vuongtest function

Vuoung test for non-nested models

Vuoung test for non-nested models

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

vuongtest( x, y, type = c("non-nested", "nested", "overlapping"), true_model = FALSE, variance = c("centered", "uncentered"), matrix = c("large", "reduced") )

Arguments

  • x: a first fitted model of class "mhurdle",
  • y: a second fitted model of class "mhurdle",
  • type: the kind of test to be computed,
  • true_model: a boolean, TRUE if one of the models is asumed to be the true model,
  • variance: the variance is estimated using the centered or uncentered expression,
  • matrix: the W matrix can be computed using the general expression large or the reduced matrix reduced (only relevant for the nested case),

Returns

an object of class "htest"

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)

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.