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") )
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),an object of class "htest"
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)
Vuong Q.H. (1989) Likelihood ratio tests for model selection and non-nested hypothesis, Econometrica, vol.57(2), pp.307-33.
vuong
in package pscl
.