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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2601.22354 |
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| _version_ | 1866912861605855232 |
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| author | Hahn, Jinyong Liao, Zhipeng Menzel, Konrad Vuong, Quang |
| author_facet | Hahn, Jinyong Liao, Zhipeng Menzel, Konrad Vuong, Quang |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_22354 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Model Selection in Panel Data Models: A Generalization of the Vuong Test Hahn, Jinyong Liao, Zhipeng Menzel, Konrad Vuong, Quang Econometrics 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. |
| title | Model Selection in Panel Data Models: A Generalization of the Vuong Test |
| topic | Econometrics |
| url | https://arxiv.org/abs/2601.22354 |