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Model Comparisons

Tests for nested models and information criteria

After you estimate a set of candidate models, you can compute information criteria to compare the model fits by passing the resulting set of loglikelihoods to the aicbic function. The Econometric Modeler app enables you to interactively use compare models using information criteria. Alternatively, you can conduct statistical hypothesis tests to compare the fitted models, for example, conduct a likelihood ratio test to compare nested models by using the lratiotest function.

Apps

Econometric ModelerAnalyze and model econometric time series

Functions

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aicbicInformation criteria
lmtestLagrange multiplier test of model specification
lratiotestLikelihood ratio test of model specification
waldtestWald test of model specification
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
var2vecConvert VAR model to VEC model
vec2varConvert VEC model to VAR model

Topics

Information Criteria

Statistical Tests

  • Model Comparison Tests
    Learn the mechanics behind the likelihood ratio, Lagrange multiplier, and Wald model-comparison tests.
  • Compare GARCH Models Using Likelihood Ratio Test
    Conduct a likelihood ratio test to choose the number of lags in a GARCH model.
  • Likelihood Ratio Test for Conditional Variance Models
    Fit two competing, conditional variance models to data, and then compare their fits using a likelihood ratio test.
  • Conduct Lagrange Multiplier Test
    Compare the fit of a restricted model against an unrestricted model by testing whether the gradient of the loglikelihood function of the unrestricted model, evaluated at the restricted maximum likelihood estimates (MLEs), is significantly different from zero.
  • Conduct Wald Test
    Compare the fit of a restricted model against an unrestricted model by testing whether the restriction function, evaluated at the unrestricted maximum likelihood estimates (MLEs), is significantly different from zero.
  • Classical Model Misspecification Tests
    This example shows the use of the likelihood ratio, Wald, and Lagrange multiplier tests.

Convert Between Models