Multivariate Fractional Regression Estimation Of Econometric Share Models
AbstractThis paper describes and applies econometric strategies for estimating regression models of economic share data outcomes where the shares may take boundary values (zero and one) with nontrivial probability. The main focus of the paper is on the conditional mean structures of such data. The paper proposes an extension of the fractional regression methodology proposed by Papke and Wooldridge, 1996, 2008, in univariate cross-sectional and panel contexts. The paper discusses the stochastic aspects of share definition and measurement, and summarizes important features of the existing literature on econometric strategies for share model estimation. The paper then goes on to discuss the univariate fractional regression estimation strategies proposed by Papke and Wooldridge and to extend the fractional regression approach to estimation of and inference about regression models describing the multivariate share data. Some issues involving outcome aggregation/disaggregation are considered, as is a full likelihood estimation approach based on Dirichletmultinomial models. The paper demonstrates the workings of these various empirical strategies by estimating models of financial asset portfolio shares using data from the 2001, 2004, and 2007 U.S. Surveys of Consumer Finances
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Bibliographic InfoPaper provided by Geary Institute, University College Dublin in its series Working Papers with number 201133.
Length: 45 pages
Date of creation: 30 Nov 2011
Date of revision:
fractional regression; economic shares; outcome aggregation/disaggregation; Dirichlet-multinomial models;
Other versions of this item:
- John Mullahy, 2010. "Multivariate Fractional Regression Estimation of Econometric Share Models," NBER Working Papers 16354, National Bureau of Economic Research, Inc.
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
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