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Testing the One-Part Fractional Response Model against an Alternative Two-Part Model

This note proposes a generalized two-part model for fractional response variables that nests the one-part model proposed by Papke and Wooldridge (1996). Consequently, a Wald test allows to discriminate between these two competing models. A small scale Monte Carlo simulation demonstrates that the proposed Wald test is properly sized and equipped with higher power than an alternative non-nested P-test.
Year of publication:
2011-01-05
Authors: Oberhofer, Harald ; Pfaffermayr, Michael
Institutions: Fachbereich Sozial- und Wirtschaftswissenschaften, Paris-Lodron Universität Salzburg
Subject: Fractional response models | two-part model | Wald test | P-test
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application/pdf
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Type of publication: Book / Working Paper
Notes:
The text is part of a series Working Papers in Economics and Finance Number 2011-1 9 pages
Classification: C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C21 - Cross-Sectional Models; Spatial Models ; C25 - Discrete Regression and Qualitative Choice Models
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Persistent link: https://www.econbiz.de/10008783610
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