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■ Abstract Missing data are a pervasive problem in many public health investiga-
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tions. The standard approach is to restrict the analysis to subjects with complete data
on the variables involved in the analysis. Estimates from such analysis can be biased,
especially if the subjects who are included in the analysis are systematically different
from those who were excluded in terms of one or more key variables. Severity of
bias in the estimates is illustrated through a simulation study in a logistic regression
setting. This article reviews three approaches for analyzing incomplete data. The first
approach involves weighting subjects who are included in the analysis to compensate
for those who were excluded because of missing values. The second approach is based
on multiple imputation where missing values are replaced by two or more plausible
values. The final approach is based on constructing the likelihood based on the incom-
plete observed data. The same logistic regression example is used to illustrate the basic
concepts and methodology. Some software packages for analyzing incomplete data are
described.
INTRODUCTION
100 RAGHUNATHAN
x ∼ N (0, 1),
logit Pr(E = 1|x) = 0.25 + 0.75 × x, and
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2. Delete some values of x in each data set using the same logistic model
mechanism given above (we will call the corresponding data sets with values
of x set to missing as “after-deletion” data sets).
3. Fit logistic regression models to both 2500 before-deletion and the corre-
sponding after-deletion data sets.
4. The primary parameter of interest is the regression coefficient for E, the
log-odds ratio measuring the association between D and E adjusted for x.
Figure 1 provides the histogram of 2500 estimated regression coefficients
from before-deletion data sets, and Figure 2 provides the histogram of the
corresponding 2500 available-case estimates from after-deletion data sets.
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Figure 1 is centered on the true value 0.5 and is normal in shape, given
the large sample size (n = 1000). Figure 2, on the other hand, is centered
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approximately at 0.20, and in fact, the true value lies in the tail of the sam-
pling distribution. This basic simulation study demonstrates that the standard
practice of omitting subjects with any missing values can be invalid.
This article reviews three approaches for correctly analyzing incomplete data,
and these will be evaluated using the same simulated data sets used to illustrate the
102 RAGHUNATHAN
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perils of using the available-case approach. The first approach involves attaching
weights to each subject included in the analysis to represent subjects who were
excluded. This is often used to compensate for unit nonresponse in surveys [see
(9) for a review]. The second approach is through multiple imputation (29, 30),
where the missing set of values is replaced by more than one plausible set of
values. Each plausible set of values in conjunction with the observed data results
in a completed data set. Each completed data set is analyzed separately using the
standard complete data software, and the resulting point estimates and standard
errors are combined using a simple formula described later.
The distinction between the observed and filled-in values must be incorpo-
rated in any subsequent analysis of data with imputed values. That is, the filled-in
values for any one subject with missing values should not be considered as micro-
data for that subject but rather as values that are statistically plausible given other
information on that subject. These filled-in or completed data sets are plausible
samples from the population under certain assumptions. Thus, the completed data
sets should result in inferences (point estimates and confidence intervals, for ex-
ample) that are within the realm of statistical plausibility of inferences that would
have been obtained had there been no missing data. In that respect, the multiple
imputation approach is a statistical approach of “rectangularizing” the observed
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data to exploit the available complete data software to obtain valid inferences. The
inferential validity based on the multiple imputed data sets is the goal, and any
imputation procedure should not viewed as a method for recovering the missing
values for any given individual.
The third approach is based on the likelihood constructed from the observed in-
complete data. This approach has a long history: The earliest reference seems to be
McKendrick (21), who used an algorithm similar to the Expectation-Maximization
(EM) algorithm (5) to obtain estimates from a sample with missing values. The
EM algorithm is a popular approach for maximizing the observed data likelihood.
This paper emphasizes weighting and imputation approaches and briefly discusses
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104 RAGHUNATHAN
where missing values can also occur in V, the MCAR assumption implies that
the missing values in any variable are independent of the underlying values of U
or V. The subjects included in the available-case analysis, therefore, constitute a
random subsample of the original sample. Thus, the analysis that includes only
those who have U and V observed is generally valid under this assumption because
the process of excluding the subjects with any missing values does not distort
the representativeness of the original sample. This assumption is clearly violated
in our simulation study where the percentages with missing values differ across
the four cells based on D and E. The MCAR is a rather strong assumption and
is rarely satisfied in practical applications. Sometimes the available-case analysis
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may be valid under a weaker assumption [see, for example, (7, 12, 15)], but these
exceptions are few and idiosyncratic.
