You are here: HOME >> PEAS >>

P|E|A|S FAQ   | home   | contact us   | index   | links and further resources   |

6. Using imputation for missing values.

> 6.0 Introduction>6.1 Imputation or weighting for missing data?> 6.2 Types of imputation
>6.3 Missing data concepts MCAR, MAR and MNAR > 6.4 Patterns of non-response
>6.5 Complicated patterns > 6.6 Software for imputation> 6.7 Features and problems of some software

uparrowtop

When a survey has missing values it is often practical to fill the gaps with an estimate of what the values could be. The process of filling in the missing values is called IMPUTATION. Once the data has been imputed the analysts can just use it as though there was nothing missing.

Imputation is very heavily used for Census data both in the US and in the UK With census data imputation is used to fill in data from households and people who failed to complete a census form (unit non-responders) as well as for questions people have missed on the form (item non-response). In 2002 the State of Utah filed a lawsuit against the US Census bureau claiming the imputation was against the US constitution (link to details of this). The lawsuit, which was unsuccessful, was motivated by the state’s attempt to be assigned a larger population and hence a bigger share of federal money. The advantage of using imputation for unit non-response is that all the tables for the census or survey add up to the same total. This was a major reason for the use of imputation in the UK 2001 census, known as the One Number Census.

A wee caution warn

Once you have a data set with imputed data, it may be tempting to treat it as though it were real data. For example you might use it to detect individual influential observations, some of which might be imputed values. It should not be thought of as real data, but simply as a convenient way of carrying out statistical analyses that adjust for the biases due to missing observations. Diagnostics and data checking should be carried out on the original data.

uparrowtop

In survey research it is more usual to use weighting rather than imputation for InfoButtonunit non response . Weighting for non-response is covered in section 5 of the theory part of this site. But it can become very complicated, especially if you have a longitudinal survey with several waves. Each cross-section of the survey can be weighted to make it representative of all potential respondents at that time. Alternatively, for a comparison of change over time, the later wave may be reweighted to match the data collected at the first wave. This can get complicated, so an imputation procedure that fills in the missing values for all of the responses is more practical. Imputation also has the advantage of being able to handle InfoButtonitem non response as part of the same procedure.

The imputed data can be made available to secondary analysts and procedures that adjust the InfoButtonstandard errors for the imprecision due to the missing data are available.

There are currently many new developments in methodology for handling missing data. We can only cover the bare essentials here, concentrating on methods that have proved useful and where software to implement them is easily available.

A much more detailed description of methods for missing data (including imputation) is available at the web site developed by James Carpenter and Mike Kenward http://www.lshtm.ac.uk/msu/missingdata which, like this site, is sponsored by the ESRC Research Methods programme. Carpenter and Kenward's site focuses specifically on missing data for multi-level models, but they also cover general background concepts.

In their guidelines for handling missing data (click here to read as pdf file) referring to the choice between weighting and imputation they state that:

"In practice, multiple imputation is currently the only practical, generally applicable, approach (to missing data) for substantial data sets."

Having struggled to make imputation work correctly for exemplar 6 with various packages, I am not sure I would agree 100% with its being 'practical, generally applicable'. Like much applied statistics imputation seems to be as much an art as a science. I hope this site may help others in this art.

Gabrielle Durrant is carrying out a review of imputation methods for the ESRC National Centre for Research Methods. This deals mainly with single imputations, but covers a much wider range of new methods than we illustrate here. She has provided us with a draft of her report.

uparrowtop

There are many different systems of imputation that may often be used in combinations with one another. The categories below give general definitions but some of them can have several different variants.

A) Imputation using outside information

This is only possible when it may be possible to determine exactly what the answer to a question should have been from other sources. For example if a respondent says that they get a certain benefit, but they don’t know how much it is, then the survey firm can look it up and complete the data. This is only possible for a few variables and it can be very expensive in time and resources.

