hmi: Hierarchical Multiple Imputation

Documented in imp_roundedcont

#' The function to impute rounded continuous variables
#'
#' For example the income in surveys is often reported rounded by the respondents.
#' See Drechsler, Kiesl and Speidel (2015) for more details.
#' @param y_imp_multi A Vector with the variable to impute.
#' @param X_imp_multi A data.frame with the fixed effects variables.
#' @param intercept_varname A character denoting the name of the intercept variable.
#' @param M An integer defining the number of imputations that should be made.
#' @references Joerg Drechsler, Hans Kiesl, Matthias Speidel (2015):
#' "MI Double Feature: Multiple Imputation to Address Nonresponse and Rounding Errors in Income Questions".
#' Austrian Journal of Statistics Vol. 44, No. 2, http://dx.doi.org/10.17713/ajs.v44i2.77
#' @return A n x M matrix. Each column is one of M imputed y-variables.
imp_roundedcont <- function(y_imp_multi, X_imp_multi,
                                  intercept_varname = NULL, M){

  ####################################################################
  # BEGIN get starting imputation values by maximizing the likelihood#

  missind <- is.na(y_imp_multi)


  types <- array(dim = ncol(X_imp_multi))
  for(j in 1:length(types)) types[j] <- get_type(X_imp_multi[, j])
  need_stand <- types == "cont"
  categorical <- types == "categorical"

  #remove categories with more than 10 observations as the model in the current form
  #will cause later numerical probles
  too_many_levels <- colnames(X_imp_multi[, categorical, drop = FALSE])[
    apply(X_imp_multi[, categorical, drop = FALSE], 2, function(x) nlevels(factor(x))) > 10]

  X_imp_multi <- X_imp_multi[, !names(X_imp_multi) %in% too_many_levels, drop = FALSE]

  X_imp_multi_stand <- X_imp_multi
  X_imp_multi_stand[, need_stand] <- scale(X_imp_multi[, need_stand])

  blob <- sample_imp(y_imp_multi)

  tmp_1 <- data.frame(y = blob)

  lmstart <- stats::lm(blob ~ 0 + . , data = X_imp_multi_stand)
  X_model_matrix_1 <- stats::model.matrix(lmstart)
  xnames_1 <- paste("X", 1:ncol(X_model_matrix_1), sep = "")
  tmp_1[, xnames_1] <- X_model_matrix_1


  fixformula_1 <- stats::formula(paste("y ~ 0 +", paste(xnames_1, collapse = "+"), sep = ""))


  reg_1 <- stats::lm(fixformula_1, data = tmp_1)

  # remove variables with an NA coefficient

  tmp_2 <- data.frame(y = blob)

  xnames_2 <- xnames_1[!is.na(stats::coefficients(reg_1))]
  tmp_2[, xnames_2] <- X_model_matrix_1[, !is.na(stats::coefficients(reg_1)), drop = FALSE]

  fixformula_2 <- stats::formula(paste("y ~ 0 +", paste(xnames_2, collapse = "+"), sep = ""))
  reg_2 <- stats::lm(fixformula_2, data = tmp_2)
  X_model_matrix_2 <- stats::model.matrix(reg_2)

  max.se <- abs(stats::coef(reg_2) * 3)
  coef.std <- sqrt(diag(stats::vcov(reg_2)))


  includes_unimportants <- any(coef.std > max.se)
  counter <- 0
  while(includes_unimportants & counter <= ncol(X_model_matrix_2)){
    counter <- counter + 1

    X_model_matrix_2 <- as.data.frame(X_model_matrix_2[, coef.std <= max.se, drop = FALSE])
    lm_less_variables <- stats::lm(blob ~ 0 + . , data = X_model_matrix_2)
    #remove regression parameters which have a very high standard error
    max.se <- abs(stats::coef(lm_less_variables) * 3)
    coef.std <- sqrt(diag(stats::vcov(lm_less_variables)))

    includes_unimportants <- any(coef.std > max.se)
  }

  MM_1 <- as.data.frame(X_model_matrix_2)



  inc <- y_imp_multi
  n <- length(y_imp_multi)
  mean.inc <- mean(inc, na.rm = TRUE)
  sd.inc <- stats::sd(inc, na.rm = TRUE)
  inc.std <- (inc - mean.inc)/sd.inc

  log.inc <- log(inc)
  mean.log.inc <- mean(log.inc, na.rm = TRUE)
  sd.log.inc <- stats::sd(log.inc, na.rm = TRUE)
  log.inc.std <- (log.inc - mean.log.inc)/sd.log.inc

  log.inc.std.tmp <- sample_imp(log.inc.std)

