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st: Re: 2sls with multiply-imputed data sets

From   "Rodrigo A. Alfaro" <>
To   <>
Subject   st: Re: 2sls with multiply-imputed data sets
Date   Fri, 25 May 2007 18:23:15 -0400

We had a similar discussion on the list this week. In that case, the topic was the R2 for Multiple Imputation (MI). Maarten proposed (for R2 case) to compute the geometric average instead of arithmetic one, based on Donald Rubin's reply somewhere else. Hansen J test is asymptotically distributed as chi-square, maybe a similar suggestion applies for your case.

My own suggestion for the R2 was to report your simple average and write a small note with the min/max R2 along your regressions. In your case, I suggest to analyze more in deep the figures for Hansen J tests and the p-values associated with these. I think that is perfectly OK to have pvalues of 0.01 0.008, etc. (similar magnitud)... and I don't expect to see very different values for Hansen J test as well. If so... then you have problems with the model and/or the method of MI.

All this works if your # of missing over the total observations is few and if you imputed all the variables (including the variables used in the first step) at once. Finally, MI methods are based on simulations then in practice I generate more than 5 datasets and play with some combinations of 5 datasets (2nd to 6th, etc) and with more datasets (8, 10 or 12) to see if the results change.


----- Original Message ----- From: "Viola Angelini" <>
To: <>
Sent: Friday, May 25, 2007 4:59 AM
Subject: st: 2sls with multiply-imputed data sets

Hi all

in Stata I estimate an equation with 2sls using multiply-imputed data sets
(5 implicates) but I do have many problems when it comes to performing the
usual tests.
I would like to know how to carry out the Hansen-J test of overidentifying
restrictions (I have cluster-robust standard errors) and the endogeneity
(Hausman) test with multiply imputed datasets. I can perform the test
separately on the five imputed datasets but then I haven't got a clue how to
combine the results.



Viola Angelini
Department of Economics, University of Padua
Via del Santo 33, 35123 Padova, Italy
Tel.: + 39 049 8274008, Fax: +39 049 8274221
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