Fractional Response Models - A Replication Exercise of Papke and Wooldridge (1996)
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.
(This abstract was borrowed from another version of this item.)
References listed on IDEAS
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.:
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory,"
Econometric Society, vol. 52(3), pages 681-700, May.
- 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,"
Taylor & Francis Journals, vol. 9(5), pages 621-636.
- Joaquim J.S. Ramalho & Jacinto Vidigal da Silva, 2006. "A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms," Economics Working Papers 9_2006, University of Évora, Department of Economics (Portugal).
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, December.
- 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.
- 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..
- 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.
- 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 509-33, May.
- Harry H. Kelejian & Ingmar R. Prucha, 1995. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," Electronic Working Papers 95-001, University of Maryland, Department of Economics, revised Mar 1997.
- 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, 02.
- Esmeralda A. Ramalho & Joaquim J.S. Ramalho & José M.R. Murteira, 2009. "Alternative estimating and testing empirical strategies for fractional regression models," CEFAGE-UE Working Papers 2009_08, University of Evora, CEFAGE-UE (Portugal).
- 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.
When requesting a correction, please mention this item's handle: RePEc:wyz:journl:id:250. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcin Staniewski)
If references are entirely missing, you can add them using this form.