B) Mean imputation

For numerical data the missing values are replaced by the mean of for all responders to that question or that wave of the survey. This will get the correct average value but it is not a good procedure otherwise. It can distort the shape of distributions and the distort relationships between variables. The picture below shows what imputing 70 values out of 500 in a survey of incomes could do to the shape of the distribution. The mean is the same but everything else is wrong.

effect of mean imputation
Figure 6.1 Effect of mean imputation on the shape of a distribution

D) Hot deck imputation

In hot deck imputation the missing values are filled in by selecting the values from other records within the survey data. It gets its name from the way it was originally carried out when survey data was on cards and the cards were sorted in order to find similar records to use for the imputation. The process involves finding other records in the data set that are similar in other parts of their responses to the record with the missing value or values. Often there will be more than one record that could be used for hot deck imputation and the record that could potentially be used for filling a cell are known as donor records. Hot deck imputation often involves taking, not the best match, but a random choice from a series of good matches and replacing the missing value or values with one of the records from the donor set.

Hot deck imputation is very heavily used with census data. It has the advantage that it can be carried out as the data are being collected using everything that is in the data set so far. Hot deck imputation procedures are usually programmed up in a programming language and generally done by a survey firm often around the time the data are being collected. They are very seldom done by secondary analysts and so we will not be showing examples on the PEAS web site. The package Stata includes a sophisticated hot deck procedure written by Mander and Clayton that can be incorporated into an imputation procedure. A set of SAS macros to carry out hot-deck imputation are described in a SAS technical report contributed by staff members from the US Census bureau.

D) Model based imputation

Model based imputation involves fitting a statistical model and replacing the missing value with a value which relates to the value that the statistical model would have predicted. In the simplest case we might have one variable with a missing value which we will call y which is missing for some observations in the data set. We would then use the observations in the data set for which y was measured to develop a regression model to predict y from other variables. These other variables have to be available for the cases with missing values also. We then calculate the predicted value of y for the missing observations.

One method of imputing would simply be to replace the missing data with the predicted values. This has the same disadvantage which we showed for the mean imputation up above. It tends to give values that cluster around the fitted prediction equation. A better procedure is to replace the missing value with a random draw from distribution predicted for y. The procedure we have just described assumes that the regression model is correct and completely accurate. We only have an estimate of the regression model not an exact representation of it. So a further step is to add some additional noise to the imputed value to allow for the fact that the regression model is fitted with error. When this is done and all these sources of variability have been incorporated into the procedure the imputations are said to be "proper imputation" in that they incorporate all the variability that affects the imputed value.

This would be the simplest type of model based imputation, more complicated methods can be used that look not only at one variable at a time but model jointly a whole set of variables. These are discussed in section 6.5 below.

E) Multiple imputation

Once data have been imputed one can simply carry on to analyse the imputed data as if it were the real data. If there is a substantial amount of missing data the results that come from this analysis, although on average they will give good estimates, will be over-optimistic in that they will be assuming that the missing data really were measured by the imputed value. We know this is not the case because if we imputed the same value twice, using methods described under hot deck or model based imputation, we would not always get the same imputed values. In hot deck imputation we would usually get a different choice from potential donor records. In model based imputation we would select a different value from the distribution of the predicted values.

In order to incorporate this variation in the analyses one needs to run the imputation more than once. This is very straightforward, one simply carries out the regression more than once and in the first instance looks to see whether the imputed results are the same for each of the analyses. They will never be exactly the same and, in order to incorporate this variation into our estimates of error there are some relatively straightforward formulae that can be used. To use the formulae you need to express your results in terms of statistics that follow a normal or a t distribution, but this covers a wide range such as means, proportions and all types of regression.. Ideally, InfoButtonproper imputation should be used for each of the InfoButtonmultiple imputations.

