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Re: st: IV with missing values


From   sara borelli <saraborelli77@yahoo.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV with missing values
Date   Fri, 25 Jul 2008 12:38:21 +0000 (GMT)

Maarten,

thank you very much for the suggestions,
Sara


--- Mar 22/7/08, Maarten buis <maartenbuis@yahoo.co.uk> ha scritto:

> Da: Maarten buis <maartenbuis@yahoo.co.uk>
> Oggetto: Re: st: IV with missing values
> A: statalist@hsphsun2.harvard.edu
> Data: Martedì 22 luglio 2008, 16:21
> --- sara borelli <saraborelli77@yahoo.it> wrote:
> > I am estimating the following regression:
> > 
> > y1= ax + by2 + u
> > where y2 is endogenous and I am using some varaible z
> as identifying
> > instrument
> > 
> > y1, x, z are osberved for the whole sample, but y2 is
> missing for 30%
> > of observations.
> > If I use ivreg, stata estimates the model only on the
> non-missing
> > observations. But I need to estimate the model on the
> whole sample.
> > Therefore I explicitly performed the two steps 
> separately,
> > predicting y2 in the first stage for the whole sample
> and inserting
> > it into the second stage. But I know the standard
> errors may be
> > biased. Does anyone know a way to estimate this
> correctly?
> 
> I don't think that your procedure is going to solve
> your problem: This
> way your predictions of y2 are still based on the sample
> without
> missing data. A more principled approach is to use -ice-,
> see the
> articles below:
> 
> Royston, P. 2004. Multiple imputation of missing values.
> Stata Journal
> 4(3): 227–241.
> 
> Royston, P. 2005. Multiple imputation of missing values:
> update. Stata
> Journal 5(2): 188–201.
> 
> Royston, P. 2005. Multiple imputation of missing values:
> Update of ice.
> Stata Journal 5(4): 527-536. 
> 
> Royston, P. 2007. Multiple imputation of missing values:
> further update
> of ice, with an emphasis on interval censoring. Stata
> Journal 7(4):
> 445-464.
> 
> You can find these articles here:
> http://www.stata-journal.com/archives.html
> 
> Hope this helps,
> Maarten
> 
> 
> 
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
> 
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
> 
> +31 20 5986715
> 
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
> 
> 
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