Regression Model for Proportions with Probability Masses at Zero and One

Raffaella Calabrese ()

No 201209, Working Papers from Geary Institute, University College Dublin

Abstract: In many settings, the variable of interest is a proportion with high concentration of data at the boundaries. This paper proposes a regression model for a fractional variable with nontrivial probability masses at the extremes. In particular, the dependent variable is assumed to be a mixed random variable, obtained as the mixture of a Bernoulli and a beta random variables. The extreme values of zero and one are modelled by a logistic regression model. The values belonging to the interval (0,1) are assumed beta distributed and their mean and dispersion are jointly modelled by using two link functions. The regression model here proposed accommodates skewness and heteroscedastic errors. Finally, an application to loan recovery process of Italian banks is also provided.

Keywords: proportions; mixed random variable; beta regression; skewness; heteroscedasticity (search for similar items in EconPapers)
JEL-codes: B14 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2012-03-14
New Economics Papers: this item is included in nep-ecm and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201209.pdf First version, 2012 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201209

Access Statistics for this paper

More papers in Working Papers from Geary Institute, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Geary Tech ().