A weaker assumption is MAR where, again, resorting to the simple case first,
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Pr(R = 1|U,V) = f(V), a function that depends on V but not on U. The dele-
tion mechanism used in the simulation study falls under this category where the
missingness in x depends on D and E but not on x. In essence, this assumption
entails that for two individuals with the same value of V, one has U observed
and the other has U missing; the missing U is arising from the same distribution
(for a given V) as the observed one. That is, conditional on V, the missing U is
predictable from the observed distribution of U. In a more general situation where
the missing values can be in several variables, the exact analytical specification
of this assumption is difficult. Loosely speaking, suppose that di,obs denotes the
observed components of complete data, (Ui , Vi ), for subject i, and di,miss denotes
the missing components. For two individuals, i and j, when di,obs = d j,obs , the
missing components, di,miss and d j,miss , have the same distribution.
Given this conditional nature of the assumption, the stronger the correlates of
U in V, the weaker is the assumption about the missing data mechanism for U.
For example, if U were income, then having a rich set of variables to condition
on in V, such as age, gender, education, occupation, property values, monthly
expenditures, and neighborhood level information, makes the assumption about
missing data considerably weaker when compared to MCAR or when the list of
variables to be conditioned on is limited to, say, age and gender. The limitation
of the MAR assumption is due to lack of appropriate variables that can be con-
ditioned on in the analysis, and empirically it has been shown to be reasonable
in practical situations (4, 33). The three approaches discussed in this paper are
valid under different versions of this weaker assumption about the missing data
mechanism.
Finally, the missing data mechanism is said to be Not-Missing at Random
(NMAR), if Pr(R = 1|U, V) = f(U, V), a function that certainly depends on U but
may also depend on V. That is, even after conditioning on V, the distribution of U
for the respondents and nonrespondents are dissimilar. This function, however, is
not estimable from the observed data because whenever R = 0, U is unobserved.
Therefore, an explicit form of f has to be specified and the data cannot be used to
empirically verify the validity of this assumption.
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The specification of Pr(R = 1|U, V), in conjunction with the substantive model
Pr(U, V), is used to construct inferences about the parameters of interest. This is
a selection model method and was first proposed by Heckman (8). The alternative
approach is to specify how different the distributions of (U, V) are for the respon-
dents and nonrespondents. That is, specify the population distribution as a mixture
of two components, Pr(U, V|R = 1) and Pr(U, V|R = 0), for respondents and non-
respondents, respectively. This mixture is used to construct inferences about the
population. Again, there is no data to specify the part of the mixture Pr(U, V|R =
0) because U is unobserved whenever R = 0. This approach was first proposed by
Rubin (27, 29) and later extended by Little (16). In any event, both these approaches
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make empirically unverifiable assumptions, and their use is very limited to situ-
ations where some prior knowledge may exist to specify the mixture distribution
or the selection model. For more details see Chapter 15 in Reference 19.
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WEIGHTING
106 RAGHUNATHAN
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the adjustment cell). The simulation example described above used this method to
construct the weights based on D and E. The disadvantage of this approach is that
the continuous variables in V have to be categorized, and if V has a large number
of variables, the contingency table can be sparse, leading to unstable weights.
An alternative approach is to estimate the response propensity through a logistic
regression model, Pr(R = 1|V ) = [1 + exp(−βo − V t β1 )]−1 , where βo and β1 are
the unknown regression coefficients and the superscript t denotes matrix transpose.
Suppose that β̂o and β̂1 are the estimated regression coefficients; the weights for
a respondent j is then defined as w j = 1 + exp(−β̂o − V jt β̂1 ). One may include
the interaction terms between different variables or transformation in V. There is
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MULTIPLE IMPUTATION
Weighting is a simple approach for making the subjects included in the available-
case analysis representative of the original sample and is effective in removing
nonresponse bias. However, by including only subjects with complete data, it
ignores partial information from subjects with incomplete data. For example, in a
multiple linear regression with some subjects missing one variable at the most, it
can be very inefficient to ignore information on the rest of the variables, especially
if they are good predictors of the variables with missing values.
