A Bayesian Hierarchical Model for Categorical Data with Nonignorable Nonresponse

Abstract

Summary . Log‐linear models have been shown to be useful for smoothing contingency tables when categorical outcomes are subject to nonignorable nonresponse. A log‐linear model can be fit to an augmented data table that includes an indicator variable designating whether subjects are respondents or nonrespondents. Maximum likelihood estimates calculated from the augmented data table are known to suffer from instability due to boundary solutions. Park and Brown (1994, Journal of the American Statistical Association 89, 44–52) and Park (1998, Biometrics 54, 1579–1590) developed empirical Bayes models that tend to smooth estimates away from the boundary. In those approaches, estimates for nonrespondents were calculated using an EM algorithm by maximizing a posterior distribution. As an extension of their earlier work, we develop a Bayesian hierarchical model that incorporates a log‐linear model in the prior specification. In addition, due to uncertainty in the variable selection process associated with just one log‐linear model, we simultaneously consider a finite number of models using a stochastic search variable selection (SSVS) procedure due to George and McCulloch (1997, Statistica Sinica 7, 339–373). The integration of the SSVS procedure into a Markov chain Monte Carlo (MCMC) sampler is straightforward, and leads to estimates of cell frequencies for the nonrespondents that are averages resulting from several log‐linear models. The methods are demonstrated with a data example involving serum creatinine levels of patients who survived renal transplants. A simulation study is conducted to investigate properties of the model.