Jinyong Hahn, Zhipeng Liao, Konrad Menzel, Quang Vuong
arXiv 29 Jan 2026 · Econometrics
arXiv:2601.22354 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Vuong, Quang H (1989) Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses self | 1.000 | 7 | 4 | 100% |
| 2 | Zhipeng Liao and Xiaoxia Shi (2020) A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models self | 0.956 | 8 | 3 | 88% |
| 3 | Yoonseok Lee and Peter C.B. Phillips (2015) Model selection in the presence of incidental parameters | 0.874 | 7 | 2 | 100% |
| 4 | Stéphane Bonhomme and Elena Manresa (2015) Grouped Patterns of Heterogeneity in Panel Data | 0.811 | 4 | 2 | 100% |
| 5 | Iván Fernández-Val and Martin Weidner (2016) Individual and time effects in nonlinear panel models with large N, T | 0.737 | 3 | 2 | 100% |
| 6 | Xiaoxia Shi (2015) A Nondegenerate Vuong Test | 0.644 | 2 | 2 | 100% |
| 7 | Arellano, Manuel and Hahn, Jinyong (2007) Understanding Bias in Nonlinear Panel Models: Some Recent Developments self | 0.585 | 3 | 1 | 100% |
| 8 | Manuel Arellano and Jinyong Hahn (2016) A likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects self | 0.511 | 2 | 1 | 100% |
| 9 | Arellano, Manuel and Bonhomme, Stéphane (2009) Robust Priors in Nonlinear Panel Data Models | 0.405 | 1 | 1 | 100% |
| 10 | C. Alan Bester and Christian Hansen (2009) A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 37 scored citations.