[Limdep Nlogit List] Comparing two models

William Greene wgreene at stern.nyu.edu
Thu Jan 25 01:15:52 EST 2007


those interested.
Richard is correct about the LIMDEP application of the Vuong test for the ZIP and hurdle
models in LIMDEP.  I'm slightly ambivalent about the applications, however, because
in every application, the zero inflation or hurdle model has more parameters than the Poisson
model, which seems to give it an advantage.  In fact, I have never seen the Poisson
model win the contest, though I have seen it come out a draw.  For those interested,
I have posted a very clean application of the Vuong test to a pair of competing models
for count data that are essentially identically parameterized, but differ in the underlying
distribution, and, therefore, in the shape of the probability distribution.  (The example
will appear in the 6th edition of my text, Econometric Analysis, which will be published
in July.)

http://www.stern.nyu.edu/~wgreene/Vuong-Test-For-Count-Models.doc

Regards,
Bill Greene

************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************



************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: Richard Hofler <rhofler at bus.ucf.edu>
Date: Wednesday, January 24, 2007 8:46 am
Subject: RE: [Limdep Nlogit List] Comparing two models

> Andy,
> 
> Bill is, of course, correct. I might extend what he recommends by
> referring you to Vuong's paper (cited below.) It is quite good and
> includes a section on testing overlapping models, which appears to be
> the case that you describe below. Note, however, that the null is that
> the two models are equivalent, so don't expect that every test will
> yield a clear choice of one model over the other.
> 
> Bill has also included some LIMDEP code for a Vuong test (hurdle vs.
> Poisson) on p. E20-89 of the LIMDEP 8.0 guide. 
> 
> Q.H. Vuong, "Likelihood Ratio Tests for Model Selection and Non-nested
> Hypotheses," Econometrica, Vol. 57, No. 2 (March 1989), 307-333. 
> 
> Richard
> 
> 
> Richard A. Hofler
> Professor 
> Office: BA2 302F
> Voice: (407) 823-2606
> 
> 
> 
> -----Original Message-----
> From: limdep-bounces at limdep.itls.usyd.edu.au
> [limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of William
> Greene
> Sent: Wednesday, January 24, 2007 7:47 AM
> To: Limdep and Nlogit Mailing List
> Subject: Re: [Limdep Nlogit List] Comparing two models
> 
> Andy.  You cannot use the LR test for this pair of models.  They are
> nonnested, so the LR test
> does not apply.  There is a huge literature on testing procedures for
> nonnested models and
> nonnested hypotheses.  This includes, for example, tests by Cox 
> and by
> Vuong.  There was also
> a special issue of the Journal of Econometrics about 10 or 15 
> years ago
> on the subject.
> Regards,
> Bill Greene
> 
> ************************************************
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY   10012
> Ph. 212.998.0876
> Fax. 212.995.4218
> URL. http://www.stern.nyu.edu/~wgreene
> Email. wgreene at stern.nyu.edu
> ************************************************
> 
> ----- Original Message -----
> From: Andy Sungnok Choi <Andy.Choi at anu.edu.au>
> Date: Wednesday, January 24, 2007 6:29 am
> Subject: [Limdep Nlogit List] Comparing two models
> 
> > Dear All,
> > 
> > I am still at the learning stage in Limdep. Regarding 
> > loglikelihood ratio 
> > (LR) tests (Hensher et. al 2005: 335), I am not clear when two 
> > models being 
> > compared are overlapping (i.e., not extended from one model). 
> When 
> > two 
> > models have both common variables and uncommon variables with 
> the 
> > same 
> > number, and when I want to compare the model significance of 
> > different set 
> > of uncommon variables, how can I do this?
> > 
> > Assuming a generic model form for simplicity,
> > 
> > Variables for Model 1 = A + B
> > Variables for Model 2 = A + C
> > 
> > where A, B, and C are matrixes of variables, and the number of 
> > elements for 
> > B and C are the same. Then, the degree of freedom for the LR 
> test 
> > is 0. 
> > Right? ... Even when the number of elements for B and C are 
> > different, can 
> > I use LR tests?
> > 
> > Point is whether I can use LR tests for this kind of model 
> comparison.> 
> > Any sharing of experience, references, and tips will be greatly 
> > appreciated.
> > Thanks.
> > 
> > Andy S. Choi
> > 
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> > 
> 
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