Testing the one-part fractional response model against an alternative two-part model

Harald Oberhofer and Michael Pfaffermayr

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

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Year of publication:	2011
Authors:	Oberhofer, Harald ; Pfaffermayr, Michael
Publisher:	Salzburg : Univ., SOWI
Subject:	Schätztheorie \| Estimation theory \| Modellierung \| Scientific modelling