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Fractional Response Models - A Replication Exercise of Papke and Wooldridge (1996)

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Harald Oberhofer ()
Michael Pfaffermayr ()

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Abstract

This paper replicates the estimates of a fractional response model for share data reported in the seminal paper of Leslie E. Papke and Jeffrey M. Wooldridge published in the Journal of Applied Econometrics 11(6), 1996, pp.619-632. We have been able to replicate all reported estimation results concerning the determinants of employee participation rates in 401(k) pension plans using standard routines provided in Stata. As an alternative, we estimate a two-part model that is able to cope with the excessive number of boundary values of one in the data. The estimated marginal effects are similar to that derived in that paper. A small scale Monte Carlo simulation exercise suggests that the RESET tests proposed by Papke and Wooldridge in their robust form are useful for detecting neglected non-linearities in small samples.

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Paper provided by Faculty of Economics and Statistics, University of Innsbruck in its series Working Papers with number 2009-02.

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Related research
Keywords: Replication Exercise; Fractional Response Models; Two-Part Models; Monte Carlo Simulation.;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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  1. Papke, Leslie E. & Wooldridge, Jeffrey M., 2008. "Panel data methods for fractional response variables with an application to test pass rates," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 121-133, July. [Downloadable!] (restricted)
  2. Joaquim J.S. Ramalho & Jacinto Vidigal da Silva, 2006. "A two-part fractional regression model for the capital structure decisions of micro, small, medium and large firms," Economics Working Papers 9_2006, University of Évora, Department of Economics (Portugal). [Downloadable!]
  3. Papke, Leslie E & Wooldridge, Jeffrey M, 1996. "Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-32, Nov.-Dec.. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Harald Oberhofer, 2009. "Firm growth, European industry dynamics and domestic business cycles," Working Papers 2009-18, Faculty of Economics and Statistics, University of Innsbruck. [Downloadable!]
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This page was last updated on 2009-12-14.

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