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RE: st: fractional response model for balanced panel


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: fractional response model for balanced panel
Date   Mon, 16 Jan 2012 21:37:26 -0500

Yes, the foundational work by Papke and Wooldridge is essential reading. Some other helpful resources are:
Sigrist, F., & Stahel, W.A. (August 19, 2011). Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default.http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.1796v3.pdf

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.

Ramalho, J.J.S., & da Silva, J.V. (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.

Wooldridge, J.M. (2011). Fractional Response Models with Endogenous Explanatory Variables and Heterogeneity.http://www.stata.com/meeting/chicago11/materials/chi11_wooldridge.pdf

Nam, S. (December 6, 2011). Multiple Fractional Response Variables with Continuous Endogenous Explanatory Variables.https://www.msu.edu/~namsu/Nam_jmp.pdf

Cam

> Date: Mon, 16 Jan 2012 09:53:20 -0500
> Subject: Re: st: fractional response model for balanced panel
> From: sroy2138@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> Roberto,
> Please read the paper by Papke and Wooldridge "Panel data methods for
> fractional response variables with an application to test
> pass rates" that was published in the Journal of Econometrics 145
> (2008) 121 - 133. Also, if you visit Prof. Papke's website
> https://www.msu.edu/~ec/faculty/papke/papke.html , you would find lots
> of invaluable information with detailed codes as to how implement in
> case of panel data. Also, please read the presentation by Prof.
> Wooldridge at https://www.msu.edu/~ec/faculty/papke/papke.html very
> carefully.
> 
> Best wishes,
> Suryadipta.
> 
> On Mon, Jan 16, 2012 at 6:05 AM, Roberto GANAU
> <roberto.ganau@studenti.unipd.it> wrote:
> > Dear Statalist,
> >
> > I am working on a panel dataset of N=582 firms and T=2 years. My dependent variable is a proportion, i.e. export sales/total sales.
> >
> > Using Stata, I run:
> >
> > xtgee dep_var varlist, family(binomial) link(logit) robust
> >
> > Is this specification correct?
> >
> > Is it necessary to include time average variables and/or year dummies?
> >
> > Excluding the logit transformation [log(y/(1-y))], can you suggest me alternative solutions to model fractional response variables maintaining the panel structure of the data?
> >
> > I thank you in advance for your time and attention.
> > Best regards,
> >
> > Roberto Ganau
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