Vuong Test

[sabrina mines]

Dear all,
I am interested in how to perform Vuong (1989) test to choose between test for a twop part model using twopm command and a Heckit model (following -heckman). Could you please provide more information how to proceed in stata?
thank you

[Joao Santos Silva]

Dear Sabrina,

Depending on what you want to do with your model, the Vuong test may not be appropriate in this context. So, for us to be able to help you, you need to provide more information on what you are doing and why you are doing it.

All the best,

Joao

[sabrina mines]

Thank you for your request.
I want to test which of the models is suitable for my case study. my model is the following y = transfer of money (we have a lot of zero because there are many pesons that send money) my explanatory variables are the means of transfers, income ...
I used two models the first is the Hurdel model using twopm stata command is the second is a model of Heckman.
I want to know which one is suitable for my study using the Vuong test. I do not know the procedure of this test on stata
Sabrine

[Joao Santos Silva]

How do you estimate the second part in the tpm?

Joao

[sabrina mines]

I estimate using GLM.
Sabrine

[Joao Santos Silva]

Yes, but what model did you estimate using GLM?

[sabrina mines]

Thank you for your request,
I estimate the second part using GLM the first part i use a probit model. I use also a heckman model and i want to know which one is suitable for my study using the Vuong test. And I do't know the procedure.
All the best
Sabrine

[Joao Santos Silva]

Dear Sabrine,

You still do not say what model you estimate with GLM, but my guess is that the Vuong test would not be appropriate in your context because you do not really care about the correct specification of the likelihood function.

Best wishes,

Joao

[sabrina mines]

Dear Joao,
I estimate with GLM the amount of money remitted (transfer) my explanatory variables are the means of transfers, income ... the first part of my two part model is a probit model y=1 If the househols send money
All the Best
Sabrine