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arXiv · 2601.22354

Model Selection in Panel Data Models: A Generalization of the Vuong Test

Jinyong Hahn·Zhipeng Liao·Konrad Menzel·Quang Vuong
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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.

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Jinyong Hahn, Zhipeng Liao, Konrad Menzel, Quang Vuong. 2026-01-29. Model Selection in Panel Data Models: A Generalization of the Vuong Test. https://arxiv.org/abs/2601.22354

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