it is not entirely clear, I haven't tested it, and the problem will be hard in an absolute sense for all algorithms, but I suspect that Amelia will be relatively easier to converge, because more of it depends on em and deterministic rather than stochastic convergence, but no better at getting the uncertainty right.
its probably worth a try.
Gary King
-----Original Message-----
From: "Paul von Hippel" <von-hippel.1(a)sociology.osu.edu>
Date: Tuesday, Jun 21, 2005 9:29 pm
Subject: Re: [amelia] collinearity and convergence
Thanks for your comments. It's complicated to explain why, but I actually have an unusual situation where my analysis can make use of the collinear variables. So my question is whether Amelia will handle collinearity
better than competing algorithms. King, Honaker, Joseph, and Scheve claim that Amelia's algorithm has fewer convergence problems than leading
alternatives, and I'm wondering if those advantages hold up when some variables are nearly collinear.
Gary King said:
> I don't know the details of what SAS/MI does, but collinear variables
don't help predict much and will slow down convergence. You might as well
create an index from the collinear variables. Unless you're mainly
interested in the conditional effects of one given the other (in which
case your data won't have much info about it anyway), you won't lose much
in terms of bias, and the algorithm will go faster too.
Gary
> ---
Gary King
David Florence Professor of Government,
Director, Institute for Quantitative Social Science
Harvard University, 34 Kirkland St, Cambridge, MA 02138
http://GKing.Harvard.Edu, King(a)Harvard.Edu
Direct 617-495-2027, Assistant 495-9271, eFax 812-8581
>
On Tue, 21 Jun 2005, Paul von Hippel wrote:
>> I have been using the MI procedure in SAS, which converges slowly if at
> all when the variables are nearly collinear. I am considering trying
> Amelia -- will Amelia have an easier time with collinearity?
>
>
> --
> Paul von Hippel
> Department of Sociology / Initiative in Population Research
> Ohio State University
>
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--
Paul von Hippel
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Ohio State University
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