An alternative approach is based on filling in or imputing the missing values in
the data set. Again, this approach can be traced back to survey practices adopted
by the U.S. Bureau of Census [See (6) for historical accounts]. This practice of
filling in the missing values (this is called single imputation method) in the survey
practice is attractive for several reasons. First, imputation adjusts for differences
between nonrespondents and respondents on variables observed for both and in-
cluded in the imputation process, as well as differences on variables not included
in the model that are predicted by the model; such an adjustment is generally not
made by available-case analysis. Second, the complete data software can be used
to process the data to obtain descriptive statistics and other statistical measures.
This is a significant advantage because complete-data software has kept closer
pace with the statistical methodological developments than the incomplete-data
software. Third, when a data set is being produced for analysis by the public or
multiple researchers, imputation by the data producer allows the incorporation of
specialized knowledge about the reasons for missing data in the imputation pro-
cedure, including confidential information that cannot be released to the public or
other variables in the imputation process that may not be used in substantive anal-
ysis by a particular researcher. Raghunathan & Siscovick (24) demonstrate that
using an auxiliary variable in the imputation process can improve the efficiency
considerably. Moreover, the nonresponse problem is solved in the same way for
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108 RAGHUNATHAN
all users so that analyses will be consistent across users. The researcher using
the filled-in data can concentrate on addressing substantive questions of interest
and not be distracted by incomplete data. See Reference 31 for a detailed list of
applications of this approach.
Although single imputation, that is, imputing one value for each missing datum,
enjoys the positive attributes just mentioned, analysis of a singly imputed data set
using standard software fails to reflect the uncertainty due to the fact that the
imputed values are plausible replacements for the missing values but are not the
true values themselves. As a result, such analyses of singly imputed data tend to
produce estimated standard errors that are too small, confidence intervals that are
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too narrow, and significance tests with p-values that are too small.
Multiple imputation (29, 30) is a technique that seeks to retain the advantages
of single imputation while also allowing the uncertainty due to imputation to be
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incorporated into the analysis. The idea is to create more than one, say M, plausible
sets of replacements for the missing values, thereby generating M completed data
sets. The variation across the M completed data sets reflects the uncertainty due to
imputation. Typically, M is not larger than five.
The analysis of the M completed data sets resulting from multiple imputation
proceeds as follows:
1. Analyze each completed data set separately using a suitable software package
designed for complete data (for example, SAS, SPSS, or STATA).
2. Extract the point estimate and the estimated standard error from each
analysis.
3. Combine the point estimates and the estimated standard errors to arrive
at a single point estimate, its estimated standard error, and the associated
confidence interval or significance test.
Suppose el is the estimate and sl its standard error, based on the completed data
set l = 1, 2, · · · , M, whereM ≥ 2. The multiply imputed estimate is the average,
1 XM
ē M I = el ,
M l=1
1 XM
ū M = s2 and
M l=1 l
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1 X M
¡ ¢2
bM = el − ē M I
M − 1 l=1
The sampling variance (term inside the square root sign) has two parts: The first
part is the average sampling variance by treating the imputed values as though they
are real. This is called within-imputation component of variance. The second part
is the variability across the imputed values (the between-imputation component
of variance), which is not estimable unless more than one plausible set of values
are used as fill-in. Rubin & Schenker (32) and Rubin (30) derived the sampling
distribution as t-distribution with degrees of freedom, ν = (M − 1)(1 + r M )2 ,
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of values is through draws from the predictive distribution of the missing val-
ues conditional on the observed values. Revisiting the simulation example, one
could generate several plausible values from the predictive distribution based on
a regression model,
x = βo + β1 D + β2 E + β3 D × E + ε,
where β = (βo , β1 , β2 , β3 ) is a vector of regression coefficients, and the residual
ε ∼ N (0, σ 2 ). A simple approach is to estimate the regression coefficients and
the residual variance using subjects with x, D, and E observed. Suppose x̂ is the
predicted value for an individual with missing x. Adding different noise variables
z ∼ N (0, σ̂ 2 ), where σ̂ 2 is the estimate of residual variance, to the predicted value
generates plausible values. This method is reasonable for large sample size but
still is not proper (30) because plausible values are generated without reflecting
uncertainty in the estimates of the regression coefficients and residual variances.
