Stata 6: How do I interpret the Vuong statistic of a test between a negative binomial and a zero-inflated negative binomial model for count data?

Stata 6: How do I interpret the Vuong statistic of a test between a Poisson and a zero-inflated Poisson model for count data?

Vuong (1989) developed some general tests of nonnested models. Greene (1994) adapts one of these tests to the cases ZIP vs. Poisson and zero-inflated negative binomial vs. negative binomial models. This test has been implemented in Stata (see help for zip and zinb). As described in Long (1997), this statistic has a standard normal distribution with large positive values favoring the zero-inflated model and with large negative values favoring the nonzero-inflated version. Values close to zero in absolute value favor neither model.

References:

Greene, W. H. 1994.

Accounting for Excess Zeros and Sample Selection in Poisson and Negative Binomial Regression Models. Working paper, Stern School of Business, NYU EC-94-10.

Long, J. S. 1997.

Regression Models for Categorical and Limited Dependent Variables. Thousand Oaks, CA: Sage Publications.

Vuong, Q. H. 1989.

Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57: 307–333.