Abstract
Important empirical information on household behavior and finances is obtained from surveys, and these data are used heavily by researchers, central banks, and for policy consulting. However, various interdependent factors that can be controlled only to a limited extent lead to unit and item nonresponse, and missing data on certain items is a frequent source of difficulties in statistical practice. More than ever, it is important to explore techniques for the imputation of large survey data. This paper presents the theoretical underpinnings of a Markov chain Monte Carlo multiple imputation procedure and outlines important technical aspects of the application of MCMC-type algorithms to large socio-economic data sets. In an illustrative application it is found that MCMC algorithms have good convergence properties even on large data sets with complex patterns of missingness, and that the use of a rich set of covariates in the imputation models has a substantial effect on the distributions of key financial variables.
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Schunk, D. A Markov chain Monte Carlo algorithm for multiple imputation in large surveys. AStA 92, 101–114 (2008). https://doi.org/10.1007/s10182-008-0053-6
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DOI: https://doi.org/10.1007/s10182-008-0053-6