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st: Missing values in panel data

From   Paul Seed <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: Missing values in panel data
Date   Tue, 12 Jan 2010 18:26:28 +0000

Dear all,

I have a puzzle.  Is it better to use -xtreg, gls- or -xtreg, mle-
for panel data with missing values?  Little & Rubin have suggested
that maximum likelihood estimation corrects for MCAR data if the
model is correctly specificed.  The Stata manual makes no mention of
this, and devotes much time to -gls- regression.

It mentions that the results of -mle- regression are likely to be similar to those of -gls-, except for small numbers and unbalanced panels, exactly the circumstance where issing data might be most relevant. Can I take it that -mle- is superior
to -gls- in this respect? Or is there some known or suspected flaw in -mle-
that I need to be aware of ?

To set the context: I frequently have to analyse the results of biochemical analysis
of blood samples taken during pregnency.
This typically takes the form of panel data over a small number of periods
(generally less than 10,sometimes less than 5), with a substantial amount of missing data.
(perhaps 10% to 40%).  Typically the subjects are
divided into 2 or 3 groups according to diagnosis or treamtnet and
modest number of subjects (10-100, and often 10-20).
Best wihses,

Paul Seed

[email protected], King's College London

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