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

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  • Harald Oberhofer
  • Michael Pfaffermayr

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.

Suggested Citation

  • Harald Oberhofer & Michael Pfaffermayr, "undated". "Fractional Response Models - A Replication Exercise of Papke and Wooldridge (1996)," Working Papers 2009-02, Faculty of Economics and Statistics, Universität Innsbruck.
  • Handle: RePEc:inn:wpaper:2009-02
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    1. Esmeralda A. Ramalho & Joaquim J.S. Ramalho & José M.R. Murteira, 2011. "Alternative Estimating And Testing Empirical Strategies For Fractional Regression Models," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 19-68, February.
    2. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    3. Joaquim J.S. Ramalho & Jacinto Vidigal da Silva, 2009. "A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 621-636.
    4. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
    5. 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.
    6. Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, October.
    7. Winfried Pohlmeier & Volker Ulrich, 1995. "An Econometric Model of the Two-Part Decisionmaking Process in the Demand for Health Care," Journal of Human Resources, University of Wisconsin Press, vol. 30(2), pages 339-361.
    8. 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 619-632, Nov.-Dec..
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    Cited by:

    1. Harald Oberhofer, 2012. "Firm Growth, European Industry Dynamics and Domestic Business Cycles," Scottish Journal of Political Economy, Scottish Economic Society, vol. 59(3), pages 316-337, July.
    2. Harald Oberhofer & Michael Pfaffermayr, 2014. "Two-Part Models for Fractional Responses Defined as Ratios of Integers," Econometrics, MDPI, vol. 2(3), pages 1-22, September.
    3. Inmaculada Martínez-Zarzoso & Florian Johannsen, 2018. "What explains indirect exports of goods and services in Eastern Europe and Central Asia?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(2), pages 283-309, May.
    4. Pradhan, Jaya Prakash & Zohair, Mohammad, 2014. "Subnational Export Performance and Determinants: Evidence from Two Indian States," MPRA Paper 60029, University Library of Munich, Germany.
    5. Ogundari, Kolawole, 2013. "Determinants of food-poverty states and the demand for dietary diversity in Nigeria," 2013 Fourth International Conference, September 22-25, 2013, Hammamet, Tunisia 161302, African Association of Agricultural Economists (AAAE).
    6. Eleonora Di Maria & Roberto Ganau, 2017. "SMEs’ growth in international markets: export intensity, export diversification and distribution strategies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 44(3), pages 345-369, September.
    7. Cullen F. Goenner, 2018. "The market for private student loans: an analysis of credit union exposure, risk, and returns," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1227-1251, May.
    8. Jaya Prakash Pradhan & Mohammad Zohair, 2015. "Subnational Export Performance and Determinants," Review of Market Integration, India Development Foundation, vol. 7(2), pages 133-174, August.
    9. Spyros Arvanitis & Florian Seliger, 2014. "Imitation versus innovation," KOF Working papers 14-367, KOF Swiss Economic Institute, ETH Zurich.
    10. Ogundari, Kolawole, 2014. "The Paradigm of Agricultural Efficiency and its Implication on Food Security in Africa: What Does Meta-analysis Reveal?," World Development, Elsevier, vol. 64(C), pages 690-702.
    11. Iza Lejárraga & Harald Oberhofer, 2015. "Performance of small- and medium-sized enterprises in services trade: evidence from French firms," Small Business Economics, Springer, vol. 45(3), pages 673-702, October.
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    14. Xie, Qunyong, 2017. "Firm age, marketization, and entry mode choices of emerging economy firms: Evidence from listed firms in China," Journal of World Business, Elsevier, vol. 52(3), pages 372-385.

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    More about this item

    Keywords

    Replication Exercise; Fractional Response Models; Two-Part Models; Monte Carlo Simulation.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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