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Generalized two-part fractional regression with cmp

Author

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  • Jesper N. Wulff

    (Aarhus University)

Abstract

Researchers who model fractional dependent variables often need to consider whether their data were generated by a two-part process. Two-part mod- els are ideal for modeling two-part processes because they allow us to model the participation and magnitude decisions separately. While community-contributed commands currently facilitate estimation of two-part models, no specialized com- mand exists for fitting two-part models with process dependency. In this article, I describe generalized two-part fractional regression, which allows for dependency between models’ parts. I show how this model can be fit using the community- contributed cmp command (Roodman, 2011, Stata Journal 11: 159–206). I use a data example on the financial leverage of firms to illustrate how cmp can be used to fit generalized two-part fractional regression. Furthermore, I show how to obtain predicted values of the fractional dependent variable and marginal effects that are useful for model interpretation. Finally, I show how to compute model fit statistics and perform the RESET test, which are useful for model evaluation. Copyright 2019 by StataCorp LP.

Suggested Citation

  • Jesper N. Wulff, 2019. "Generalized two-part fractional regression with cmp," Stata Journal, StataCorp LP, vol. 19(2), pages 375-389, June.
    • Handle: RePEc:tsj:stataj:v:19:y:2019:i:2:p:375-389
    DOI: 10.1177/1536867X19854017
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    Cited by:

    1. Isabel-Maria Bodas Freitas & Jojo Jacob & Lili Wang & Zibiao Li, 2023. "Energy use and exporting: an analysis of Chinese firms," Journal of Evolutionary Economics, Springer, vol. 33(1), pages 179-207, January.
    2. Jesper N Wulff & Anders R Villadsen, 2020. "Keeping it within bounds: Regression analysis of proportions in international business," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 51(2), pages 244-262, March.
    3. J. Amar & M. Arouri & G. Dufrénot & C. Lecourt, 2024. "Determinants of partial versus full cross-border acquisitions for Sovereign Wealth Funds," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(2), pages 509-539, May.
    4. Rafael Duarte Lisboa Paschoaleto & Inmaculada Martínez-Zarzoso, 2024. "Environmental regulations and firms’ integration in global markets: using a new environmental performance index," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 829-876, August.

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