Multiple Imputation with High-dimensional Imputation Models

Repository hosting project high-dimensional imputation comparison.

Summary

Including a large number of predictors in the imputation model underlying a Multiple Imputation (MI) procedure is one of the most challenging tasks imputers face. A variety of high-dimensional MI techniques (MI-HD) can facilitate this task, but there has been limited research on their relative performance. In this study, we investigate a wide range of extant MI-HD techniques that can handle a large number of predictors in the imputation model and general missing data patterns.

We assess the relative performance of seven MI-HD methods with a Monte Carlo simulation study and a resampling study based on real survey data. The performance of the methods is defined by the degree to which they facilitate unbiased and confidence-valid estimates of the parameters of complete data analysis models.

We find that using regularized regression to select the predictors used in the MI model and using principal component analysis to reduce the dimensionality of auxiliary data produce the best results.

Contents

This directory contains the following main subfolders:

• checks: contains scripts checking expected behavior of different functions and setups
• code: the main software to run the study
• convergence: contains scripts to perform convergence checks
• crossvalidate: contains scripts to perform cross-validation of the ridge penalty for one of the methods used in the study (bridge)
• data: where the EVS data should be store after cleaning
• input: the folder storing software and other files needed by the study and not available elsewhere
• output: the folder where the results of scripts located in code are stored
• txt: the folder containing the descriptions of the lavaan model used in the project.

How to replicate results

The content of this directory can be used to replicate the results reported in the manuscript: "SMR-21-0138.R1 - High-dimensional imputation for the social sciences: a comparison of state-of-the-art methods"

Running the simulations

We used R for these simulations.

Simulation study (exp1)

1. Installing Dependencies:

   1. Open the script init_general.R and install the packages with the traditional install.packages() function.
   2. Install the package PcAux using devtools::install_github("PcAux")
   3. Install the package blasso by downloading a compatible version of the package from the package author's website. If you are running on windows, you need to install g++ to be able to install this package. You can follow these instructions
   4. Install IVEware by following this guide

2. Running the simulation:

   1. Open the script exp1_init.R and make sure that the parameters and conditions of the simulation study are set to desired values. In particular, pay attention to:
      • parms$IVEloc which needs to be set to the correct path for the operating system you are running (for more info look for ~/srclib here)
   2. Open the script exp1simulationscript_win.R
   3. Make sure the working directory is set to the location of this script (./code/)
   4. Define the number of clusters to be used by specifying the first argument in the function makeCluster()
   5. Run the entire script

Collinearity study (exp1.2)

1. Installing Dependencies: same as above
2. Running the simulation:
   1. Open the script exp1.2_init.R and make sure that the parameters and conditions of the simulation study are set to desired values. In particular, pay attention to:
      • parms$IVEloc which needs to be set to the correct path for the operating system you are running (for more info look for ~/srclib here)
   2. Open the script exp1.2simulationscript_win.R
   3. Make sure the working directory is set to the location of this script (./code/)
   4. Define the number of clusters to be used by specifying the first argument in the function makeCluster()
   5. Run the entire script

EVS resampling study (exp4)

1. Installing Dependencies: same as above
2. Preparing the EVS population data:
   1. Download the EVS 2017 third pre-release https://doi.org/10.4232/1.13511.
   2. Store it in the ./data/ folder inside this project.
   3. Run the script exp4_prepEVS.R to clean the data and prepare it for the analysis.
3. Running the simulation:
   1. Open the script exp4simulationscript_win.R
   2. Make sure the working directory is set to the location of this script (./code/)
   3. Define the number of clusters to be used by specifying the first argument in the function makeCluster()
   4. Run the entire script

Obtaining the plots and tables

The procedure is described for the simulation study "exp1". By using the scripts for "exp1.2" and "exp4", the same procedure can be followed for the collinearity study and the EVS resampling study.

1. Open the script exp1_results.R and make sure you specify the name of the .rds file obtained from the simulation study run. This script will extract the results reported in the study.
2. Open the script exp1_analysis.R and make sure you specify the name of the .rds file obtained from the exp1_results.R run. To obtain all the plots, you can play around with the parameters defining what is plotted by the script. For example, by changing pm_grep <- "0.3" to 0.1 you will be able to produce the plots for the smaller proportion of missing cases.

