metboost: Exploratory regression analysis with hierarchically clustered data

As data collections become larger, exploratory regression analysis becomes more important but more challenging. When observations are hierarchically clustered the problem is even more challenging because model selection with mixed effect models can produce misleading results when nonlinear effects are not included into the model (Bauer and Cai, 2009). A machine learning method called boosted decision trees (Friedman, 2001) is a good approach for exploratory regression analysis in real data sets because it can detect predictors with nonlinear and interaction effects while also accounting for missing data. We propose an extension to boosted decision decision trees called metboost for hierarchically clustered data. It works by constraining the structure of each tree to be the same across groups, but allowing the terminal node means to differ. This allows predictors and split points to lead to different predictions within each group, and approximates nonlinear group specific effects. Importantly, metboost remains computationally feasible for thousands of observations and hundreds of predictors that may contain missing values. We apply the method to predict math performance for 15,240 students from 751 schools in data collected in the Educational Longitudinal Study 2002 (Ingels et al., 2007), allowing 76 predictors to have unique effects for each school. When comparing results to boosted decision trees, metboost has 15% improved prediction performance. Results of a large simulation study show that metboost has up to 70% improved variable selection performance and up to 30% improved prediction performance compared to boosted decision trees when group sizes are small