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.

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Year of publication:	2011
Authors:	Oberhofer, Harald ; Pfaffermayr, Michael
Publisher:	Salzburg : University of Salzburg, Department of Social Sciences and Economics
Subject:	Fractional response models \| two-part model \| Wald test \| P-test

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Series:	Working Papers in Economics and Finance ; 2011-01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	742414965 [GVK] hdl:10419/71866 [Handle] RePEc:ris:sbgwpe:2011_001 [RePEc]
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C21 - Cross-Sectional Models; Spatial Models ; C25 - Discrete Regression and Qualitative Choice Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010293342