Instability of inverse probability weighting methods and a remedy for nonignorable missing data

Inverse probability weighting (IPW) methods are commonly used to analyze nonignorable missing data (NIMD) under the assumption of a logistic model for the missingness probability. However, solving IPW equations numerically may involve nonconvergence problems when the sample size is moderate and the missingness probability is high. Moreover, those equations often have multiple roots, and identifying the best root is challenging. Therefore, IPW methods may have low efficiency or even produce biased results. We identify the pitfall in these methods pathologically: they involve the estimation of a moment‐generating function (MGF), and such functions are notoriously unstable in general. As a remedy, we model the outcome distribution given the covariates of the completely observed individuals semiparametrically. After forming an induced logistic regression (LR) model for the missingness status of the outcome and covariate, we develop a maximum conditional likelihood method to estimate the underlying parameters. The proposed method circumvents the estimation of an MGF and hence overcomes the instability of IPW methods. Our theoretical and simulation results show that the proposed method outperforms existing competitors greatly. Two real data examples are analyzed to illustrate the advantages of our method. We conclude that if only a parametric LR is assumed but the outcome regression model is left arbitrary, then one has to be cautious in using any of the existing statistical methods in problems involving NIMD.