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Model Selection in Panel Data Models: A Generalization of the Vuong Test

Author

Listed:
  • Jinyong Hahn
  • Zhipeng Liao
  • Konrad Menzel
  • Quang Vuong

Abstract

This paper generalizes the classical Vuong (1989) test to panel data models by employing modified profile likelihoods and the Kullback-Leibler information criterion. Unlike the standard likelihood function, the profile likelihood lacks certain regular properties, making modification necessary. We adopt a generalized panel data framework that incorporates group fixed effects for time and individual pairs, rather than traditional individual fixed effects. Applications of our approach include linear models with non-nested specifications of individual-time effects.

Suggested Citation

  • Jinyong Hahn & Zhipeng Liao & Konrad Menzel & Quang Vuong, 2026. "Model Selection in Panel Data Models: A Generalization of the Vuong Test," Papers 2601.22354, arXiv.org.
    • Handle: RePEc:arx:papers:2601.22354
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    References listed on IDEAS

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    4. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
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