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RE: st: RE: Panel Data Problem

Subject   RE: st: RE: Panel Data Problem
Date   Tue, 6 Sep 2005 10:16:03 +0100

It's both an answer and a question. 

It's a question because I was surprised Dr Cox did not include -mvis- as 
an option. It's an answer because multiple imputation is a common way of 
dealing with missing values. Obviously applying it to a panel data with so 
many missing values will itself be a statistical challenge. 


"Nick Cox" <> 
Sent by:
05/09/2005 22:15
Please respond to


RE: st: RE: Panel Data Problem

Is that a question or an answer? 

I'll in turn give an answer that is 
really a question. 

As one gets into more and more elaborate imputation 
of missing data, what then is the status 
of any model later fitted to the data? 

I am reminded of those stories of naive 
students rediscovering the very relationships 
used to fill in the gaps in scrappy data by 
economists working for international organisations. 

> What about -mvis- for multiple imputation? 
Nick Cox
> You have a lot of missing data here. 
> If -ipolate- helps little, it seems 
> unlikely that any other method will 
> help more. 
> You might get marginal improvements 
> by interpolating in log price, then 
> exponentiating. That is, a zeroth 
> approximation in most economies 
> would be that prices are increasing 
> multiplicatively. 
Mazhar Islam
> > I have a panel data of daily price of a commodity in
> > different locations of a city over 7 -year period.
> > Unfortunately about 40 % data is missing from both
> > right and left (dependent variable) side of the model.
> > How should I go about it? I tried Stata's ipolate
> > command to fill up the missing observations but did
> > not help much. When I ran xtreg with random effect
> > option (re) a number of records are dropped. I want to
> > capture as many panels as I can. Any help is greatly
> > appreciated. 

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