It is not usually necessary to carry out the multiple imputation many times, 5 to 10 have been suggested, but we would suggest rather more (e.g. 20 to 50) if good estimates of standard errors are required. The formula for combining imputations works well in practice since it is usually a much smaller source of error than other aspects of a survey. More details on multiple imputation can be found from the relevant part of Carpenter and Kenward's missing data web site

 

P|E|A|S project 2004/200
uparrowtop

6.3 Missing data concepts MCAR, MAR and MNAR

These acronyms are used to describe some import and concepts in missing data analysis that were introduced by Little and Rubin and are discussed in detail in their classic textbook.

  • MCAR is Missing Completely At Random. It means that the probability of an item being missing is unrelated to any measured or unmeasured characteristic for that unit. In survey research this is only likely to apply if data are missing due to some administrative reason, such as omissions at data entry.
  • MAR stands from Missing At Random. It implies that the probability of an item being missing depends only on other items that have been measured for that unit and no additional information as to the probability of being missing would be obtained from the unmeasured values of the missing items. This is the assumption underlying most imputation methods, since they use the observed data to predict what is missing.
  • MNAR stands for Missing Not At Random and it implies that the missing observations would, if measured, have a different distribution from that predicted from what is observed. For example, those refusing to answer income questions might have a different distribution of incomes compared to other people with similar answers to other questions who did answer the income questions. It is not possible to correct data for a MNAR mechanism, except by using outside information. Sensitivity analyses to different degrees of MNAR is another possible approach.

Imputation methods make the assumption of MAR. And specifically, MAR given the information used in the imputation process.

uparrowtop
6.4 Patterns of non-response

Although the basic ideas of imputation are simple, the practicalities are
very complicated. Things are very much easier if the pattern of non-response is nested. By nested we mean that variables can be ordered in such a way that once a case has a missing value on one observation it is then subsequently missing on everything else. This sort of pattern is fairly common when we have a longitudinal study and data are missing simple because people drop out of the study. In most other cases the missing values do not have a nested pattern.

nested and non nested cells

It is very much more straight forward to carry out imputation for a nested pattern of non-response’ In the example above imputation would proceed by first imputing sex from age, then Q1 from age and sex, then Q2 from age, sex and Q1, and Q3 from age, sex, Q1 and Q2. So only a series of four simple imputations are required. For the later regressions, for example when predicting Q1 from age and sex, the imputed values are used in the regression, and one ends up with a complete set of data. In the non-nested case this is considerably more difficult and special procedures are required for analysing the data. Often data are approximately nested and this can be very helpful in running these procedures.

The first stage in any missing data analysis, is to investigate the pattern of non-response to find out which values are missing and in what combinations. This also allows the user to understand the structure of the data and to know which variables have the most missing data.

uparrowtop

6.5 Multiple imputation for complicated missing value patterns

There is no uniform solution on how to handle complicated missing value
patterns, and they all involve making some strong assumptions about the model that has generated the data. But when data are missing on several variables it is important to use some procedure that imputes them all together, rather than one variable at a time. This ensures that the imputed data are related to each other (e.g. have similar correlations) in the same way as those data that are observed. Several approaches have become available for practical use in recent years.

1. Approximating a nested pattern

Some algorithms start by approximating the pattern of non-response to a nested pattern. The procedure starts by predicting the missing values for the variable with the fewest missing values from variables with complete data. Then the complete and imputed are used to predict the missing values for the next variable, and so on until all the missing data are replaced. A problem with this method is that variables that have their data replaced first use reduced models and may have missed some important dependencies.

2. Chained Methods

To overcome this problem the whole cycle of predictions for each variable is repeated using data imputed at the first stage. At each stage variables that were missing are predicted from all of the imputed data from the other variables. The repetitions carry on until the procedure is stable. This process is called multiple imputation with chained equations. A model suitable for each variable is selected. A binary variable is predicted from a logistic regression, a continuous variable from an appropriate regression, and so on. The user must specify the models for each variable.

Once the predicted values are obtained the imputed values are randomly sampled from the predictive distribution for the missing data. This is usually carried out with InfoButtonproper imputations and InfoButtonmultiple imputations> can be obtained. Several research groups have provided resources that implement these methods in different packages and their web sites provide links to helpful examples and explanations.

