Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates
We offer simple quasi-likelihood methods for estimating regression models with a fractional dependent variable and for performing asymptotically valid inference. Compared with log-odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero and one. We also offer some new, simple specification tests by nesting the logit or probit function in a more general functional form. We apply these methods to a data set of employee participation rates in 401(k) pension plans.
|Date of creation:||Nov 1993|
|Publication status:||published as Journal of Applied Econometrics, vol.11, pp. 619-632 (1996)|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
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- Davidson, Russell & MacKinnon, James G., 1984.
"Convenient specification tests for logit and probit models,"
Journal of Econometrics,
Elsevier, vol. 25(3), pages 241-262, July.
- Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
- repec:cup:etheor:v:9:y:1993:i:1:p:94-113 is not listed on IDEAS
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
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- Gurmu, Shiferaw & Trivedi, Pravin K., 1993. "Variable Augmentation Specification Tests in the Exponential Family," Econometric Theory, Cambridge University Press, vol. 9(01), pages 94-113, January.
- Wooldridge, Jeffrey M., 1991. "Specification testing and quasi-maximum- likelihood estimation," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 29-55.
- Jeffrey M. Wooldridge, 1987. "Specification Testing and Quasi-Maximum Likelihood Estimation," Working papers 479, Massachusetts Institute of Technology (MIT), Department of Economics.
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