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Re: st: references that may support using xtreg with multiple imputation


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: references that may support using xtreg with multiple imputation
Date   Thu, 27 Aug 2009 14:26:17 -0500

As I said, I doubt it. In particular, MAR assumption implies that
missingness cannot depend on the panel effect, and that is hardly
realistic.

On Thu, Aug 27, 2009 at 12:28 PM, Woolton Lee<finished07@gmail.com> wrote:
> I am using STATA version 10 and ICE not MI.  I'm not planning to use
> multiple imputation to account for unobserved effects.  What I would
> like to know is whether there is evidence that using multiple
> imputation (assuming MAR and the other assumptions) with FE regression
> has the standard statistical properties such as unbiasedness,
> consistency, etc.
>
> Woolton
>
> On Thu, Aug 27, 2009 at 1:05 PM, Stas Kolenikov<skolenik@gmail.com> wrote:
>> You probably want to use -xtreg, fe- to control for unobservable panel
>> effects in the first place, right? You suspect your regressors are
>> correlated with the panel effect, yada-yada, biased estimates, etc. If
>> you can twist -mi-'s arms to generate the completed data sets that
>> incorporate those unobservables, you might be able to justify the
>> multiple imputation approach. But this is not feasible since by
>> definition those panel effects are not observed. Ergo, I would not
>> trust any application that would do -mi estimate: xtreg, fe-.
>> Conceptually, if you ran -mi- within each panel, that might produce
>> something you could claim makes sense. But say 10 observations you
>> would probably have in a typical panel is hardly enough to fit a good
>> imputation model, even more so if your regression will have 20
>> explanatory variables. No free lunch, sorry; -mi- is not a panacea,
>> and should not be thought of as such. I personally think about it as a
>> last resort, and only if I can convincingly incoroporate all the data
>> generating process features into the imputation model.
>>
>> On Thu, Aug 27, 2009 at 11:49 AM, Woolton Lee<finished07@gmail.com> wrote:
>>> Does anyone know of simulation studies that have looked at statistical
>>> properties of simple fixed effects regression with multiple
>>> imputation?  I would like to know whether there is evidence justifying
>>> the use of this approach.  Thanks.
>>>
>>> PS if you know some cites please send them to me.  Thanks.
>>>
>>> Woolton
>>> *
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>>>
>>
>>
>>
>> --
>> Stas Kolenikov, also found at http://stas.kolenikov.name
>> Small print: I use this email account for mailing lists only.
>>
>> *
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>>
>
> *
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>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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