Generalized two-part fractional regression with cmp

Jesper N. Wulff ()
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Jesper N. Wulff: Aarhus University

Stata Journal, 2019, vol. 19, issue 2, 375-389

Abstract: Researchers who model fractional dependent variables often need to consider whether their data were generated by a two-part process. Two-part mod- els are ideal for modeling two-part processes because they allow us to model the participation and magnitude decisions separately. While community-contributed commands currently facilitate estimation of two-part models, no specialized com- mand exists for fitting two-part models with process dependency. In this article, I describe generalized two-part fractional regression, which allows for dependency between models’ parts. I show how this model can be fit using the community- contributed cmp command (Roodman, 2011, Stata Journal 11: 159–206). I use a data example on the financial leverage of firms to illustrate how cmp can be used to fit generalized two-part fractional regression. Furthermore, I show how to obtain predicted values of the fractional dependent variable and marginal effects that are useful for model interpretation. Finally, I show how to compute model fit statistics and perform the RESET test, which are useful for model evaluation. Copyright 2019 by StataCorp LP.

Keywords: generalized two-part fractional regression; process dependence; fractional probit; cmp (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:19:y:2019:i:2:p:375-389

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DOI: 10.1177/1536867X19854017

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