Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71866
Authors: 
Oberhofer, Harald
Pfaffermayr, Michael
Year of Publication: 
2011
Series/Report no.: 
Working Papers in Economics and Finance, University of Salzburg 2011-01
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.
Subjects: 
Fractional response models
two-part model
Wald test
P-test
JEL: 
C12
C15
C21
C25
Document Type: 
Working Paper

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