: min = 13 avg = 13.0 max = 13 Linearization log likelihood = -264.5152 phi1: {b10}+{b11}*cupcake+{U[id]}

weight | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

/b10 | 4.236238 | .4839165 | 8.75 | 0.000 | 3.287779 5.184697 | |||||

/b11 | .7431848 | .1841062 | 4.04 | 0.000 | .3823434 1.104026 | |||||

/b2 | 1.469951 | .0160856 | 91.38 | 0.000 | 1.438424 1.501478 | |||||

/b3 | .2311114 | .0138654 | 16.67 | 0.000 | .2039357 .2582872 | |||||

Random-effects Parameters | Estimate | Std. Err. | [95% Conf. Interval] | |||||||

id: Identity | ||||||||||

var(U) | 1.889632 | .6119155 | 1.001692 3.564675 | |||||||

var(Residual) | .3355994 | .0306359 | .2806192 .4013515 | |||||||

Consuming rainbow cupcakes after birth indeed leads to higher asymptotic
brain growth: **/b11** is roughly 0.74 with a 95% CI of [0.38,1.1].

It is bad karma to end a unicorn story without showing how to specify random coefficients or random slopes. Suppose that the equation for \(\phi_{1j}\) is now as follows:

$$\phi_{1j}=\beta_{10}+U_{0j}+(\beta_{11}+U_{1j})\times{\tt cupcake}$$

We incorporated a unicorn-specific random slope for variable
**cupcake**. We also assume that the random effects \(U_{0j}\)
and \(U_{1j}\) are correlated. To fit this model, we type

.menl weight = {phi1:}/(1+exp(-(time-{b2})/{b3})), define(phi1: {b10}+{U0[id]}+({b11}+{U1[id]})*cupcake) covariance(U0 U1, unstructured)Mixed-effects ML nonlinear regression Number of obs = 260 Group variable: id Number of groups = 20 Obs per group: min = 13 avg = 13.0 max = 13 Linearization log likelihood = -263.91462 phi1: {b10}+{U0[id]}+({b11}+{U1[id]})*cupcake

weight | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

/b10 | 4.039338 | .6167933 | 6.55 | 0.000 | 2.830445 5.24823 | |||||

/b11 | .7567096 | .2150858 | 3.52 | 0.000 | .335149 1.17827 | |||||

/b2 | 1.469892 | .0160885 | 91.36 | 0.000 | 1.43836 1.501425 | |||||

/b3 | .231181 | .013868 | 16.67 | 0.000 | .2040003 .2583618 | |||||

Random-effects Parameters | Estimate | Std. Err. | [95% Conf. Interval] | |||||||

id: Unstructured | ||||||||||

var(U0) | 5.436431 | 2.689809 | 2.061393 14.33729 | |||||||

var(U1) | .5499744 | .2955551 | .1918265 1.576799 | |||||||

cov(U0, U1) | -1.675993 | .9083704 | -3.456366 .1043802 | |||||||

var(Residual) | .3355991 | .0306359 | .280619 .4013512 | |||||||

In addition to the **unstructured** covariance, **menl** supports
**independent**, **exchangeable**, and **identity**
variance–covariance structures for random effects from the same
level of hierarchy.

For more complicated NLME models, specifying expressions containing
linear combinations may become tedious. **menl** offers a convenient
shorthand specification to handle linear combinations. For example, the
above option **define()** for **phi1** may be replaced with

define(phi1: cupcake U0[id] c.cupcake#U1[id])

**menl** supports flexible variance–covariance structures to
model error heteroskedasticity and its within-group dependence. For
example, heteroskedasticity can be modeled as a power function of a
covariate or even of predicted mean values, and dependence can be modeled
using an autoregressive model of any order.

Consider a PK study in which the drug theophylline was administered orally to 12 subjects with the dosage (mg/kg) given on a per weight basis. Serum concentrations (mg/L) were obtained at 11 time points per subject over 25 hours following administration. The graph below shows the resulting concentration-time profiles for the first four subjects.

A PK model used to model the above concentration-time profiles is

$$ {\tt conc} = \frac{{\tt dose} \times k_{e} \times k_{a}}{{\rm Cl} \times \left( k_{a} - k_{e} \right)} \left\{ \exp \left( -k_{e} \times {\tt time} \right)-\exp \left( -k_{a} \times {\tt time} \right) \right\} + \epsilon $$

Model parameters are the elimination rate constant \(k_e\), the absorption rate constant \(k_a\), and the clearance \(\rm Cl\). Parameters \(\rm Cl\) and \(k_a\) are allowed to vary across subjects. Because each of the model parameters must be positive to be meaningful, we write

$$ \eqalign{ {\rm Cl} &= {\rm Cl}_j = \exp\left(\beta_0 +U_{0j}\right)\cr k_a &= k_{a_j} = \exp\left (\beta_1 + U_{1j}\right) \cr k_{e} &= \exp\left(\beta_2\right) } $$

It is common for the PK data to exhibit within-subject heterogeneity that
increases with the magnitude of the response variable. In this case, the
within-subject error variance is often modeled as a power function of the
predicted mean. **menl** provides the **resvariance()** option for this.

