Accounting for model uncertainty in multiple imputation under complex sampling

Multiple imputation provides an effective way to handle missing data. When several possible models are under consideration for the data, multiple imputation is typically performed under a single‐best model selected from the candidate models. This single‐model selection approach ignores the uncertainty associated with the model selection and so leads to underestimation of the variance of multiple imputation estimator. In this article, we propose a new multiple imputation procedure incorporating model uncertainty in the final inference. The proposed method incorporates possible candidate models for the data into the imputation procedure using the idea of Bayesian model averaging. The proposed method is directly applicable to handling item nonresponse in survey sampling. Asymptotic properties of the proposed method are investigated. A limited simulation study confirms that our model averaging approach provides better estimation performance than the single‐model selection approach.