Keeping track of the results

Because it happens that after getting a review you need to add conditions, repetitions, or tweak other aspects of simulation studies, you need to be able to re-run only certain aspects of the study. This requires being able to stitch together parts of the results. Here, I want to keep track of which filenames are important for the results. Because of the size of these result files, they are not stored in this repository directly. You can contact me if you want to get access to any of them.

Simulation Study

1. exp1_simOut_20201130_1006.rds
   • 1e3 repetitions
   • all the original methods (pre-SMR submission)
2. exp1_simOut_20220201_1749.rds
   • 1e3 repetitions
   • only additional methods MI-qp and MI-am run as a result of the SMR review
3. exp1_simOut_20220201_1749_res.rds
   • outcome of the exp1_results.R script combining (1) and (2)
4. exp1_simOut_20220225_1035.rds
   • 1e3 repetitions
   • re-run of bridge with correct intercept inclusion
5. exp1_cv_bridge_20220224_1042.rds
   • Output for cross-validation of bridge with the correct use of intercept
6. exp1_simOut_20220225_1035_res.rds
   • Output for exp1_results.R script combining (1), (2), and (4)
7. exp1_cv_IVEware_20230324_1326.rds
   • Output for cross-validation of IVEware minR2 using 70 iterations
8. exp1_conv_IVEware_20230327_1143.rds
   • Output for convergence checks for IVEware (above 5 iterations everything seems fine)
   • exp1_cv_IVEware_20230331_1121.rds is a version with 70 iterations and 100 multiple imputed datasets
9. exp1_simOut_20230403_1631.rds
   • Output for IVEware method
10. exp1_simOut_20230403_1631_res.rds
    • Output for exp1_results.R script combining (1), (2), (4), and (9)

Extra Simulation Study on Collinearity

1. exp1_2_convergence_all_meth_20230403_1027.rds
   • Output for convergence checks for all R native methods.
2. exp1_2_cv_IVEware_20230405_1715.rds
   • Output for convergence checks for IVEware data.
3. exp1_2_cv_bridge_20230405_1449.rds
   • Output for cross-validation of ridge parameter for bridge
4. exp1_2_cv_IVEware_20230406_1053.rds
   • Output for cross-validation of minR2 parameter for IVEware
5. exp1_2_simOut_20230408_1748.rds
   • 30 repetitions for all methods (contains MI-QP time estimate!)
6. exp1_2_simOut_20230419_1403.rds
   • 500 for all R-based methods
7. exp1_2_simOut_20230421_1151.rds
   • 500 repetitions for IVEware method (stepFor / MI-SF)
8. exp1_2_simOut_20230424_0945.rds
   • 500 repetitions for MI-QP
9. exp1_2_simOut_20230421_1424.rds
   • Contains results of MI-PCA (using 50% rule) vs MI-AM test on all collinearity conditions.
10. exp1_2_simOut_20230426_0906.rds
    • Contains results of MI-PCA (using Kaiser rule) vs MI-AM test on all collinearity conditions.
11. exp1_2_simOut_main_results.rds
    • Concatenated version of 6, 7, 8, and MI-PCA-k (Kaiser rule) results from 10.

Resampling Study

1. exp4_simOut_20201204_2121.rds
   • first 500 repetitions
2. exp4_simOut_20201207_1134.rds
   • next 500 repetitions
3. exp4_simOut_20220131_1603.rds
   • 1e3 repetitions
   • only additional methods MI-qp and MI-am run as a result of the SMR review
4. exp4_simOut_20220226_0950.rds
   • 1e3 repetitions
   • re-run of bridge with correct intercept inclusion
5. exp4_simOut_20230323_1551.rds
   • 1e3 repetitions
   • run of IVEware with 70 iterations
6. exp4_simOut_20220226_0950_res.rds
   • outcome of the exp4_results.R script combining (1), (2), (3), and (4)
7. exp4_simOut_20230323_1551_res.rds
   • outcome of the exp4_results.R script combining (1), (2), (3), (4), and (5)
8. exp4_cv_bridge_20220223_1646.rds
   • contains the results for cross-validation of bridge with the correct use of intercept
9. exp4_cv_IVEware_20230322_1841.rds
   • contains the results for cross-validation of IVEware minR2 parameter
10. exp4_cv_IVEware_20230328_1544.rds
    • contains convergence checks results for IVEware on EVS data