Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

By Q. Vuong. 1989

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Citations in the corpus

Pollution Haven and Corruption Paradise (2017, unknown): “The latter is a derived test from the likelihood-ratio family but is based on the Kullback-Leibler Information Criterion in order to measure a model’s veracity (Vuong, 1989).”
Distinguishing Limited Liability from Moral Hazard in a Model of Entrepreneurship (2006, unknown): “29 We also estimate δ 0 , δ 1 , and δ 2 for each of the ﬁ nancial regimes.”
Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007, unknown): “Note that, as in Giacomini and White (2006), our null hypothesis is different from that considered in the literature on model selection testing (e.g., Vuong 1989) in that it depends on parameter estimates rather than on population values.”
High-Dimensional Copula-Based Distributions with Mixed Frequency Data (2016, unknown): “…tests, such as those of Vuong (1989) for iid data and Rivers and Vuong (2002) for time series, can be straightforwardly applied to model selection using the cKLIC.9 To the best of our knowledge, combining the cKLIC with Vuong (1989) or Rivers and Vuong (2002) tests is new to the literature.”
Determinants of savings and remittances: empirical evidence from immigrants to Germany (2011, methodology): “To investigate whether the independent IHS double-hurdle model is more appro- 12 priate in modeling migrants’ transfers abroad than the IHS Tobit model, the test procedure proposed by Vuong (1989) was applied (see also Yen, 2005).”
Power-Law Distributions in Empirical Data (2007, methodology): “However, Vuong [62] has shown that the results above”
On the Specification of the Gravity Model of Trade: Zeros, Excess Zeros and Zero-inflated Estimation (2009, methodology): “)( )1(]Pr[ (6.2) For both the zero-inflated Poisson model and the zero-inflated negative binomial regression model, the Vuong statistic (Vuong, 1989) can be employed to test whether a zero-inflated model is favored above its non-zero inflated counterpart by examining whether significant evidence…”
Evaluating Direct Multistep Forecasts (2005, methodology): “Similarly, in the context of likelihood–ratio statistics, Vuong ( 1989 , Theorem 3.”
Stochastic Skew in Currency Options (2007, unknown): “To test the statistical significance of the performance difference between different models, we adopt the likelihood ratio statistic constructed by Vuong (1989) fornon-nested models.”
Modeling financial contagion using mutually exciting jump processes (2015, unknown): “A Poissonian model with dependent jumps is non-nested in our model, but can still be tested using appropriate techniques for testing non-nested models along the lines of Vuong (1989).”