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Re: st: Missing values in panel data

From   Paul Seed <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Missing values in panel data
Date   Wed, 13 Jan 2010 17:20:04 +0000

Dear Maarten,

You are quite correct.  MCAR was a typo for MAR.


Paul T Seed MSc CStat CSci, Senior Lecturer in Medical Statistics,
King's College London, Division of Reproduction and Endocrinology
St Thomas' Hospital, Westminster Bridge Road, London SE1 7EH

Date: Tue, 12 Jan 2010 10:55:45 -0800 (PST)
From: Maarten buis <[email protected]>
Subject: Re: st: Missing values in panel data

- --- On Tue, 12/1/10, Paul Seed <[email protected]> wrote:

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.

I don't see why MCAR would be a problem at all (appart from
the smaller sample size): ignoring observations with missing
values if the missingness mechanism is MCAR just means you
have drawn a random sample from your random sample, so no
bias will be the result of that. So that would mean that if
you know your process is MCAR you can use whatever method
you like.

- -- Maarten

- --------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
- -------------------------

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