Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates
AbstractWe develop attractive functional forms and simple quasi-likelihood estimation methods for regression models with a fractional dependent variable. Compared with log-odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero and one. We also offer some new, robust specification tests by nesting the logit or probit function in a more general functional form. We apply these methods to a data set of employee participation rates in 401(k) pension plans. Copyright 1996 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 11 (1996)
Issue (Month): 6 (Nov.-Dec.)
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Leslie E. Papke & Jeffrey M. Wooldridge, 1993. "Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates," NBER Technical Working Papers 0147, National Bureau of Economic Research, Inc.
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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CEPREMAP Working Papers (Couverture Orange)
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- Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
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- Jeffrey M. Wooldridge, 1987.
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- Wooldridge, Jeffrey M., 1991. "Specification testing and quasi-maximum- likelihood estimation," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 29-55.
- Gurmu, Shiferaw & Trivedi, Pravin K., 1993. "Variable Augmentation Specification Tests in the Exponential Family," Econometric Theory, Cambridge University Press, vol. 9(01), pages 94-113, January.
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