These methods can have some practical problems. Details are given in the section on software below and the specific features of different implementations are discussed in section 6.7.1. Some statisticians also query them on the theoretical grounds that the joint distribution, implied by the procedure, may not exist.

Various versions of these techniques are available, as detailed in the section on software (Section 6.6 below). Some of these allow the links in the chain to take different types, such as a hot-deck steps. We will use the term 'chained methods' to refer to this general class of methods. that cycle round each variable in turn. Individual links in the chain are most commonly regression prediction, but other methods such as mean imputation or hot deck steps could also form links.

3. Methods based on joint distributions

Another method that is used is to model the data as a sample from a joint distribution. The most common choice is a multivariate normal distribution. The theory behind this is described in Jo Schafer's excellent monograph on missing data. It might seem surprising that something like a 1/0 variable could be approximated by a normal variable but practical experience suggests that this procedure works reasonably well in many cases. In this case the imputed values need to be forced to 1/0 values, either during or after the imputations, using some rule, such as the value closest to the imputed value.

The first step in these procedures is to estimate the parameters of the multivariate normal distribution, making use of all the available data including those partially observed. An iterative method known as the EM algorithm is used for this. This gives expected mean values for the missing data. . The next step samples from the predictive distribution of the missing data and incorporates uncertainty in the fitted values, making this a InfoButtonproper imputation. Finally several InfoButtonmultiple imputations are generated. . The support pages of the SAS web site provide a useful overview of this method and basic references.

Schafer has also developed theory and models for binary and general categorical data (CAT) and for combinations of binary and normal data as well as longitudinal or panel data (PAN). Some software is available and details are given in Schafer's textbook. But these have not been much taken up by statistical practitioners. This may be due to their computational demands for any but the smallest models and other practical problems with implementing them.

P|E|A|S project 2004/2005/2006
uparrowtop
6.6 Software for imputation

6.6.1 Imputation methods
Simple imputation methods (one variable at a time) can readily be programmed using commands such as regression analyses in standard packages. InfoButtonMultiple imputation procedures suitable for complex surveys, discussed in section 6.6 , are more challenging. These are most commonly available as part of contributed packages or add-ons.

|6.6.2 Post imputation procedures

After a multiple imputation procedure has been carried out the user has a new data file or files that give several copies of the complete data. Often this will be a file in which the imputed data sets are stacked one above the other, indexed by the number of the imputation. Post-imputation procedures involve analysing each of the imputed data sets separately and averaging the results. The differences between results obtained on the different data sets can be used to adjust the InfoButtonstandard errors from statistical procedures. This process has been automated in some packages, so that one command will produce the averaged analyses and the results with adjusted standard errors.

This process works well for procedures such as regression analyses. For simple exploratory analyses it may be sufficient to work with a single data set, unless there is a substantial proportion of missing data for one or more of the variables being analysed. One way to check this is to run the exploratory procedures on different imputations to get an informal estimate of the variation between the imputations.

|6.6.3 What different packages can do

Table 6.1 summarises some of the procedures available for handling missing data in the packages featured on this site.

 
SAS
SPSS
Stata
R
missing value patterns MI MVA

nmissing (dm67) mvmissing(dm91)

md.pattern(mice) prelim.norm(norm)
repeated measures analysis MIXED not GLM (*)   ? pan
single imputation   MVA impute
uvis(ice)

em.norm
da.norm

multiple imputation

MI
IMPUTE (IVEWARE)

MVA with EM algorithm ice (ice)

norm (norm)
mice (mice)

post-imputation MIANALYZE  

micombine (r-buddy.gif" alt='warn')
mifit and others (st0042)

glm.mids,pool(mice)
mi.inference(norm)

(* PROC GLM in SAS does listwise deletion and so does not allow for missing values. This is also true of SPSS repeated measures analyses)

Items in (brackets) indicate that the item is a set of contributed procedures. In particular the following research groups have provided routines and their web sites are helpful.

