Analysis of Testing‐Based Forward Model Selection

This paper analyzes a procedure called Testing‐Based Forward Model Selection (TBFMS) in linear regression problems. This procedure inductively selects covariates that add predictive power into a working statistical model before estimating a final regression. The criterion for deciding which covariate to include next and when to stop including covariates is derived from a profile of traditional statistical hypothesis tests. This paper proves probabilistic bounds, which depend on the quality of the tests, for prediction error and the number of selected covariates. As an example, the bounds are then specialized to a case with heteroscedastic data, with tests constructed with the help of Huber–Eicker–White standard errors. Under the assumed regularity conditions, these tests lead to estimation convergence rates matching other common high‐dimensional estimators including Lasso.

Multiple imputation by chained equations for systematically and sporadically missing multilevel data

In multilevel settings such as individual participant data meta-analysis, a variable is ‘systematically missing’ if it is wholly missing in some clusters and ‘sporadically missing’ if it is partly missing in some clusters. Previously proposed methods to impute incomplete multilevel data handle either systematically or sporadically missing data, but frequently both patterns are observed. We describe a new multiple imputation by chained equations (MICE) algorithm for multilevel data with arbitrary patterns of systematically and sporadically missing variables. The algorithm is described for multilevel normal data but can easily be extended for other variable types. We first propose two methods for imputing a single incomplete variable: an extension of an existing method and a new two-stage method which conveniently allows for heteroscedastic data. We then discuss the difficulties of imputing missing values in several variables in multilevel data using MICE, and show that even the simplest joint multilevel model implies conditional models which involve cluster means and heteroscedasticity. However, a simulation study finds that the proposed methods can be successfully combined in a multilevel MICE procedure, even when cluster means are not included in the imputation models.