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A mixed approach and a distribution‐free multiple imputation technique for the estimation of a multivariate probit model with missing values
Author(s) -
Spiess Martin,
Keller Ferdinand
Publication year - 1999
Publication title -
british journal of mathematical and statistical psychology
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.157
H-Index - 51
eISSN - 2044-8317
pISSN - 0007-1102
DOI - 10.1348/000711099158928
Subject(s) - mathematics , statistics , estimator , multivariate probit model , multivariate statistics , categorical variable , missing data , generalized estimating equation , multivariate normal distribution , probit model , imputation (statistics) , econometrics , bivariate analysis
In the present paper a mixed generalized estimating/pseudo‐score equations (GEPSE) approach together with a distribution‐free multiple imputation technique is proposed for the estimation of regression and correlation structure parameters of multivariate probit models with missing values for an ordered categorical timeinvariant variable. Furthermore, a generalization of the squared trace correlation (R2T) for multivariate probit models, denoted by pseudo‐R2T, is proposed. A simulation study was conducted, simulating a probit model with an equicorrelation structure in the errors of an underlying regression model and using two different missing mechanisms. For a low ‘true’ correlation the difference between the GEPSE, a generalized estimating equations (GEE) and a maximum likelihood (ML) estimator were negligible. For a high ‘true’ correlation the GEPSE estimator turned out to be more efficient than the GEE and very efficient relative to the ML estimator. Furthermore, the pseudo‐R2T was close to R2T of the underlying linear model. The mixed approach is illustrated using a psychiatric data set of depressive in‐patients. The results of this analysis suggest that the depression score at discharge from a psychiatric hospital and the occurrence of stressful life events seem to increase the probability of having an episode of major depression within a one‐year interval after discharge. Furthermore, the correlation structure points to short‐time effects on having or not having a depressive episode, not accounted for in the systematic part of the regression model.