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Exponential Regression of Fractional-Response Fixed-Effects Models with an Application to Firm Capital Structure

Author

Listed:
  • Ramalho Esmeralda A.

    (Department of Economics and CEFAGE-UE, Universidade de Evora, Évora, Portugal)

  • Ramalho Joaquim J.S.

    (Department of Economics and CEFAGE-UE, Universidade de Évora, Largo dos Colegiais, 7000-803 É VORA, Portugal)

  • Coelho Luís M.S.

    (Faculty of Economics,Universidade do Algarve and CEFAGE-UE, Faro, Portugal)

Abstract

New fixed-effects estimators are proposed for logit and complementary loglog fractional regression models. The standard specifications of these models are transformed into a form of exponential regression with multiplicative individual effects and time-variant heterogeneity, from which four alternative estimators that do not require assumptions on the distribution of the unobservables are proposed. All new estimators are robust to both time-variant and time-invariant heterogeneity and can accomodate fractional responses with observations at the boundary value of zero. Additionally, some of these estimators can be applied to dynamic panel data models and can accommodate endogenous explanatory variables without requiring the specification of a reduced form model. A Monte Carlo study and an application to firm capital structure choices illustrate the usefulness of the suggested estimators.

Suggested Citation

  • Ramalho Esmeralda A. & Ramalho Joaquim J.S. & Coelho Luís M.S., 2018. "Exponential Regression of Fractional-Response Fixed-Effects Models with an Application to Firm Capital Structure," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-18, January.
    • Handle: RePEc:bpj:jecome:v:7:y:2018:i:1:p:18:n:4
    DOI: 10.1515/jem-2015-0019
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    References listed on IDEAS

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    More about this item

    Keywords

    dynamic models; endogeneity; exponential regression; fixed effects; fractional responses; heterogeneity; panel data;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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