Regression with imputed covariates: A generalized missing-indicator approach
AbstractA common problem in applied regression analysis is that covariate values may be missing for some observations but imputed values may be available. This situation generates a trade-off between bias and precision: the complete cases are often disarmingly few, but replacing the missing observations with the imputed values to gain precision may lead to bias. In this paper, we formalize this trade-off by showing that one can augment the regression model with a set of auxiliary variables so as to obtain, under weak assumptions about the imputations, the same unbiased estimator of the parameters of interest as complete-case analysis. Given this augmented model, the bias-precision trade-off may then be tackled by either model reduction procedures or model averaging methods. We illustrate our approach by considering the problem of estimating the relation between income and the body mass index (BMI) using survey data affected by item non-response, where the missing values on the main covariates are filled in by imputations.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 162 (2011)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Missing covariates Imputations Bias-precision trade-off Model reduction Model averaging BMI and income;
Other versions of this item:
- Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2011. "Regression with imputed covariates: A generalized missing-indicator approach," Post-Print peer-00815561, HAL.
- Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2009. "Regression with Imputed Covariates:a Generalized Missing Indicator Approach," CEIS Research Paper 150, Tor Vergata University, CEIS, revised 08 Oct 2009.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
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