help forfrm_ptest-------------------------------------------------------------------------------

Title

frm_ptest-- P test for non-nested one-part and two-part fractional regression models

Syntax

frm_ptest,mod1(name_model1a[name_model1b])mod2(name_model2a[name_model2b]) [options]

optionsDescription -------------------------------------------------------------------------lmspecify the LM version of the P test to be performedwaldspecify the t version of the P test to be performed -------------------------------------------------------------------------where

name_mod1a,name_mod1b,name_mod2aandname_mod2bare names under which estimation results were saved via estimates store. The second name inmod1andmod2is only to be provided when testing the full specification of two-part models.

Description

frm_ptestapplies the P test statistic proposed by Davidson and MacKinnon (1981) to fractional regression models estimated via frm.frm_ptestmay be used to test against each other two alternative specifications for the link function in: (i) one-part fractional regression models; (ii) the binary component of two-part fractional regression models; (iii) the fractional component of two-part fractional regression models; and (iv) two-part fractional regression models. In addition,frm_ptestmay be used to test one-part models against two-part models. See Ramalho, Ramalho and Murteira (2011) for details on the application of the P test in the fractional regression framework.

Options

lmspecifies that the LM version of the P test is to be performed. Unless the competing models are alternative specifications for the binary component of a two-part fractional regression model, a robust LM test is implemented.

waldspecifies that the robust t version of the P test is to be performed. This is the default option.

ExamplesSetup - data used in Ramalho, Ramalho and Henriques (2010)

. use http://evunix.uevora.pt/~jsr/stata/JPA-2010.dtaTesting logit versus loglog specifications for standard fractional regression models

. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRAL BAIXO. estimates store a1. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRALBAIXO, linkf(loglog). estimates store a2. frm_ptest, mod1(a1) mod2(a2)Testing a logit one-part fractional regression model versus a binary logit + fractional probit two-part model

. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRAL BAIXO. estimates store a1. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRALBAIXO, m(2Pbin) inf(1). estimates store a2. frm SCORE LANDLORD LIVESTOCK CROP SIZE SUBSIDIES ALTO CENTRALBAIXO, m(2Pfrac) linkf(probit) inf(1). estimates store a3. frm_ptest, mod1(a1) mod2(a2 a3)

Saved results

frm_ptestsaves the following inr()if both LM and Wald versions of the P test are performed:Scalars

r(t1)t statistic for testingmod1against modelmod2r(t1p)p-value for the statisticr(t1)r(t2)t statistic for testingmod2against modelmod1r(t2p)p-value for the statisticr(t2)r(LM1)LM statistic for testingmod1against modelmod2r(LM1p)p-value for the statisticr(LM1)r(LM2)LM statistic for testingmod2against modelmod1r(LM2p)p-value for the statisticr(LM2)

AuthorJoaquim J.S. Ramalho Department of Economics University of Evora Portugal jsr@uevora.pt

Remarks

frm_ptestis not an official Stata command. For further help and support, please contact the author. Please notice that this software is provided as is, without warranty of any kind, expressed or implied, including but not limited to the warranties of merchantability, fitness for a particular purpose, and noninfringement. In no event shall the author be liable for any claim, damages, or other liability, whether in an action of contract, tort, or otherwise, arising from, out of, or in connection with the software or the use or other dealings in the software.

ReferencesDavidson, R. and J.G. MacKinnon (1981), "Several tests for model specification on the presence of alternative hypotheses", Econometrica, 49(3), 781-793.

Ramalho, E.A., J.J.S. Ramalho and J.M.R. Murteira (2011), "Alternative estimating and testing empirical strategies for fractional regression models", Journal of Economic Surveys, 25(1), 19-68.

Ramalho, E.A., J.J.S. Ramalho and P.D. Henriques (2010), "Fractional regression models for second stage DEA efficiency analyses", Journal of Productivity Analysis, 34(3), 239-255.

Also see