  • IVEWARE software for SAS developed by a group at the University of Michigan.This is a set of SAS macros runs a chained equation analysis in SAS. It can also be run as a stand-alone package.
  • The MICE library of functions for Splus/R has been written by a group at the University of Leiden to implement chained methods.
  • Chained equations have been implemented in Stata by Patrick r-buddy.gif" alt='warn' of the MRC Clinical Trials Unit in London. The original procedure was called mvis and is described in the Stata journal (Royston, P. 2004. Multiple imputation of missing values. Stata Journal 4: 227-241.). A more recent version called ice is now available ( Royston, P. (2005), Multiple imputation of missing values: update, Stata Journal 5, 188-201). Both can be dowloaded from the Stata journal by searching net resources for mvis and for ice respectively.
  • Methods based on the multivariate normal distribution have been developed by Jo Schafer of Penn State University using his program NORM can be run as a stand alone resource and is implemented in SAS and in R/Splus. There appear to be problems with the current implementation in R that are being taken up with the authors.

The SPSS Missing Value Analysis (MVA) software has been criticised in an article in the American Statistician von Hippel P, Volume 58(2),160-164. The MVA procedure provides two options. The first is a regression method that uses only the observed data in the imputations and the second is based on the normal distribution and resembles the first step of the NORM package. Neither are proper imputations.

Other specialised software for imputation, such as SOLAS, has to be purchased separately and are not featured on the PEAS site. SOLAS links to SPSS and implements various methods, including imputation using a nested procedure. The SOLAS web site has useful advice on imputation practicalities, and it has now been extended to cover multiple imputation procedures.

The programs MLWin and BUGS can be used for imputation. Carpenter and Kenward's missing data site has details.

Despite having been written a few year's ago, an article by Horton and Lipsitz (Multiple imputation in practice: comparison of software packages for regression models with missing variables. The American Statistician 2001;55(3):244-254.) that can be accessed on the web, has lots of useful practical advice on imputation software.

|6.6.4 Practical issues with real data

The programs that implement these methods are fairly new and several of them are still under development. They have all been written in response to user needs and have many helpful practical features. In the next section we will mention some of the good features that exist in some implementations, and also some caveats.

Things can easily go seriously wrong and you should always check that the data are reasonable. Unbounded imputation from a normal distribution can sometimes give extremely high values that affect the mean. A minimum is to look at some histograms of the observed and imputed values.

Details that ensure that the imputed values make sense need to be considered when an imputation scheme is designed. For example, if one imputes missing values for the two questions "do you smoke cigarettes?" and "how many cigarettes do you smoke?" we need to be careful that numbers of cigarettes are not imputed for non-smokers.

Imputed values also need to be plausible. If a variable for number of visits to the doctor is being imputed it needs to have integer values. A predicted value may also sometimes be outside the range of reasonable values. Various methods, such as rounding after the imputations and setting limits can be used to overcome these difficulties. This process has been criticised as introducing biases, and it has ben suggested that the unrounded data should be retained to avoid this. For practical survey work it is difficult to envisage not doing something to fix the data.

A general approach, sometimes called 'predictive matching', matches the predictive value to the prediction for an observed case and uses the true value of the case for prediction.. This might appear to solve a lot of problems at once, but it is not well understood and recent work suggests that it may sometimes do some very odd things.. We would not advise its use.

Note that there are currently problems with both MICEMultiple Imputation with Chained  from the difference between imputations and NORMacronym for imputation with a Nornal distribution as described by Schafer for R. We will update the site when these are resolved.

Also a new version of mice (renamed ice) is soon to be available for Stata.

