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Which Imputation Fits Which Feature Selection Method? A Survey-Based Simulation Study

Tree-based learning methods such as Random Forest and XGBoost are still the gold-standard prediction methods for tabular data. Feature importance measures are usually considered for feature selection as well as to assess the effect of features on the outcome variables in the model. This also applies to survey data, which are frequently encountered in the social sciences and official statistics. These types of datasets often present the challenge of missing values. The typical solution is to impute the missing data before applying the learning method. However, given the large number of possible imputation methods available, the question arises as to which should be chosen to achieve the 'best' reflection of feature importance and feature selection in subsequent analyses. In the present paper, we investigate this question in a survey-based simulation study for eight state-of-the art imputation methods and three learners. The imputation methods comprise listwise deletion, three MICE options, four \texttt{missRanger} options as well as the recently proposed mixGBoost imputation approach. As learners, we consider the two most common tree-based methods, Random Forest and XGBoost, and an interpretable linear model with regularization.

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