ndvuongtest: Vuoung test for non-nested models

In mhurdle: Multiple Hurdle Tobit Models

Description

The Vuong test is suitable to discriminate between two non-nested models.

Usage

ndvuongtest(
  x,
  y,
  size = 0.05,
  pval = TRUE,
  type = c("non-nested", "nested", "overlapping"),
  ndraws = 10000,
  diffnorm = 0.1,
  seed = 1,
  print.level = 0
)

Arguments

x	a first fitted model of class "mhurdle",
y	a second fitted model of class "mhurdle",
size	the size of the test,
pval	should the p-value be computed ?
type	the kind of test to be computed,
ndraws	the number of draws for the simulations,
diffnorm	a creuser,
seed	the seed,
print.level	the level of details to be printed.

Value

an object of class "htest"

References

Vuong Q.H. (1989) Likelihood ratio tests for model selection and non-nested hypothesis, Econometrica, vol.57(2), pp.307-33.

See Also

vuong in package pscl.

Examples

data("Interview", package = "mhurdle")
# dependent double hurdle model
dhm <- mhurdle(vacations ~ car + size | linc + linc2 | 0, Interview,
              dist = "ln", h2 = TRUE, method = "bhhh", corr = TRUE)

# a double hurdle p-tobit model
ptm <- mhurdle(vacations ~ 0 | linc + linc2 | car + size, Interview,
              dist = "ln", h2 = TRUE, method = "bhhh", corr = TRUE)
vuongtest(dhm, ptm)

mhurdle documentation built on Dec. 11, 2021, 9:21 a.m.