Longitudinal studies are used in psychiatric research to address outcome changes over time within and between individuals. However, because participants may drop out of a study prematurely, ignoring the nature of dropout often leads to biased inference, and in turn, wrongful conclusions. The purpose of the present paper is: (1) to review several dropout processes, corresponding inferential issues and recent methodological advances; (2) to evaluate the impact of assumptions regarding the dropout processes on inference by simulation studies and an illustrative example using psychiatric data; and (3) to provide a general strategy for practitioners to perform analyses of longitudinal data with dropouts, using software available commercially or in the public domain. The statistical methods used in this paper are maximum likelihood, multiple imputation and semi-parametric regression methods for inference, as well as Little's test and index of sensitivity to nonignorability (ISNI) for assessing statistical dropout mechanisms. We show that accounting for the nature of the dropout process influences results and that sensitivity analysis is useful in assessing the robustness of parameter estimates and related uncertainties. We conclude that recording the causes of dropouts should be an integral part of any statistical analysis with longitudinal psychiatric data, and we recommend performing a sensitivity analysis when the exact nature of the dropout process cannot be discerned.