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<[email protected]> 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<[email protected]> 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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