In this example I’ll look at the analysis of clustered survival data with three levels. This kind of data arises in the meta-analysis of recurrent event times, where we have observations (events or censored), k (level 1), nested within patients, j (level 2), nested within trials, i (level 3).

Random intercepts

The first example will consider a model with a random intercept at level 2 and a random intercept at level 3,

$$h_{ijk}(t) = h_{0}(t)\exp (X_{ij}\beta + b_{1i} + b_{2ij})$$

where

$$b_{1i} \sim N(0,\sigma_{1}^{2}) \quad\text{and}\quad b_{2ij} \sim N(0,\sigma_{2}^{2})$$

By assuming a random intercept at the trial level 3, we are assuming that each trial comes from a distribution of trials, which arguably is a strong and perhaps implausible assumption. We may prefer to stratify by trial, but for the sake of illustration, here I’ll proceed with a random trial effect. A second important note is that our covariate effects, , are interpreted as conditional on the random effects.

I’ll start by showing how to simulate data from such a model. Let’s assume we have data from 15 trials, so we generate a trial variable which will indicate which trial the observations come from, and also our trial level random effect

. clear

. set seed 498093

. set obs 15
Number of observations (_N) was 0, now 15.

. gen trial = _n

. gen b1 = rnormal(0,1)

Now let’s assume we recruit 100 patients within each trial. We can use expand for this,

. expand 100
(1,485 observations created)

. sort trial

where expand will replace each existing observation with 100 copies of itself. We then generate a unique patient id variable, and our patient level random effect

. gen id = _n

. gen b2 = rnormal(0,1)

We also generate a binary treatment variable, at the patient level,

. gen trt = runiform()>0.5

Finally, we allow each patient to experience up to two events, and here we can use expand again,

. expand 2
(1,500 observations created)

. sort trial id

Now we can simulate our observation level survival times, by using survsim. I’ll assume a Weibull baseline hazard function with  and , and a log hazard ratio of  for the treatment effect,

. survsim stime died, distribution(weibull)       /// baseline distribution
>                     lambda(0.1) gamma(1.2)      /// baseline parameters
>                     maxtime(5)                  /// admin. censoring
>                     covariates(trt -0.5         /// trt effect
>                                 b1 1            /// random int. lev. 1
>                                 b2 1)           //  random int. lev. 2

By incorporating the b1 and b2 variables into the linear predictor with a coefficient of 1, we have a very convenient way of including random intercepts into our data-generating process.

Note that I’m simulating the recurrent events under a clock-reset approach, i.e. after each event the timescale is reset to 0. In a further example I will look at the clock-forward approach, i.e. one continuous timescale.

We can fit our data-generating model, i.e. the true model, with merlin as follows,

. merlin (stime                           /// recurrent event times
>         trt                             /// treatment (fixed effect)
>         M1[trial]@1                     /// random int. at trial level
>         M2[trial>id]@1                  /// random int. at id level
>         ,                               ///
>         family(weibull, failure(died))) //  distribution & event indicator

Fitting fixed effects model:

Fitting full model:

Iteration 0:   log likelihood =  -4250.898  (not concave)
Iteration 1:   log likelihood = -4183.9242  
Iteration 2:   log likelihood = -4176.4582  
Iteration 3:   log likelihood = -4175.4024  
Iteration 4:   log likelihood = -4175.3996  
Iteration 5:   log likelihood = -4175.3996  

Mixed effects regression model                           Number of obs = 3,000
Log likelihood = -4175.3996
------------------------------------------------------------------------------
             | Coefficient  Std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
stime:       |            
         trt |  -.5449902   .0757995    -7.19   0.000    -.6935545    -.396426
   M1[trial] |          1          .        .       .            .           .
M2[trial>id] |          1          .        .       .            .           .
       _cons |   -1.99857   .2224338    -8.99   0.000    -2.434532   -1.562608
  log(gamma) |    .192227   .0259834     7.40   0.000     .1413005    .2431534
-------------+----------------------------------------------------------------
trial:       |            
      sd(M1) |   .8217196    .156671                      .5654985    1.194031
-------------+----------------------------------------------------------------
id:          |            
      sd(M2) |    .971307   .0566649                      .8663601    1.088967
------------------------------------------------------------------------------

alternatively, we can make our lives easier by using stmixed

. stset stime, failure(died)

