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%\VignetteIndexEntry{Survey-Weighted Normal Regression  for Continuous Dependent Variables}
%\VignetteDepends{Zelig, stats, survey}
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\begin{document}
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library(Zelig)
library(survey) 
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\section{{\tt normal.survey}: Survey-Weighted Normal Regression for Continuous Dependent Variables}
\label{normal.survey}

The survey-weighted Normal regression model is appropriate for 
survey data obtained using complex sampling techniques, such as 
stratified random or cluster sampling (e.g., not simple random 
sampling).  Like the least squares and Normal regression models (see 
\Sref{ls} and \Sref{normal}), survey-weighted Normal regression 
specifies a continuous dependent variable as a linear function of a 
set of explanatory variables.  The survey-weighted normal model 
reports estimates of model parameters identical to least squares or 
Normal regression estimates, but uses information from the survey 
design to correct variance estimates.

The {\tt normal.survey} model accommodates three common types of
complex survey data.  Each method listed here requires selecting
specific options which are detailed in the ``Additional Inputs''
section below.  \begin{enumerate}

\item \textbf{Survey weights}:  Survey data are often published along
with weights for each observation.  For example, if a survey
intentionally over-samples a particular type of case, weights can be
used to correct for the over-representation of that type of case in
the dataset. Survey weights come in two forms:
\begin{enumerate}

\item \textit{Probability} weights report the probability that each
case is drawn from the population.  For each stratum or cluster, 
this is computed as the number of observations in the sample drawn 
from that group divided by the number of observations in the 
population in the group.

\item \textit{Sampling} weights are the inverse of the probability
weights.   

\end{enumerate}

\item \textbf{Strata/cluster identification}:  A complex survey 
dataset may include variables that identify the strata or cluster 
from which observations are drawn.  For stratified random sampling 
designs, observations may be nested in different strata.  There are 
two ways to employ these identifiers:

\begin{enumerate}

\item Use \textit{finite population corrections} to specify the
total number of cases in the stratum or cluster from which each
observation was drawn.

\item For stratified random sampling designs, use the raw strata ids
to compute sampling weights from the data.

\end{enumerate}

\item \textbf{Replication weights}: To preserve the anonymity of
survey participants, some surveys exclude strata and cluster ids 
from the public data and instead release only pre-computed replicate 
weights.

\end{enumerate}

\subsubsection{Syntax}

\begin{verbatim}
> z.out <- zelig(Y ~ X1 + X2, model = "normal.survey", data = mydata)
> x.out <- setx(z.out)
> s.out <- sim(z.out, x = x.out)
\end{verbatim}


\subsubsection{Additional Inputs}

In addition to the standard {\tt zelig} inputs (see
\Sref{Zcommands}), survey-weighted Normal models accept the following
optional inputs:
\begin{enumerate}

\item Datasets that include survey weights: 

\begin{itemize}  

\item {\tt probs}: An optional formula or numerical vector specifying each 
case's probability weight, the probability that the case was 
selected.  Probability weights need not (and, in most cases, will 
not) sum to one.  Cases with lower probability weights are weighted 
more heavily in the computation of model coefficients.

\item {\tt weights}: An optional numerical vector specifying each 
case's sample weight, the inverse of the probability that the case 
was selected.  Sampling weights need not (and, in most cases, will 
not) sum to one.  Cases with higher sampling weights are weighted 
more heavily in the computation of model coefficients.

\end{itemize}

\item Datasets that include strata/cluster identifiers:

\begin{itemize} 

\item {\tt ids}: An optional formula or numerical vector identifying the 
cluster from which each observation was drawn (ordered from largest level to smallest level).  
For survey designs  that do not involve cluster sampling, {\tt ids} defaults to {\tt NULL}.  

\item {\tt fpc}: An optional numerical vector identifying each 
case's frequency weight, the total number of units in the population 
from which each observation was sampled. 

\item {\tt strata}: An optional formula or vector identifying the 
stratum from which each observation was sampled.  Entries may be 
numerical, logical, or strings.  For survey designs that do not 
involve cluster sampling, {\tt strata} defaults to {\tt NULL}. 

