Model Selection in Panel Data Models: A Generalization of the Vuong Test
Econometrics
2026-02-02 v1
Abstract
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.
Cite
@article{arxiv.2601.22354,
title = {Model Selection in Panel Data Models: A Generalization of the Vuong Test},
author = {Jinyong Hahn and Zhipeng Liao and Konrad Menzel and Quang Vuong},
journal= {arXiv preprint arXiv:2601.22354},
year = {2026}
}