  # --preparing the ml estimation
  # -define rounding intervals

  round_base <- c(1, 5, 10, 50, 100, 500, 1000)
  intervals <- round_base/2

  #check if which observation are rounded
  #Calculate the rounding degree only for those with not an missing value in inc

  p1 <- y_imp_multi %% 5    ==  0  # divisable by 5
  p1[is.na(p1)] <- FALSE

  p2 <- y_imp_multi %% 10   ==  0  # divisable by 10
  p2[is.na(p2)] <- FALSE

  p3 <- y_imp_multi %% 50   ==  0  # etc
  p3[is.na(p3)] <- FALSE

  p4 <- y_imp_multi %% 100  ==  0  #
  p4[is.na(p4)] <- FALSE

  p5 <- y_imp_multi %% 500  ==  0  #
  p5[is.na(p5)] <- FALSE

  p6 <- y_imp_multi %% 1000 ==  0  #
  p6[is.na(p6)] <- FALSE

  p <- factor(p1 + p2 + p3 + p4 + p5 + p6, levels = c("0", "1", "2", "3", "4", "5", "6"), ordered = TRUE)
   ###indicator which variables need to be imputed #MS: because they are rounded (and not because they are missing)
  rounded <- p != 0


  #####maximum likelihood estimation using starting values
  ####estimation of the parameters

  # estimation of the starting values for eta and the thresholds on the x-axis:
  # ordered probit maximum possible rounding on the rounded in income data


  tryCatch(
    {

      probitstart <- MASS::polr(p[!missind] ~ inc.std[!missind],
                                contrasts = NULL, Hess = TRUE, model = TRUE,
                                method = "probit")

    },
    error=function(cond) {
      message("We assume that perfect separation occured in your rounded continuous variable,
              because of too few observations.
              Consider specifying the variable to be continuous via list_of_types (see ?hmi).")
      message("Here's the original error message:")
      message(cond)

      return(NULL)
    },
    warning=function(cond) {
      message("We assume that perfect separation occured in your rounded continuous variable,
              because of too few observations.
              Consider specifying the variable to be continuous via list_of_types (see ?hmi).")
      message("Here's the original warning message:")
      message(cond)

      return(NULL)
    },
    finally={

    }
  )

  gammastart <- as.vector(probitstart$coefficients) # the fix effect(s)
  kstart <- as.vector(probitstart$zeta) # the tresholds (in the summary labeled "Intercepts")
  #explaining the tresholds:
  #0 (rounding degree 1), 0|1 (reounding degree 5),  1|2 (10),  2|3 (50),  3|4 (100),   4|5 (500),   5|6 (1000)


  blob <- sample_imp(log.inc.std)
  lmstart2 <- stats::lm(blob ~ 0 + ., data = MM_1)
  betastart2 <- as.vector(lmstart2$coef)
  sigmastart2 <- summary(lmstart2)$sigma


  #####maximum likelihood estimation using the starting values

  function_generator <- function(para, X, y_in_negloglik, my_p, mean.log.inc, sd.log.inc){
    ret <- function(para){
      ret_tmp <- negloglik2(para = para, X = X, y_in_negloglik = y_in_negloglik, my_p = my_p,
                              mean.log.inc = mean.log.inc, sd.log.inc = sd.log.inc)
      return(ret_tmp)
    }
    return(ret)
  }


  starting_values <- c(kstart, betastart2, gammastart, sigmastart2)

  ###exclude obs below (above) the 0.5% (99.5%) income quantile before maximizing
  ###the likelihood. Reason: Some extrem outliers cause problems during the
  ###maximization

  quants <- stats::quantile(y_imp_multi, c(0.005, 0.995), na.rm = TRUE)

  # in X and y_in_negloglik only those observations that are no outliers shall be included.
  # Observations with a missing Y are to be included as well even if they could be an outlier.
  # Therefore w
  keep <- (y_imp_multi >= quants[1] & y_imp_multi <= quants[2]) | is.na(y_imp_multi)

  negloglik2_generated <- function_generator(para = starting_values,
                                             X = MM_1[keep, , drop = FALSE],
                                             y_in_negloglik = y_imp_multi[keep],
                                             my_p = as.numeric(as.character(p[keep])),
                                             mean.log.inc = mean.log.inc,
                                             sd.log.inc = sd.log.inc)

  m2 <- stats::optim(par = starting_values, negloglik2_generated, method = "BFGS",
              control = list(maxit = 10000), hessian = TRUE)


  par_ml2 <- m2$par
  hess <- m2$hessian

  # link about nearest covariance matrix:
  # http://quant.stackexchange.com/questions/2074/what-is-the-best-way-to-fix-a-covariance-matrix-that-is-not-positive-semi-defi
  # nearPD(hess)$mat
  # isSymmetric(Sigma_ml2)

  Sigma_ml2 <- diag(diag(solve(Matrix::nearPD(hess)$mat)))

  ###set starting values equal to the observed income
  ###rounded income will be replaced by imputations later
	inc.imp <- inc
	inc.std.imp <- inc.std
 	log.inc.std.imp <- log.inc.std

 	y_imp <- array(NA, dim = c(n, M))

 	for(j in 1:M){
 	  ####draw new parameters (because it is a Bayesian imputation)
    check <- TRUE
    #  counter <- 0
    while(check){
      pars <- mvtnorm::rmvnorm(1, mean = par_ml2, sigma = Sigma_ml2)
      #first eq on page 63 in Drechsler, Kiesl, Speidel (2015)
      #Can we work with a diagonal matrix as well, or is this too far from the posterior?