.menl conc = (dose*{ke:}*{ka:}/({cl:}*({ka:}-{ke:})))*(exp(-{ke:}*time)-exp(-{ka:}*time)), define(cl: exp({b0}+{U0[subject]})) define(ka: exp({b1}+{U1[subject]})) define(ke: exp({b2})) resvariance(power _yhat)Mixed-effects ML nonlinear regression Number of obs = 132 Group variable: subject Number of groups = 12 Obs per group: min = 11 avg = 11.0 max = 11 Linearization log likelihood = -167.67964 cl: exp({b0}+{U0[subject]}) ka: exp({b1}+{U1[subject]}) ke: exp({b2})

conc | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

/b0 | -3.227479 | .0598389 | -53.94 | 0.000 | -3.344761 -3.110197 | |||||

/b1 | .432931 | .1980835 | 2.19 | 0.000 | .0446945 .8211674 | |||||

/b2 | -2.453742 | .0514567 | -47.69 | 0.000 | -2.554595 -2.352889 | |||||

Random-effects Parameters | Estimate | Std. Err. | [95% Conf. Interval] | |||||||

id: Independent | ||||||||||

var(U0) | .0288787 | .0127763 | .0121337 .0687323 | |||||||

var(U1) | .4075667 | .1948713 | .1596654 1.040367 | |||||||

Residual variance: | ||||||||||

Power _yhat | ||||||||||

sigma2 | .0976905 | .0833027 | .018366 .519624 | |||||||

delta | .3187133 | .2469511 | -.1653019 .8027285 | |||||||

_cons | .7288982 | .3822952 | .2607507 2.03755 | |||||||

In this example, the 95% CI [-0.2,0.8] for power constant **delta**
contains 0, suggesting that within-subject error variance does not
depend on the predicted values.

Production functions are an important component of macroeconomic models. They tell us how economies use inputs such as labor and capital in the production process. A common example is a constant elasticity of substitution (CES) production function.

The CES function defines how production allocates inputs such as capital and labor. It introduces the constant elasticity of substitution parameter that models the allocation, which makes it a very flexible modeling tool. For instance, CES production functions include Cobb–Douglas, Leontief, and perfect substitutes production functions as special cases.

Let's look at an example.

Suppose that there are five regions, each with seven production firms manufacturing a certain good. Measurements were collected each year over the course of six years. We want to fit the following CES production model,

$$\ln{\rm Q}_{ijt} = \beta_0-(1/\rho)\times\ln\{\delta{\rm K}_{ijt}^{-\rho}+(1-\delta){\rm L}_{ijt}^{-\rho}\}+\epsilon$$

where \(\ln{\rm Q}_{ijt}\), \({\rm K}_{ijt}\), and \({\rm L}_{ijt}\) are the log of output, capital, and labor usage, respectively, for firm \(j\) within region \(i\) at year \(t\). Parameters in this model are log-factor productivity \(\beta_0\) and share \(\delta\), and \(\rho\) is related to the elasticity of substitution.

Parameter \(\rho\) is assumed to be constant in the CES model, but \(\beta_0\) and \(\delta\) may be affected by region-specific and firm-specific effects. For example, here we allow log-factor productivity \(\beta_0\) to be region specific and share parameter \(\delta\) to be firm specific. Because firms are nested within regions, \(\delta\) is technically affected by both firms and regions.

$$ \eqalign{ \beta_{0} &= \beta_{0k}=b_0+ U_{1k}\cr \rho &= b_1 \cr \delta &= \delta_{jk} = b_2 + U_{2jk} } $$

In the above, \(U_{1k}\) and \(U_{2jk}\) are random intercepts at the region and firm-within-region levels.

To fit the above nonlinear three-level model using **menl**, we type

.menl lnoutput = {b0:}-1/{rho}*ln({delta:}*capital^(-{rho})+(1-{delta:})*labor^(-{rho})), define(b0: {b0}+{U1[region]}) define(delta: {delta}+{U2[region>firm]})Mixed-effects ML nonlinear regression Number of obs = 210

No. of | Observations per Group | |||||

Path | Groups | Minimum Average Maximum | ||||

region | 5 | 42 42.0 42 | ||||

region>firm | 35 | 6 6.0 6 | ||||

lnoutput | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

/b0 | 3.506553 | .1065494 | 32.91 | 0.000 | 3.29772 3.715386 | |||||

/delta | .5294311 | .0535259 | 9.89 | 0.000 | .4245222 .63434 | |||||

/rho | .5355886 | .2306676 | 2.32 | 0.000 | .0834885 .9876888 | |||||

Random-effects Parameters | Estimate | Std. Err. | [95% Conf. Interval] | |||||||

region: Identity | ||||||||||

var(U1) | .0267349 | .0210936 | .0056949 .1255072 | |||||||

region>firm: Identity | ||||||||||

var(U2) | .015477 | .0073906 | .0060704 .0394597 | |||||||

var(Residual) | .2343921 | .0242961 | .1912982 .2871938 | |||||||

The values of **/rho** of .54 and **/delta** of .53 tell us that
this economy is allocating capital and labor in roughly equal proportions
in the production process.

Regions and firms within regions appear to explain some of the variability in the log-factor productivity parameter and the share parameter, respectively.

We can use **nlcom** to estimate the elasticity of substitution for the
CES production function in this model.

.nlcom (1/(1 + _b[/rho]))_nl_1: 1/(1 + _b[/rho])

lnoutput | Coef. | Std. Err. | z | P>|z| | [95% Conf. Interval] | |||||

_nl_1 | .6512161 | .0978221 | 6.66 | 0.000 | .4594884 .8429438 | |||||

The elasticity of substitution is estimated to be .65 for these data. If instead we used, for example, a Cobb–Douglas production function, we would have incorrectly constrained the elasticity of substitution to be 1.

Learn more about Stata's multilevel mixed-effects models features.

Read more about
nonlinear mixed-effects models in the
*Stata Multilevel Mixed-Effects
Reference Manual*.