A proper approach reflects uncertainty in every estimate while generating plausi-
ble values. A proper approach for generating the plausible values is the Bayesian
approach where the missing values are drawn from the posterior predictive distri-
bution of the missing observations conditional on the observed data. The approach
is technical and the procedure for the simulation example is described in the ap-
pendix. More formal description of a proper method can be found in References
19, 30, and 34.
The fully Bayesian approach described in the appendix was implemented on
2500 simulated data sets with missing values described earlier. Five imputations
were created for each of 2500 data sets with missing values. Five completed data
sets were analyzed by fitting a logistic regression model to each. The multiple
imputation estimate and its standard error were computed using the formula given
above. Figure 4 gives the histogram of 2500 multiple imputation estimates, which
shows that the sampling distribution is centered on the true value 0.5.
The most straightforward approach for creating multiple imputations is model-
based using a Bayesian formulation. That is, draw values from the posterior
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110 RAGHUNATHAN
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MAXIMUM LIKELIHOOD
In the complete data statistical methodology, maximum likelihood for a given
model is a dominant inferential procedure, for example, the linear, logistic, Poisson,
log-linear, and random effects models. All use likelihood as a basis for constructing
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112 RAGHUNATHAN
inferences. Extending the same notion, one possibility is to base our inferences
on likelihood function constructed from the actual observed data set. To motivate
this approach, consider an example based on a random sample of size n from a
bivariate normal distribution,
µ ¶ ·µ ¶ µ 2 ¶¸
X µX σX σX Y
∼N , .
Y µY σ X Y σY2
Suppose that p subjects provide both X and Y, q subjects provide only X and
not Y, and r subjects provide Y but not X. The objective is to estimate the five
unknown parameters (µ X , µY , σ X2 , σY2 , σ X Y ). Once these estimates are obtained,
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L obs = L p × L q × L r ,
where the first component is the contribution from p subjects who provided both
X and Y. This is a product of bivariate normal density function evaluated at the
observed values for those p subjects, and it involves all five parameters. The second
component is the contribution from q subjects who provided only X. This is a
product of univariate normal density functions involving only (µ X , σ X2 ). Finally, the
third component, based on r subjects who provided only Y, is a product of univariate
normal density functions involving only (µY , σY2 ). The observed data likelihood
is then maximized with respect to (µ X , µY , σ X2 , σY2 , σ X Y ) using some iterative
routines such as Newton-Raphson method or, more popular, the EM algorithm (5).
More generally, suppose that Yi is a complete data vector on subject i = 1, 2,
. . ., n; Yi,obs denotes the observed components and Yi,miss the missing components;
andYi = (Yi,obs , Yi,miss ). Suppose the complete data model is
The justification that this is the correct likelihood to be maximized when data
are MAR is given in Reference 28.
The approximate sampling variances are typically estimated by inverting the
negative second derivative of the logarithm of the observed data likelihood. Though
the estimates based on this approach are perhaps the most efficient and enjoy
all the nice properties accorded to maximum likelihood estimates, implementa-
tion is quite difficult even in the simple logistic regression case considered ear-
lier. Typically special software needs to be developed for a particular problem.
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Analysis of data with some missing values is an important problem, and the stan-
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dard strategy of including only those on whom a particular analysis can be carried
out can lead to biased estimates. Three approaches have been discussed with in-
creasing levels of statistical sophistication. Weighting is the simplest approach;
multiple imputation is at the second level but is still a more general approach. The
maximum likelihood approach is the most difficult, often requiring user-developed
software for implementation. All these approaches are valid under a general class
of mechanisms called MAR, whereas the available-case analysis is generally valid
under MCAR, though there are some exceptions (7, 12). These exceptions are few
and idiosyncratic, and are often difficult to verify in a practical setting. Even if
the data are MCAR, the available-case method is less efficient owing to discard-
ing subjects with partial information. It is not uncommon for substantial numbers
of subjects to be excluded in a regression analysis, even though each subject is
missing only a few variables.
