vuong_sim

This function can be used to reproduce the examples given by Shi
(2015) which illustrate the fact that the distribution of the Vuong
statistic may be very different from a standard normal

Functions, data sets and examples for the book: Yves Croissant (2024) "Microeconometrics with R", Chapman and Hall/CRC The R Series. The package includes a set of estimators for models used in microeconometrics, especially for count data and limited dependent variables. Test functions include score test, Hausman test, Vuong test, Sargan test and conditional moment test. A small subset of the data set used in the book is also included.

Yves Croissant

micsr

Microeconometrics with R

vuong_sim function

<dl><dt>N</dt>
<dd>sample size</dd>
<dt>R</dt>
<dd>the number of replications</dd>
<dt>Kf</dt>
<dd>the number of covariates for the first model</dd>
<dt>Kg</dt>
<dd>the number of covariates for the second model</dd>
<dt>a</dt>
<dd>the share of the variance of <code>y</code> explained by the two
competing models</dd></dl>

Arguments

Simulated pdfs for the Vuong statistics using linear models — vuong_sim

<dl>

<dt>N</dt>
<dd>sample size</dd>


<dt>R</dt>
<dd>the number of replications</dd>


<dt>Kf</dt>
<dd>the number of covariates for the first model</dd>


<dt>Kg</dt>
<dd>the number of covariates for the second model</dd>


<dt>a</dt>
<dd>the share of the variance of <code>y</code> explained by the two
competing models</dd>

</dl>

vuong_sim: Simulated pdfs for the Vuong statistics using linear models

Description

Usage

Value

Arguments

References

Examples