Toutenburg, Helge; Fieger, A.; Srivastava, V. K.
Weighted Modified First Order Regression Procedures for Estimation in Linear Models with Missing X-Observations.
Sonderforschungsbereich 386, Discussion Paper 127
This paper considers the estimation of coefficients in a linear regression model with missing observations in the independent variables and introduces a modification of the standard first order regression method for imputation of missing values. The modification provides stochastic values for imputation and, as an extension, makes use of the principle of weighted mixed regression. The proposed procedures are compared with two popular procedures-one which utilizes only the complete observations and the other which employs the standard first order regression imputation method for missing values.
A simulation experiment to evaluate the gain in efficiency and to examine interesting issues like the impact of varying degree of multicollinearity in explanatory variables is proceeded. Some work on the case of discrete regressor variables is in progress and will be reported in a future article to follow.