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Re: st: robust standard errors, sureg, & suest

From   Austin Nichols <>
Subject   Re: st: robust standard errors, sureg, & suest
Date   Thu, 27 Aug 2009 10:13:49 -0400

Woolton Lee<> :
I am just guessing that modeling covariances in the data well at the
imputation step will be crucial, and that you will need a lot more
imputations than usual, perhaps 100 instead of 5 or 10.  Just
guessing, as I say.  You should run your own simulation--what is your
data structure?  What are you imputing?

On Thu, Aug 27, 2009 at 10:02 AM, Woolton Lee<> wrote:
> I am planning to estimate a multi equation model using multiply
> imputed data (5 imputations).  I plan to use sureg and mim then use
> suest to recover robust standard errors for the parameter estimates.
> I am assuming this will work from what I've read in the help file but
> I am not certain if there are problems to implementing this plan that
> I haven't anticipated.  Could someone please confirm that as far as
> implementing my idea, it will work?  Thanks.
> I believe one problem with what I've planned is that combining
> multiply imputed estimates using sureg may not be guaranteed to yield
> statistically valid results - there may not have been any simulation
> studies to verify that this approach to estimation will be unbiased
> and consistent, etc.  If there is anyone that can comment on this as
> well please do.

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