A Generalized Missing-Indicator Approach to Regression with Imputed Covariates
AbstractThis paper considers estimation of a linear regression model using data where some covariate values are missing but imputations are available to fill-in the missing values. The availability of imputations generates a trade-off between bias and precision in the estimators of the regression parameters. The complete cases are often too few, so precision is lost, but filling-in the missing values with imputations may lead to bias. We provide the new Stata command gmi which allows handling such bias-precision trade-off using either model reduction or model averaging techniques in the context of the generalized missing-indicator approach recently proposed by Dardanoni et al.(2011). If multiple imputations are available, our gmi command can be also combined with the built-in Stata prefix mi estimate to account for the extra variability due to the imputation process. The gmi command is illustrated with an empirical application which investigates the relationship between an objective health indicator and a set of socio-demographic and economic covariates affected by substantial item nonresponse.
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Bibliographic InfoPaper provided by Einaudi Institute for Economics and Finance (EIEF) in its series EIEF Working Papers Series with number 1111.
Length: 28 pages
Date of creation: 2011
Date of revision: May 2011
Other versions of this item:
- Valentino Dardanoni & Giuseppe De Luca & Salvatore Modica & Franco Peracchi, 2012. "A generalized missing-indicator approach to regression with imputed covariates," Stata Journal, StataCorp LP, vol. 12(4), pages 575-604, December.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Dardanoni, Valentino & Modica, Salvatore & Peracchi, Franco, 2011. "Regression with imputed covariates: A generalized missing-indicator approach," Journal of Econometrics, Elsevier, vol. 162(2), pages 362-368, June.
- Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2011. "Regression with imputed covariates: A generalized missing-indicator approach," Post-Print peer-00815561, HAL.
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- Dimitrios Christelis, 2011. "Imputation of Missing Data in Waves 1 and 2 of SHARE," CSEF Working Papers 278, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Giuseppe De Luca & Jan R. Magnus, 2011.
"Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues,"
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- De Luca, G. & Magnus, J.R., 2011. "Bayesian Model Averaging and Weighted Average Least Squares: Equivariance, Stability, and Numerical Issues," Discussion Paper 2011-082, Tilburg University, Center for Economic Research.
- Valentino Dardanoni & Giuseppe De Luca & Salvatore Modica & Franco Peracchi, 2013. "Bayesian Model Averaging for Generalized Linear Models with Missing Covariates," EIEF Working Papers Series 1311, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
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