      ####test if drawn parameters for the thresholds are in increasing order
      ####and if the standard deviation of the residuals is<0
      ####if yes, draw again
      # pars takes the starting values c(kstart, betastart2, gammastart, sigmastart2)
      test <- c(pars[2:6] - pars[1:5], pars[length(pars)])

      check <- any(test < 0)
    }


    beta_hat <- as.matrix(pars[7:(length(pars) - 2)], ncol = 1)
    gamma1_hat <- pars[length(pars) - 1]
    sigma_hat <- pars[length(pars)]
    mu_g <- gamma1_hat * as.matrix(MM_1) %*% beta_hat
    mu_y <- as.matrix(MM_1) %*% beta_hat
    mymean <- cbind(mu_g, mu_y)

    #The covariance matrix from equation (3)
    Sigma <- matrix(c(1 + gamma1_hat^2 * sigma_hat^2,
                      gamma1_hat * sigma_hat^2, gamma1_hat * sigma_hat^2,
                      sigma_hat^2), nrow = 2)

    ###################################################################################
    # BEGIN IMPUTATION ONLY FOR THOSE OBSERVATION WITH NO INCOME INFORMATION AT ALL#
    #HERE NO UNROUNDING OR IMPUTING INTERVALL-DATA TAKES PLACE#####################

    mytry <- stats::rnorm(n = sum(missind),
                   mean = as.matrix(MM_1[missind, , drop = FALSE]) %*% beta_hat, sd = sigma_hat)

    # proposed values for imputation
    imp_temp <- exp(mytry * sd.log.inc + mean.log.inc)


    inc.imp[missind] <- imp_temp


    ##############################
    # BEGIN UNROUNDING-IMPUTATION#
    ###define bounds for the rounding basis
    bounds_hat <- c(-Inf, pars[1:6], Inf)
    ###define interval bounds for maximum possible rounding intervals
    # Needed in the following imputation loop
    # but only for those observations who answered this question
    # I cannot write 'log.inc - log(intervalls)' etc. because we calculate log(inv - intervals)

    y_lower <- (log(y_imp_multi - intervals[as.numeric(as.character(p)) + 1]) -
                  mean.log.inc)/sd.log.inc

    y_upper <- (log(y_imp_multi + intervals[as.numeric(as.character(p)) + 1]) -
                  mean.log.inc)/sd.log.inc

    g_lower <- bounds_hat[as.numeric(as.character(p)) + 1]
    g_upper <- bounds_hat[as.numeric(as.character(p)) + 2]


    ###loop over all observations that need to be unrounded
    for (i in which(rounded)){

      test <- TRUE
      while(test){

        ###draw from truncated multivariate normal
        ###drawn y must be between y_lower and y_upper
        ###drawn g must be smaller than g_upper (g > g_upper is not consistent with
        ###rounding observed in the data)
        mytry <- tmvtnorm::rtmvnorm(1,
                          mean = mymean[i, ],
                          sigma = Sigma,
                          lower = c(-Inf, y_lower[i]),
                          upper = c(g_upper[i], y_upper[i]),
                          algorithm = "gibbs", burn.in.samples = 1000)

        ###draws with rejection sampling. If intervall restrictions are not fulfilled after 1 mio
        ###draws, NA is given back. In this case, the rounded data will stay unmodified
        if(is.na(mytry[1])){
          print(paste("corrected imputation not possible for record:", i))
          print(paste("observed income for that record:", y_imp_multi[i]))
          ##generate a rounding indicater that is always consistent with the observed data
          g_temp <- bounds_hat[2] - 1

          mytry <- c(g_temp, log.inc.std.imp[i])
        }
        ####get imputed rounding indicator
        round_int <- sum(mytry[1] > bounds_hat)

        ###get imputed income on original scale
        imp_temp <- exp(mytry[2] * sd.log.inc + mean.log.inc)

        ###test if imputed income after rounding is equal to observed rounded income given the
        ###imputed rounding indicator. Is the imputation plausible given the observed data?
        ###if not(test=TRUE), draw again
               test <- round(imp_temp/round_base[round_int]) * round_base[round_int] !=
          y_imp_multi[i]
      }

      inc.imp[i] <- imp_temp
    }
    y_imp[, j] <- inc.imp
  }

  return(y_imp)
}