\item {\tt nest}: An optional logical value specifying whether 
primary sampling unites (PSUs) have non-unique ids across multiple 
strata.  {\tt nest=TRUE} is appropriate when PSUs reuse the same 
identifiers across strata.  Otherwise, {\tt nest} defaults to {\tt 
FALSE}. 

\item {\tt check.strata}: An optional input specifying whether to 
check that clusters are nested in strata.  If {\tt check.strata} is 
left at its default, {\tt !nest}, the check is not performed.  If 
{\tt check.strata} is specified as {\tt TRUE}, the check is carried 
out.  

\end{itemize}

\item Datasets that include replication weights:
\begin{itemize}
  \item {\tt repweights}: A formula or matrix specifying
    replication weights, numerical vectors of weights used
    in a process in which the sample is repeatedly re-weighted and parameters
    are re-estimated in order to compute the variance of the model parameters.
  \item {\tt type}: A string specifying the type of replication weights being used.
    This input is required if replicate weights are specified.  The following types
    of replication weights are recognized: {\tt"BRR"}, {\tt "Fay"},
    {\tt "JK1"}, {\tt "JKn"}, {\tt "bootstrap"}, or {\tt "other"}.
  \item {\tt weights}: An optional vector or formula specifying each case's sample weight,
    the inverse of the probability that the case was selected.  If a survey includes both sampling 
    weights and replicate weights separately for the same survey, both should be included in 
    the model specification.  In these cases, sampling weights are used to correct potential biases 
    in in the computation of coefficients and replication weights are used to compute the variance 
    of coefficient estimates.  
  \item {\tt combined.weights}: An optional logical value that 
    should be specified as {\tt TRUE} if the replicate weights include the sampling weights.  Otherwise, 
    {\tt combined.weights} defaults to {\tt FALSE}.  
  \item {\tt rho}:  An optional numerical value specifying a shrinkage factor
    for replicate weights of type {\tt "Fay"}.
  \item {\tt bootstrap.average}: An optional numerical input specifying
    the number of iterations over which replicate weights of type {\tt "bootstrap"} were averaged. 
    This input should be left as {\tt NULL} for {\tt "bootstrap"} weights that were
    not were created by averaging.
\item {\tt scale}:  When replicate weights are included,
    the variance is computed as the sum of squared deviations of the replicates from their mean.
    {\tt scale} is an optional overall multiplier for the standard deviations.
\item {\tt rscale}: Like {\tt scale}, {\tt rscale} specifies an 
optional vector of replicate-specific multipliers for the squared 
deviations used in variance computation. 

\item {\tt fpc}: For models in which {\tt "JK1"}, {\tt "JKn"}, or 
{\tt "other"} replicates are specified, {\tt fpc} is an optional 
numerical vector (with one entry for each replicate) designating the 
replicates' finite population corrections.   

\item {\tt fpctype}: When a finite population correction is included 
as an {\tt fpc} input, {\tt fpctype} is a required input specifying 
whether the input to {\tt fpc} is a sampling fraction ({\tt 
fpctype="fraction"}) or a direct correction ({\tt 
fpctype="correction"}).  

\item {\tt return.replicates}: An optional logical value    
specifying whether the replicates should be returned as a component 
of the output.  {\tt return.replicates} defaults to {\tt FALSE}.  

\end{itemize}

\end{enumerate}

\subsubsection{Examples}

\begin{enumerate} 

\item A dataset that includes survey weights:

