Vuong, Quang H. (1986) Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses. Social Science Working Paper, 605. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20170913-150620147
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Abstract
In this paper, we propose a classical approach to model selection. Using the Kullback-Leibler Information measure, we propose simple and directional likelihood-ratio tests for discriminating and choosing between two competing models whether the models are nonnested, overlapping or nested and whether both, one, or neither is misspecified. As a prerequisite, we fully characterize the asymptotic distribution of the likelihood ratio statistic under the most general conditions.
| Item Type: | Report or Paper (Discussion Paper) | ||||||
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| Additional Information: | This research was supported by National Science Foundation Grant SES-8410593. I am indebted to P. Bjorn, D. Lien, and D. Rivers for helpful discussions, and to J. M. Dufour for some references on weighted sums of chi-square distributions. I would like to thank especially H. White whose comments much improved this paper. I am also grateful to C. R. Jackson without whom this paper would not have been written and to L. Donnelly for stimulating thoughts. Remaining errors are mine. Published as Vuong, Quang H. "Likelihood ratio tests for model selection and non-nested hypotheses." Econometrica: Journal of the Econometric Society (1989): 307-333. | ||||||
| Group: | Social Science Working Papers | ||||||
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| Subject Keywords: | Statistical models, Statistical variance, Logical givens, Eigenvalues, Null hypothesis, Economic models, Statistics, Statistical theories, Consistent estimators, Linear regression | ||||||
| Series Name: | Social Science Working Paper | ||||||
| Issue or Number: | 605 | ||||||
| Record Number: | CaltechAUTHORS:20170913-150620147 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20170913-150620147 | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 81424 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | Jacquelyn Bussone | ||||||
| Deposited On: | 15 Sep 2017 18:07 | ||||||
| Last Modified: | 03 Oct 2019 18:42 |
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