P|E|A|S project 2004/2005/2006

uparrowtop

6.7awardFeatures and warn problems of software for multiple imputation

6.7.1 awardChecking convergence

Most InfoButtonmultiple imputation procedures involve iterative schemes either to get the parameters or to cycle round the variables. Some programs provide software to check this. The R implementation of chained equations does this as does the SAS implementation of NORM (PROC MI). This illustration is from R and shows a well converged iterative scheme. If these plots have the iterations separated, or have obvious trends then something is wrong or perhaps the iterations need to be run for longer.

convergence plot

6.7.2award Getting good starting values

Chained equation procedures will converge better if they have good starting values. Some programs fill in the missing values at random (R MICE and Stata's old versions). The IVEWARE procedures in SAS and the new Stata version uses a sequence of regression models built up from an approximation to a nested pattern. This is important when there are some strong relationships between variables in a data set that might otherwise take a long time to come right.

6.7.2warn Computing times, failures and resource problems

The R version of InfoButtonNORM is currently not functioning properly on large data sets (July 05). The current R implantation (2.01) does not have the MICE package as an option and contact with the authors suggest a problem with resources to support it (July 05). Further information about solutions to these problems will be added when they are resolved.

All of the imputation are computer intensive and some of the models fitted here took hours to run.

Fitting or computing problems can invalidate imputation results. This happened in one way or another with each of the packages. The programs will often warn and/or stop with an error when things are going wrong. The Stata chained equation package (mvis, now ice) trapped awardalmost all errors. But, in other cases, the imputed data may be generated but, on inspection, are clearly inadequate. Examples include

  • very large, near infinite values for some continuous variables
  • categorical variables where all of the missing data goes into one category
  • imputations where the imputed value of some observations is the same for every imputation
  • too many missing values for the available data and the model being fitted

It is hard to give precise rules for when this might happen, but several things seem to make it more likely

  • having a lot of categorical variables with many categories so that the cells formed by them are sparse
  • having some very strongly associated variables
  • fitting very large and/or complicated models, although this is often recommended by imputation experts

We strongly recommend that you spend time checking for this kind of error whenever you carry out an imputation procedure. Just eyeballing the raw data and doing simple tables is as good as any fancy methods.

6.7.3 warn Problems with predictive matching and setting limits

The SAS and Stata implementations of offer the option of predictive matching, as described in Rubin's textbook (see list of texts). Experimenting with this option has revealed problems with the method. Communication with the author of the Stata code (Patrick Royston) revealed that he had problems with it too and the revised version of his Stata routine (ice) does not set it as a default method. We suggest that you take care when using this method and pay special attention to diagnostics and to checking convergence.

The SAS PROC MI allows the option of rounding data during the imputation process when this is a feature of the data. This sounds like a good idea. But when we tried it on exemplar 6 we found it introduced a bias when used with binary data, compared to a logistic model. We suggest that it would be better to impose the restrictions after the data are imputed.

6.7.4award Selection of models and options for MICE methods

All of the chained equation methods allow continuous and categorical variables to be modelled. In addition, IVEWARE allows count data to be modelled as a Poisson variable and a mixed variable type with a proportion of zero values. The Stata implementation of chained equations (mvis/ice) allows ordered logistic regression, which is useful for many survey questions. The packages all allow individual selection of models for each variable, though this would be tiresome for a big survey.

Other features can also be very helpful. IVEWARE has several of these It allows bounds to be set within the imputation steps, and these bounds can be functions of other variables. It also allows a stepwise procedure that will select a subset of the variables automatically, which can speed convergence time. Interactions can be included in the fitted model.

The new version of chained equations (ice) for Stata incorporates several useful new features. Its new features allow fuller model specification with individual prediction equations. It also allows interactions to be fitted and dummy variables to be generated from factors to use in other equations.

6.7.5warn Inconvenience of post imputation procedures

Post-imputation procedures often need to be run in two stages and the results don't have a very user-friendly layout. The exception is micombine in Stata which is easy to use and produces nice output. The SAS PROC MIANALYZE procedure is awkward to use, but once it has worked its output is very helpful and can be used to guide how many imputations should be run in future.

P|E|A|S project 2004/2005/2006