Attach the sample data: 
<<Existing.data>>= 
data(api, package="survey") 
@ 

Suppose that a dataset included a continuous measure of
public schools' performance ({\tt api00}), a measure of 
the percentage of students at each school who receive subsidized 
meals ({\tt meals}), an indicator for whether each school
holds classes year round ({\tt year.rnd}), and sampling 
weights computed by the survey house ({\tt pw}).  Estimate a model
that regresses school performance on the {\tt meals} and {\tt year.rnd}
variables:
<<Existing.zelig>>= 
z.out1 <- zelig(api00 ~ meals + yr.rnd, model = "normal.survey",  weights=~pw,
data = apistrat) 
@ 
Summarize regression coefficients:
<<Existing.summary>>=
 summary(z.out1)
@ 
Set explanatory variables to their default (mean/mode) values, and
set a high (80th percentile) and low (20th percentile) value for
``meals'': 
<<Existing.setx>>= 
x.low <- setx(z.out1, meals=quantile(apistrat$meals, 0.2)) 
x.high <- setx(z.out1, meals=quantile(apistrat$meals, 0.8)) 
@ 
Generate first differences for the
effect of high versus low concentrations of children receiving
subsidized meals on academic performance: 
<<Existing.sim>>=
 s.out1 <- sim(z.out1, x = x.high, x1 = x.low)
@ 
<<Existing.summary.sim>>=
 summary(s.out1)
@ 
Generate a visual summary of the quantities of interest:
\begin{center}
<<label=ExistingPlot,fig=true,echo=true>>=
 plot(s.out1)
@
\end{center}

\item  A dataset that includes strata/cluster identifiers:

Suppose that the survey house that provided the dataset used in the
previous example excluded sampling weights but made other details
about the survey design available.  A user can still estimate a model
without sampling weights that instead uses inputs that identify the
stratum and/or cluster to which each observation belongs and the
size of the finite population from which each observation was drawn.

Continuing the example above, suppose the survey house drew at
random a fixed number of elementary schools, a fixed number of
middle schools, and a fixed number of high schools. If the variable
{\tt stype} is a vector of characters ({\tt "E"} for elementary
schools, {\tt "M"} for middle schools, and {\tt "H"} for high schools)
that identifies the type of school each case
represents and {\tt fpc} is a numerical vector that identifies for
each case the total number of schools of the same type in the
population, then the user could estimate the following model:

<<Complex.zelig>>= 
z.out2 <- zelig(api00 ~ meals + yr.rnd, 
model = "normal.survey", strata=~stype, fpc=~fpc, data = apistrat) 
@
Summarize the regression output:
<<Complex.output>>= 
summary(z.out2) 
@ 
The coefficient estimates for this example are
identical to the point estimates in the first example, when
pre-existing sampling weights were used.  When sampling weights are
omitted, they are estimated automatically for {\tt "normal.survey"}
models based on the user-defined description of sampling designs. 

Moreover, because the user provided information about the survey
design, the standard error estimates are lower in this example than
in the previous example, in which the user omitted variables pertaining
to the details of the complex survey design.

\item A dataset that includes replication weights:

Consider a dataset that includes information for a sample of hospitals
that includes counts of the number of out-of-hospital cardiac arrests that each
hospital treats and the number of patients who arrive alive
at each hospital: 
<<Replicate.data>>= 
data(scd, package="survey") 
@ 
Survey houses sometimes supply
replicate weights (in lieu of details about the survey design).  For the sake
of illustrating how replicate weights can be used as inputs in {\tt
normal.survey} models, create a set of balanced repeated replicate
(BRR) weights: 
<<Replicate.rw>>= 
BRRrep<-2*cbind(c(1,0,1,0,1,0),c(1,0,0,1,0,1), c(0,1,1,0,0,1),c(0,1,0,1,1,0)) 
@ 
Estimate a model that regresses counts of patients who arrive alive in
each hospital on the number of cardiac arrests that each hospital treats, using
the BRR replicate weights in {\tt BRRrep} to compute standard errors.
<<Replicate.zelig>>= 
z.out3 <- zelig(alive ~ arrests , model = "poisson.survey", 
  repweights=BRRrep, type="BRR", data=scd)
@
Summarize the regression coefficients: 
<<Replicate.summary>>=
 summary(z.out3)
@ 
Set {\tt arrests} at its 20th and 80th quantiles:
<<Replicate.setx>>= 
x.low <- setx(z.out3, arrests = quantile(scd$arrests, .2))
x.high <- setx(z.out3, arrests = quantile(scd$arrests,.8))
@ 
Generate first
differences for the effect of minimal versus maximal cardiac arrests
on numbers of patients who arrive alive: 
<<Replicate.sim>>= 
s.out3<- sim(z.out3, x=x.low, x1=x.high) 
@ 
<<Replicate.summary.sim>>=
 summary(s.out3)
@ 
Generate a visual summary of quantities of interest:
\begin{center}
<<label=ReplicatePlot,fig=true,echo=true>>=
 plot(s.out3)
@
\end{center}


