IDEAS home Printed from https://ideas.repec.org/p/boc/csug17/07.html
   My bibliography  Save this paper

The Vuong test for nonnested models

Author

Listed:
  • Hossein Kavand

    (Carleton University)

  • Macel Voia

    (Carleton University)

Abstract

Comparing nonnested models is challenging, especially in duration data, where there are not many available methods. This presentation discusses a transformed Vuong's test, which is applicable to models for duration data, in particular to hazard models that are not directly comparable. The proposed method adapts the Vuong's likelihood-ratio closeness test to compare parametric, semiparametric, and discrete hazard models. The test is built in Stata and shows good performance on ranking different nonnested hazard models. An empirical example presents the performances of different hazard models used to model the duration of shipbuilding firms. The results suggest that models that model the unobserved heterogeneity using finite mixtures perform better than other hazard models that model unobserved heterogeneity using different parameterizations.

Suggested Citation

  • Hossein Kavand & Macel Voia, 2017. "The Vuong test for nonnested models," Canadian Stata Users' Group Meetings 2017 07, Stata Users Group.
  • Handle: RePEc:boc:csug17:07
    as

    Download full text from publisher

    File URL: http://repec.org/csug2017/Canada17_Kavand_poster.pdf
    File Function: presentation materials
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:csug17:07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.