What Are Nested Models?

Pretty much all of the common statistical models we use, with the exception of OLS Linear Models, use Maximum Likelihood estimation. If you've ever learned any of these, you've heard that some of the statistics that compare model fit in competing models require that models be nested (specifically, the likelihood ratio test, based on model deviance). This is particularly important while you're trying to do model building. You need to know which model fits better. This can get really confusing because we often talk about variables being nested.