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Econometric methods for fractional response variables with an application to 401(k) plan participation rates

Econometric methods for fractional response variables with an application to 401(k) plan... We develop attractive functional forms and simple quasi‐likelihood estimation methods for regression models with a fractional dependent variable. Compared with log‐odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero and one. We also offer some new, robust specification tests by nesting the logit or probit function in a more general functional form. We apply these methods to a data set of employee participation rates in 401(k) pension plans. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Econometrics Wiley

Econometric methods for fractional response variables with an application to 401(k) plan participation rates

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References (18)

Publisher
Wiley
Copyright
Copyright © 1996 John Wiley & Sons, Ltd.
ISSN
0883-7252
eISSN
1099-1255
DOI
10.1002/(SICI)1099-1255(199611)11:6<619::AID-JAE418>3.0.CO;2-1
Publisher site
See Article on Publisher Site

Abstract

We develop attractive functional forms and simple quasi‐likelihood estimation methods for regression models with a fractional dependent variable. Compared with log‐odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero and one. We also offer some new, robust specification tests by nesting the logit or probit function in a more general functional form. We apply these methods to a data set of employee participation rates in 401(k) pension plans.

Journal

Journal of Applied EconometricsWiley

Published: Nov 1, 1996

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