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

Harald Oberhofer and Michael Pfaffermayr

No 2011-1, Working Papers in Economics from University of Salzburg

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.

Keywords: Fractional response models; two-part model; Wald test; P-test (search for similar items in EconPapers)
JEL-codes: C12 C15 C21 C25 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2011-01-05
New Economics Papers: this item is included in nep-ecm
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