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st: Testing of differences in R-square

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Subject   st: Testing of differences in R-square
Date   Tue, 30 Mar 2010 08:24:48 +0200


I need to test differences in R-squares obtained from two ordinary least square regressions estimated by using the same sample of observations. For instance, I want to compare R-square of the following two regressions:


where P is stock price, EARN is accounting earnings, BV is book value of equity and ADJ means adjusted. In the literature, the Vuong test is frequently been used to test differences in R-square (Vuong, Q. H: Likelihood Ratio Tests for Model Selection and Non-nested Hypothesis, Econometrica, Vol 57, No 2, 1989, pp 307-333).  My questions are:

Is it possible to perform the Vuong test using commands in STATA?
If it is possible, what commands should I type?
Are there other tests available for differences in R-squares?

Any help is highly appreciated. 

Best regards


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