A Model Validation Procedure when Covariate Data are Missing at Random

In the presence of missing covariates, standard model validation procedures may result in misleading conclusions. By building generalized score statistics on augmented inverse probability weighted complete-case estimating equations, we develop a new model validation procedure to assess the adequacy of a prescribed analysis model when covariate data are missing at random. The asymptotic distribution and local alternative efficiency for the test are investigated. Under certain conditions, our approach provides not only valid but also asymptotically optimal results. A simulation study for both linear and logistic regression illustrates the applicability and finite sample performance of the methodology. Our method is also employed to analyse a coronary artery disease diagnostic dataset. Copyright (c) 2010 Board of the Foundation of the Scandinavian Journal of Statistics.