Two-part fractional regression model for the demand for risky assets

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dc.contributor.author Stavrunova, O
dc.contributor.author Yerokhin, O
dc.date.accessioned 2012-02-28T06:55:57Z
dc.date.issued 2012-01
dc.identifier.citation Applied Economics, 2012, 44 (1), pp. 21 - 26
dc.identifier.issn 0003-6846
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/17390
dc.description.abstract Empirical studies of household portfolio choices are often interested in quantifying the effects of various covariates on the fraction of a household's wealth invested in risky assets such as common stocks. The preferred econometric specification in these studies is the two-limit Tobit model, which can accommodate the fractional nature of the dependent variable. However, it is restrictive, because it assumes that the same data generating process determines both whether households participate in the stock market and the fraction of wealth invested in stocks. This article demonstrates that, in this setting, a two-part version of the fractional response model of Papke and Wooldridge (1996) constitutes an attractive alternative to Tobit by comparing the performance of the two models using data on portfolio choices of Australian households. We find that (1) the Tobit model is rejected by our data in favour of a two-part specification; and (2) marginal effects of covariates on the share of risky assets conditional on participation estimated from Tobit are confounded by the effects of these covariates on the participation decision. © 2012 Taylor & Francis.
dc.language eng
dc.relation.isbasedon 10.1080/00036846.2010.498366
dc.title Two-part fractional regression model for the demand for risky assets
dc.type Journal Article
dc.parent Applied Economics
dc.journal.volume 1
dc.journal.volume 44
dc.journal.number 1 en_US
dc.publocation Abingdon, UK en_US
dc.publocation Milton Park and New York
dc.identifier.startpage 21 en_US
dc.identifier.endpage 26 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 102537
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.edition 1st
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords en_US
dc.description.keywords Sustainable building.
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)
utslib.collection.history Economics (ID: 372)


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