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An unbiased model comparison test using cross-validation

Listed author(s):
  • Bruce Desmarais


  • Jeffrey Harden


Registered author(s):

    Social scientists often consider multiple empirical models of the same process. When these models are parametric and non-nested, the null hypothesis that two models fit the data equally well is commonly tested using methods introduced by Vuong (Econometrica 57(2):307–333, 1989 ) and Clarke (Am J Political Sci 45(3):724–744, 2001 ; J Confl Resolut 47(1):72–93, 2003 ; Political Anal 15(3):347–363, 2007 ). The objective of each is to compare the Kullback–Leibler Divergence (KLD) of the two models from the true model that generated the data. Here we show that both of these tests are based upon a biased estimator of the KLD, the individual log-likelihood contributions, and that the Clarke test is not proven to be consistent for the difference in KLDs. As a solution, we derive a test based upon cross-validated log-likelihood contributions, which represent an unbiased KLD estimate. We demonstrate the CVDM test’s superior performance via simulation, then apply it to two empirical examples from political science. We find that the test’s selection can diverge from those of the Vuong and Clarke tests and that this can ultimately lead to differences in substantive conclusions. Copyright Springer Science+Business Media Dordrecht 2014

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    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 48 (2014)
    Issue (Month): 4 (July)
    Pages: 2155-2173

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    Handle: RePEc:spr:qualqt:v:48:y:2014:i:4:p:2155-2173
    DOI: 10.1007/s11135-013-9884-7
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    1. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    2. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    3. Christopher H. Achen, 2005. "Let's Put Garbage-Can Regressions and Garbage-Can Probits Where They Belong," Conflict Management and Peace Science, Peace Science Society (International), vol. 22(4), pages 327-339, September.
    4. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, August.
    5. repec:cup:apsrev:v:96:y:2002:i:01:p:141-157_00 is not listed on IDEAS
    6. Mark Souva, 2005. "Foreign Policy Determinants: Comparing Realist and Domestic-Political Models of Foreign Policy," Conflict Management and Peace Science, Peace Science Society (International), vol. 22(2), pages 149-163, April.
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