Weighting is a simple device to correct for bias, but it suffers from the same
disadvantages as the available-case method in terms of efficiency. It still discards
partial information from subjects with missing values. Thus, if the bias correction
is the motivating factor, then weighting should be used to compensate for missing
data. Either the adjustment-cell method or the response propensity method can be
used to derive the weights, though the response propensity method relies on the
logistic regression model. A compromise might be to use the response propensities
to form adjustment cells to rely less on the correctness of the response propensity
model specification.
Perhaps the most practical approach is based on multiple imputation. This ap-
proach involves an upfront investment in multiply imputing the missing values in
the database. Once multiply imputed, any complete data software can be used to
repeatedly analyze the completed data sets, extract the point estimates and their
standard errors, and combine them using the formula given in the third section of
this review. The last step can be carried out using a spreadsheet program such as
Excel. There are user-developed routines now available in STATA (3) and IVE-
WARE (23), and in commercial software such as SAS version 8.2 and SOLAS.
Though this method requires additional storage and extra steps of repeated analysis
and combining estimates, in the grand scheme of public health investigations, it is
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114 RAGHUNATHAN
a minor step, especially owing to the availability of software for creating multiple
imputations.
Though we emphasize multiple imputations, it is possible to correct the standard
errors using the single imputation method. For a limited set of variables such as
means and proportions and the correlation coefficients, Rao & Shao (26) and Rao
(25) have proposed the Jackknife method for computing correct standard errors
from singly imputed data sets. Nevertheless, the multiple imputation approach
seems to be the most practical approach in a setting involving a large data set with
multiple researchers using different portions of the same data set, as well as for a
single researcher analyzing a particular data set with missing values, provided an
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for a limited set of models for which the software is available. In fact, the multi-
ple imputation based on Bayesian formulation can be viewed as an approximate
maximum likelihood method. Specifically, suppose that L(θ |Dobs , Dmiss ) is the
likelihood that would have been constructed had there been no missing data. The
observed data likelihood is,
R
L(θ|Dobs ) = L(θ|Dobs , Dmiss ) Pr(Dmiss |Dobs ) d Dmiss .
(l)
In the event that the M imputations, (Dmiss , l = 1, 2, . . . , M), are draws from
the posterior predictive distribution, Pr(Dmiss |Dobs ), the observed data likelihood
can be approximated by the average,
1 X ¡ (l) ¢
L(θ|Dobs ) ≈ L θ |Dobs , Dmiss ,
M l
of the completed-data likelihoods. That is, the multiple imputation analysis that
combines the likelihood-based analysis from each completed data set is approxi-
mately equivalent to the analysis based on the observed data likelihood. This dis-
cussion is another justification for Bayesian imputation or something very close
to it.
Clearly, several possible options exist for a public health researcher to perform
a correct analysis with incomplete data. Both user-driven software and commercial
software are becoming available to implement these methods. Though most meth-
ods rely on a MAR assumption, its lack of applicability is related to the lack of
variables that can be used to predict the missing values. Because the missing data
are inevitable, a prudent step, from the design perspective, is to investigate potential
predictors of variables with missing data and include them in the data-collection
process. Such auxiliary variables can include administrative data, neighborhood-
level observations, and interviewer observations. These additional variables can be
used in the multiple imputation process. It is important that missing data be con-
sidered not solely a data analysis problem, but also a design and analysis problem.
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APPENDIX
data.
1. Draw a chi-square random variable, c, with r-4 of freedom and define,σ∗2 =
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s/c.
2. Draw r independent standard normal deviates and arrange them as a
vector z.
3. Define β∗ = β̂ + σ∗ TR z, where TR is the square root (Cholesky decomposi-
tion) of the matrix (U Rt U R )−1 .
4. Draw n-r independent random normal deviates and arrange them as a
vector v.
5. Define x∗ = U M β∗ + σ∗ v as imputed values.
6. Repeat steps 1–3 independently to generate multiple imputation.
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February 20, 2004 14:36 Annual Reviews AR209-FM
CONTENTS
PERSPECTIVES
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February 24, 2004 20:39 Annual Reviews AR209-FM
viii CONTENTS