Fractional Response Regressions
fracreg-package.RdProvides comprehensive tools for the estimation and specification analysis of fractional response models. It supports univariate one-part, hurdle two-part, and double-inflated three-part models. The package also incorporates estimators for panel data settings (CRE, GMM, QML) and addresses unobserved heterogeneity and endogeneity via correlated random effects and control function approaches. It supports various link functions, calculates average and conditional partial effects analytically across all model types, and provides robust specification tests such as RESET, P test, and GGOFF tests.
Acknowledgements
This package builds upon, consolidates, and modernises the fractional regression frameworks originally implemented in the frm, frmhet, and frmpd R packages developed by Joaquim J.S. Ramalho. As those original packages have been deprecated and removed from the active CRAN repository, fracreg serves as an actively maintained successor, ensuring these econometric tools remain available to the R community.
Furthermore, we acknowledge James Ji (@f1kidd) and A. John Woodill (@johnwoodill), the authors of the fmlogit R package on GitHub, whose foundational work on fractional multinomial logit models inspired the implementation of fracregmlogit. We also extend our gratitude to Ariel Rokem and Kendrick Kay, the authors of the fracridge package, whose methodological contributions to fractional ridge regression are incorporated into the fracregridge functionalities of this package.
References
Ramalho, J. J. S. frm: Fractional Regression Models. R package. Formerly available on CRAN, currently archived.
Ramalho, J. J. S. frmhet: Fractional Regression Models under Heterogeneity. R package. Formerly available on CRAN, currently archived.
Ramalho, J. J. S. frmpd: Fractional Regression Models for Panel Data. R package. Formerly available on CRAN, currently archived.
Papke, L. E. and Wooldridge, J. M. (1996), "Econometric methods for fractional response variables with an application to 401(k) plan participation rates", Journal of Applied Econometrics, 11(6), 619-632.
Ramalho, E.A., J.J.S. Ramalho and J.M.R. Murteira (2011), "Alternative estimating and testing empirical strategies for fractional response models", Journal of Economic Surveys, 25(1), 19-68.
Ramalho, E. A., Ramalho, J. J. S., and Murteira, J. M. R. (2014), "A two-part fractional response model for the spatial distribution of vineyards in Portugal", Journal of Applied Econometrics, 29(4), 607-630.
Fang, K., & Ma, S. (2013), "Three-part model for fractional response variables with application to Chinese household health insurance coverage", Journal of Applied Statistics, 40(5), 925-940.
Ji, J., and Woodill, A. J., fmlogit: Fractional Multinomial Logit. R package repository. <https://github.com/f1kidd/fmlogit>.
Rokem, A., and Kay, K., fracridge: Fractional Ridge Regression. Package repository. <https://github.com/nrdg/fracridge>.