The Vuong test for nonnested models

Hossein Kavand and Marcel Voia
Additional contact information
Hossein Kavand: Carleton University

Canadian Stata Users' Group Meetings 2017 from Stata Users Group

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.

Date: 2017-09-20
References: Add references at CitEc
Citations:

Downloads: (external link)
http://repec.org/csug2017/Canada17_Kavand_poster.pdf presentation materials (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:csug17:07

Access Statistics for this paper

More papers in Canadian Stata Users' Group Meetings 2017 from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().