Finite sample properties of multiple imputation estimators

Finite sample properties of multiple imputation estimators

Finite sample properties of multiple imputation estimators under the linear regression model are studied. The exact bias of the multiple imputation variance estimator is presented. A method of reducing the bias is presented and simulation is used to make comparisons. We also show that the suggested method can be used for a general class of linear estimators. 1. Introduction. Multiple imputation...

Finite Sample Properties of Multiple Imputation

Finite Sample Properties of Semiparametric Estimators of Average Treatment Effects∗

We explore the finite sample properties of several semiparametric estimators of average treatment effects, including propensity score reweighting, matching, double robust, and control function estimators. When there is good overlap in the distribution of propensity scores for treatment and control units, reweighting estimators are preferred on bias grounds and attain the semiparametric efficien...

Alternative HAC covariance matrix estimators with improved finite sample properties

HAC estimators are known to produce test statistics that reject too frequently in finite samples. One neglected reason comes from using the OLS residuals when constructing the HAC estimator. If the regression matrix contains high leverage points, such as from outliers, then the OLS residuals will be negatively biased. This reduces the variance of the OLS residuals and the HAC estimator takes th...

Multiple Imputation in a Complex Sample Survey

Multiple imputation for missing survey data is relatively new concept. As defined by one of its leading proponents, "multiple imputation is the technique that replaces each missing or deficient value with two or more acceptable values representing a distribution of possibilities" (Rubin 1987, p.2). Multiply-imputed data reflects the uncertainty contained in the imputation process in a way not p...