\end{enumerate}

\subsubsection{Model}
Let $Y_i$ be the continuous dependent variable for observation $i$.
\begin{itemize}
\item The \emph{stochastic component} is described by a univariate normal
  model with a vector of means $\mu_i$ and scalar variance $\sigma^2$:
  \begin{equation*}
    Y_i \; \sim \; \textrm{Normal}(\mu_i, \sigma^2).
  \end{equation*}

\item The \emph{systematic component} is
  \begin{equation*}
    \mu_i \;= \; x_i \beta,
  \end{equation*}
  where $x_i$ is the vector of $k$ explanatory variables and $\beta$ is
  the vector of coefficients.
\end{itemize}

\subsubsection{Variance}

When replicate weights are not used, the variance of the
coefficients is estimated as
\[
\hat{\boldsymbol{\Sigma}} \left[
 \sum_{i=1}^n
\frac{(1-\pi_i)}{\pi_i^2}
(\mathbf{X}_i(Y_i-\mu_i))^\prime(\mathbf{X}_i(Y_i-\mu_i)) + 2
\sum_{i=1}^n \sum_{j=i+1}^n \frac{(\pi_{ij} - \pi_i\pi_j)}{\pi_i
\pi_j \pi_{ij}}(\mathbf{X}_i(Y_i-\mu_i))^\prime
(\mathbf{X}_j(Y_j-\mu_j)) \right] \hat{\boldsymbol{\Sigma}}
\]
where ${\pi_i}$ is the probability of case $i$ being sampled,
$\mathbf{X}_i$ is a vector of the values of the explanatory
variables for case $i$, $Y_i$ is value of the dependent variable for
case $i$, $\hat{\mu}_i$ is the predicted value of the dependent
variable for case $i$ based on the linear model estimates, and
$\hat{\boldsymbol{\Sigma}}$ is the conventional variance-covariance
matrix in a parametric glm. This statistic is derived from the
method for estimating the variance of sums described in \cite{Bin83}
and the Horvitz-Thompson estimator of the variance of a sum
described in \cite{HorTho52}.

When replicate weights are used, the model is re-estimated for each
set of replicate weights, and the variance of each parameter is
estimated by summing the squared deviations of the replicates from
their mean.

\subsubsection{Quantities of Interest}

\begin{itemize}
\item The expected value ({\tt qi\$ev}) is the mean of simulations
  from the the stochastic component, $$E(Y) = \mu_i = x_i \beta,$$
  given a draw of $\beta$ from its posterior.

\item The predicted value ({\tt qi\$pr}) is drawn from the distribution
  defined by the set of parameters $(\mu_i, \sigma)$.

\item The first difference ({\tt qi\$fd}) is:
\begin{equation*}
\textrm{FD}\; = \;E(Y \mid x_1) -  E(Y \mid x)
\end{equation*}

\item In conditional prediction models, the average expected treatment
  effect ({\tt att.ev}) for the treatment group is
    \begin{equation*} \frac{1}{\sum_{i=1}^n t_i}\sum_{i:t_i=1}^n \left\{ Y_i(t_i=1) -
      E[Y_i(t_i=0)] \right\},
    \end{equation*}
    where $t_i$ is a binary explanatory variable defining the treatment
    ($t_i=1$) and control ($t_i=0$) groups.  Variation in the
    simulations are due to uncertainty in simulating $E[Y_i(t_i=0)]$,
    the counterfactual expected value of $Y_i$ for observations in the
    treatment group, under the assumption that everything stays the
    same except that the treatment indicator is switched to $t_i=0$.

\item In conditional prediction models, the average predicted treatment
  effect ({\tt att.pr}) for the treatment group is
    \begin{equation*} \frac{1}{\sum_{i=1}^n t_i}\sum_{i:t_i=1}^n \left\{ Y_i(t_i=1) -
      \widehat{Y_i(t_i=0)} \right\},
    \end{equation*}
    where $t_i$ is a binary explanatory variable defining the
    treatment ($t_i=1$) and control ($t_i=0$) groups.  Variation in
    the simulations are due to uncertainty in simulating
    $\widehat{Y_i(t_i=0)}$, the counterfactual predicted value of
    $Y_i$ for observations in the treatment group, under the
    assumption that everything stays the same except that the
    treatment indicator is switched to $t_i=0$.

