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

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Author Info

  • Oberhofer, Harald

    ()
    (University of Salzburg)

  • Pfaffermayr, Michael

    ()
    (Department of Economics and Statistics, University of Innsbruck)

Abstract

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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Bibliographic Info

Paper provided by University of Salzburg in its series Working Papers in Economics and Finance with number 2011-1.

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Length: 9 pages
Date of creation: 05 Jan 2011
Date of revision:
Handle: RePEc:ris:sbgwpe:2011_001

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Keywords: Fractional response models; two-part model; Wald test; P-test;

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