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Multivariate Fractional Regression Estimation Of Econometric Share Models

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  • John Mullahy

    (Dept. of Population Health Science, University of Wisconsin-Madison)

Abstract

This 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

Suggested Citation

  • John Mullahy, 2011. "Multivariate Fractional Regression Estimation Of Econometric Share Models," Working Papers 201133, Geary Institute, University College Dublin.
  • Handle: RePEc:ucd:wpaper:201133
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    References listed on IDEAS

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    2. Silva, Vânia G. & Ramalho, Esmeralda A. & Vieira, Carlos R., 2016. "The impact of SEPA in credit transfer payments: Evidence from the euro area," Research in International Business and Finance, Elsevier, vol. 38(C), pages 404-416.
    3. Alan C. Monheit & Irina Grafova & Rizie Kumar, 2014. "How Does Family Health Care Use Respond to Economic Shocks? Realized and Anticipated Effects," NBER Working Papers 20348, National Bureau of Economic Research, Inc.
    4. Harald Oberhofer & Michael Pfaffermayr, 2014. "Two-Part Models for Fractional Responses Defined as Ratios of Integers," Econometrics, MDPI, Open Access Journal, vol. 2(3), pages 1-22, September.
    5. Becker, Gideon, 2014. "The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity," University of Tuebingen Working Papers in Economics and Finance 74, University of Tuebingen, Faculty of Economics and Social Sciences.
    6. Cho, Sung Ju & McCarl, Bruce A. & Wu, Ximing, 2014. "Climate Change Adaptation and Shifts in Land Use for Major Crops in the U.S," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170015, Agricultural and Applied Economics Association.
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    8. Jianhong Mu & Bruce McCarl & Anne Wein, 2013. "Adaptation to climate change: changes in farmland use and stocking rate in the U.S," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 18(6), pages 713-730, August.
    9. Spitzer, Sonja & Hammer, Bernhard, 2016. "The Division of Labour Within Households: Fractional Logit Estimates based on the Austrian Time Use Survey," MPRA Paper 81791, University Library of Munich, Germany.
    10. Flores, Gabriela & Ingenhaag, Michael & Maurer, Jürgen, 2015. "An anatomy of old-age disability: Time use, affect and experienced utility," Journal of Health Economics, Elsevier, vol. 44(C), pages 150-160.
    11. Girma, Hiywot Menker & Hassan, Rashid M., 2014. "Drivers of land-use change in the Southern Nations, Nationalities and People’s Region of Ethiopia," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 9(2), April.
    12. Wang, Zhu & Wolman, Alexander L., 2016. "Payment choice and currency use: Insights from two billion retail transactions," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 94-115.

    More about this item

    Keywords

    fractional regression; economic shares; outcome aggregation/disaggregation; Dirichlet-multinomial models;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

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