\end{itemize}

\subsubsection{Output Values}

The output of each Zelig command contains useful information which
you may view.  For example, if you run \texttt{z.out <- zelig(y \~\,
  x, model = "normal.survey", data)}, then you may examine the available
information in \texttt{z.out} by using \texttt{names(z.out)}, see
the {\tt coefficients} by using {\tt z.out\$coefficients}, and a
default summary of information through \texttt{summary(z.out)}.
Other elements available through the {\tt \$} operator are listed
below.

\begin{itemize}
\item From the {\tt zelig()} output object {\tt z.out}, you may extract:
   \begin{itemize}
   \item {\tt coefficients}: parameter estimates for the explanatory
     variables.
   \item {\tt residuals}: the working residuals in the final iteration
     of the IWLS fit.
   \item {\tt fitted.values}: fitted values.  For the survey-weighted normal model,
     these are identical to the {\tt linear predictors}.
   \item {\tt linear.predictors}: fitted values.  For the survey-weighted normal
     model, these are identical to {\tt fitted.values}.
   \item {\tt aic}: Akaike's Information Criterion (minus twice the
     maximized log-likelihood plus twice the number of coefficients).
   \item {\tt df.residual}: the residual degrees of freedom.
   \item {\tt df.null}: the residual degrees of freedom for the null
     model.
   \item {\tt zelig.data}: the input data frame if {\tt save.data = TRUE}.
   \end{itemize}

\item From {\tt summary(z.out)}, you may extract:
   \begin{itemize}
   \item {\tt coefficients}: the parameter estimates with their
     associated standard errors, $p$-values, and $t$-statistics.
   \item{\tt cov.scaled}: a $k \times k$ matrix of scaled covariances.
   \item{\tt cov.unscaled}: a $k \times k$ matrix of unscaled
     covariances.
   \end{itemize}

\item From the {\tt sim()} output object {\tt s.out}, you may extract
  quantities of interest arranged as matrices indexed by simulation
  $\times$ {\tt x}-observation (for more than one {\tt x}-observation).
  Available quantities are:

   \begin{itemize}
   \item {\tt qi\$ev}: the simulated expected values for the specified
     values of {\tt x}.
   \item {\tt qi\$pr}: the simulated predicted values drawn from the
     distribution defined by $(\mu_i, \sigma)$.
   \item {\tt qi\$fd}: the simulated first difference in the simulated
     expected values for the values specified in {\tt x} and {\tt x1}.
   \item {\tt qi\$att.ev}: the simulated average expected treatment
     effect for the treated from conditional prediction models.
   \item {\tt qi\$att.pr}: the simulated average predicted treatment
     effect for the treated from conditional prediction models.
   \end{itemize}
\end{itemize}

When users estimate {\tt normal.survey} models with replicate weights in {\tt Zelig}, an 
object called {\tt .survey.prob.weights} is created in the global environment.  
{\tt Zelig} will over-write any existing object with that name, and users 
are therefore advised to re-name any object called {\tt .survey.prob.weights} before using {\tt normal.survey} models in {\tt Zelig}.

\subsection* {How to Cite}
\input{cites/normal.survey}
 \input{citeZelig}
 
 \subsection* {See also}
 
 Survey-weighted linear models and the sample data used in the
 examples above are a part of the {\tt survey} package by Thomas
 Lumley. Users may wish to refer to the help files for the three
 functions that Zelig draws upon when estimating survey-weighted
 models, namely, {\tt help(svyglm)}, {\tt help(svydesign)}, and {\tt
 help(svrepdesign)}.  The Gamma model is part of the stats package
 by \citet{VenRip02}. Advanced users may wish to refer to
 \texttt{help(glm)} and \texttt{help(family)}, as well as
 \cite{McCNel89}.
 
 
 
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