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A Simple Distribution-Free Test for Nonnested Model Selection

Published online by Cambridge University Press:  04 January 2017

Kevin A. Clarke*
Affiliation:
Department of Political Science, University of Rochester, Rochester, NY 14627-0146. e-mail: kevin.clarke@rochester.edu

Abstract

This paper considers a simple distribution-free test for nonnested model selection. The new test is shown to be asymptotically more efficient than the well-known Vuong test when the distribution of individual log-likelihood ratios is highly peaked. Monte Carlo results demonstrate that for many applied research situations, this distribution is indeed highly peaked. The simulation further demonstrates that the proposed test has greater power than the Vuong test under these conditions. The substantive application addresses the effect of domestic political institutions on foreign policy decision making. Do domestic institutions have effects because they hold political leaders accountable, or do they simply promote political norms that shape elite bargaining behavior? The results indicate that the latter model has greater explanatory power.

Type
Research Article
Copyright
Copyright © The Author 2007. Published by Oxford University Press on behalf of the Society for Political Methodology 

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