vuong.test: Vuong test

In GJRM: Generalised Joint Regression Modelling

Vuong test

Description

The Vuong test is likelihood-ratio-based tests that can be used for choosing between two non-nested models.

Usage

vuong.test(obj1, obj2, sig.lev = 0.05)

Arguments

obj1, obj2	Objects of the two fitted bivariate non-nested models.
sig.lev	Significance level used for testing.

Details

The Vuong test is a likelihood-ratio-based tests for model selection that use the Kullback-Leibler information criterion, and that can be employed for choosing between two bivariate models which are non-nested.

The null hypothesis is that the two models are equally close to the actual model, whereas the alternative is that one model is closer. The test follows asymptotically a standard normal distribution under the null. Assume that the critical region is (-c,c), where c is typically set to 1.96. If the value of the test is higher than c then we reject the null hypothesis that the models are equivalent in favor of model obj1. Viceversa if the value is smaller than c. If the value falls in [-c,c] then we cannot discriminate between the two competing models given the data.

Value

It returns a decision.

Author(s)

Maintainer: Giampiero Marra [e-mail]

References

Vuong Q.H. (1989), Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses. Econometrica, 57(2), 307-333.

Examples

## see examples for gjrm

GJRM documentation built on June 24, 2025, 1:07 a.m.