Survival-time data settings

         Failure event: died!=0 & died<.
Observed time interval: (0, stime]
     Exit on or before: failure

--------------------------------------------------------------------------
      3,000  total observations
          0  exclusions
--------------------------------------------------------------------------
      3,000  observations remaining, representing
      1,598  failures in single-record/single-failure data
 10,166.366  total analysis time at risk and under observation
                                                At risk from t =         0
                                     Earliest observed entry t =         0
                                          Last observed exit t =         5

. stmixed trt || trial: || id: , distribution(weibull)
Random effect M1: Intercept at level trial
Random effect M2: Intercept at level id

Fitting fixed effects model:

Fitting full model:

Iteration 0:   log likelihood =  -4250.898  (not concave)
Iteration 1:   log likelihood = -4183.9242  
Iteration 2:   log likelihood = -4176.4582  
Iteration 3:   log likelihood = -4175.4024  
Iteration 4:   log likelihood = -4175.3996  
Iteration 5:   log likelihood = -4175.3996  

Mixed effects survival model                             Number of obs = 3,000
Log likelihood = -4175.3996
------------------------------------------------------------------------------
             | Coefficient  Std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
_t:          |            
         trt |  -.5449902   .0757995    -7.19   0.000    -.6935545    -.396426
   M1[trial] |          1          .        .       .            .           .
M2[trial>id] |          1          .        .       .            .           .
       _cons |   -1.99857   .2224338    -8.99   0.000    -2.434532   -1.562608
  log(gamma) |    .192227   .0259834     7.40   0.000     .1413005    .2431534
-------------+----------------------------------------------------------------
trial:       |            
      sd(M1) |   .8217196    .156671                      .5654985    1.194031
-------------+----------------------------------------------------------------
id:          |            
      sd(M2) |    .971307   .0566649                      .8663601    1.088967
------------------------------------------------------------------------------

where we reassuringly get the same results. Read more about stmixed in this Stata Journal paper.

Random trial and random treatment effect

Now we consider a second example, but still sticking within a meta-analysis context. In many situations, we would investigate the presence of heterogeneity, i.e. unobserved variability, in any treatment effects. We can do this by modelling a random treatment effect, with the following model.

$$h_{ijk}(t) = h_{0}(t)\exp (b_{11i} + (\beta + b_{12i})X_{ij} + b_{2ij})$$

where

$$b_{11i} \sim N(0,\sigma_{11}^{2}), \quad b_{12i} \sim N(0,\sigma_{12}^{2}) \quad \text{and}\quad b_{2ij} \sim N(0,\sigma_{2}^{2})$$

Once more let’s assume we have data from 15 trials, so we generate a trial variable which will indicate which trial the observations come from, but this time we have a random intercept and also a random treatment effect, which we assume are independent (we could use drawnorm if we wanted to impose correlated random effects),

. clear

. set seed 498093

. set obs 15
Number of observations (_N) was 0, now 15.

. gen trial = _n

. gen b11 = rnormal(0,1)

. gen b12 = rnormal(0,1)

Again let’s assume we recruit 100 patients within each trial,

. expand 100
(1,485 observations created)

. sort trial

and then generate our unique patient id variable, and our patient level random effect

. gen id = _n

. gen b2 = rnormal(0,1)

We also generate a binary treatment variable, at the patient level,

. gen trt = runiform()>0.5

Finally, we allow each patient to experience up to two events,

. expand 2
(1,500 observations created)

. sort trial id

Now to impose our random treatment effect (varying at the trial level), we can first
generate its overall effect using

. gen trtb12 = (-0.5 + b12) * trt

and then simulate our survival times as follows,

. survsim stime died,     dist(weibull)   /// distribution
>                         lambda(0.1)     /// scale
>                         gamma(1.2)      /// shape
>                         maxtime(5)      /// admin. censoring
>                         covariates(     /// linear predictor
>                             trtb12 1    /// fixed + random treatment effect
>                             b11 1       /// random intercept
>                             b2 1)       //  random intercept

where once again we include coefficients of 1 on our random effects. We can fit our data-generating model, i.e. the true model, with merlin as follows,

