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Abstrakty
This paper replicates the estimates of a fractional response model for share data reported in the seminal paper of Leslie E. Papke and Jeffrey M. Wooldridge published in the Journal of Applied Econometrics 11(6), 1996, pp.619-632. We have been able to replicate all of the reported estimation results concerning the determinants of employee participation rates in 401(k) pension plans using the standard routines provided in Stata. As an alternative, we estimate a two-part model that is capable of coping with the excessive number of boundary values equalling one in the data. The estimated marginal effects are similar to those derived in the paper. A small-scale Monte Carlo simulation exercise suggests that the RESET tests proposed by Papke and Wooldridge in their robust form are useful for detecting neglected non-linearities in small samples. (original abstract)
Twórcy
autor
- University of Salzburg, Austria
autor
- University of Innsbruck, Austria; Austrian Institute of Economic Research, Austria
Bibliografia
- Cameron, C. A., & Trivedi, P. K. (2005). Microeconometrics: Methods and Applications. Cambridge: Cambridge University Press.
- Gourieroux, C., Monfort, A, & Trognon, A. (1984). Pseudo-maximum likelihood methods: Theory. Econometrica, 52(3), 681-700.
- McCullagh, P., & Nelder, J. A. (1991). Generalized Linear Models. (2nd ed.), London, UK: Chapman and Hall.
- Kelejian, H. H., & Prucha, I. R. (1999). A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review, 40(2), 509-533.
- Papke, L. E., & Wooldridge, J. M. (1993). Econometric methods for fractional response variables with an application to 401(k) plan participation rates (Technical Working Paper No. 147). National Bureau of Economic Research.
- Papke, L. E, & Wooldridge, J. M. (1996). Econometric methods for fractional response variables with an application to 401(k) plan participation rates. Journal of Applied Econometrics, 11(6), 619-632.
- Papke, L. E., & Wooldridge, J. M. (2008). Panel data methods for fractional response variables with an application to test pass rates. Journal of Econometrics, 145(1-2), 121-133.
- Pohlmeier, W., & Ulrich, V. (1995). An econometric model of the two-part decisionmaking process in the demand for health care. Journal of Human Resources, 30(2), 339-361.
- Ramalho, J. J. S., & Vidigal da Silva, J. (2009). A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms. Quantitative Finance, 9(5), 621-636.
- Ramalho, E. A., Ramalho, J. J. S., & Murteira, J. M. R. (2011). Alternative estimating and testing empirical strategies for fractional regression models. Journal of Economic Surveys, 25(1), 19-68.
- Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press.
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Bibliografia
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