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

Author

Listed:
  • 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.

Suggested Citation

  • Oberhofer, Harald & Pfaffermayr, Michael, 2011. "Testing the One-Part Fractional Response Model against an Alternative Two-Part Model," Working Papers in Economics 2011-1, University of Salzburg.
    • Handle: RePEc:ris:sbgwpe:2011_001
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    More about this item

    Keywords

    Fractional response models; two-part model; Wald test; P-test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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