. merlin (stime                           /// outcome
>         trt                             /// fixed treatment effect
>         trt#M1[trial]@1                 /// random treatment effect
>         M2[trial]@1                     /// random int. at trial level
>         M3[trial>id]@1                  /// random int. at id level
>         ,                               ///
>         family(weibull, failure(died))) // dist. & event indicator

Fitting fixed effects model:

Fitting full model:

Iteration 0:   log likelihood = -4116.4692  (not concave)
Iteration 1:   log likelihood = -4016.0111  
Iteration 2:   log likelihood = -4009.4162  
Iteration 3:   log likelihood = -4009.1759  
Iteration 4:   log likelihood = -4009.1752  
Iteration 5:   log likelihood = -4009.1752  

Mixed effects regression model                           Number of obs = 3,000
Log likelihood = -4009.1752
------------------------------------------------------------------------------
             | Coefficient  Std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
stime:       |            
         trt |  -.5156967   .3010874    -1.71   0.087    -1.105817    .0744238
trt#M1[tri~] |          1          .        .       .            .           .
   M2[trial] |          1          .        .       .            .           .
M3[trial>id] |          1          .        .       .            .           .
       _cons |  -2.027292   .2255663    -8.99   0.000    -2.469394   -1.585191
  log(gamma) |   .2010559   .0258223     7.79   0.000     .1504451    .2516668
-------------+----------------------------------------------------------------
trial:       |            
      sd(M1) |   1.120972   .2208733                      .7618621    1.649351
      sd(M2) |   .8307332   .1644114                      .5636366    1.224402
-------------+----------------------------------------------------------------
id:          |            
      sd(M3) |    1.03136   .0559169                      .9273872     1.14699
------------------------------------------------------------------------------

And of course, we can replicate this with stmixed using,

. stset stime, failure(died)

Survival-time data settings

         Failure event: died!=0 & died<.
Observed time interval: (0, stime]
     Exit on or before: failure

--------------------------------------------------------------------------
      3,000  total observations
          0  exclusions
--------------------------------------------------------------------------
      3,000  observations remaining, representing
      1,608  failures in single-record/single-failure data
  9,961.735  total analysis time at risk and under observation
                                                At risk from t =         0
                                     Earliest observed entry t =         0
                                          Last observed exit t =         5

. stmixed trt || trial: trt || id: , distribution(weibull)
Random effect M1: Intercept at level trial
Random effect M2: trt at level trial
Random effect M3: Intercept at level id

Fitting fixed effects model:

Fitting full model:

Iteration 0:   log likelihood = -4116.4692  (not concave)
Iteration 1:   log likelihood = -4016.6173  
Iteration 2:   log likelihood = -4009.4527  
Iteration 3:   log likelihood = -4009.1758  
Iteration 4:   log likelihood = -4009.1752  
Iteration 5:   log likelihood = -4009.1752  

Mixed effects survival model                             Number of obs = 3,000
Log likelihood = -4009.1752
------------------------------------------------------------------------------
             | Coefficient  Std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
_t:          |            
         trt |  -.5156688   .3010636    -1.71   0.087    -1.105743    .0744049
   M1[trial] |          1          .        .       .            .           .
trt#M2[tri~] |          1          .        .       .            .           .
M3[trial>id] |          1          .        .       .            .           .
       _cons |  -2.027279   .2255593    -8.99   0.000    -2.469368   -1.585191
  log(gamma) |   .2010557   .0258222     7.79   0.000      .150445    .2516663
-------------+----------------------------------------------------------------
trial:       |            
      sd(M1) |   .8307552   .1643872                      .5636896    1.224352
      sd(M2) |   1.121014   .2210486                      .7616681    1.649895
-------------+----------------------------------------------------------------
id:          |            
      sd(M3) |   1.031359   .0559165                      .9273866    1.146988
------------------------------------------------------------------------------

This post gave a little taster of simulating and estimating multilevel survival models – go crazy changing the baseline model, more levels, time-dependent effects…the list goes on.