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From |
<Tonny.Stenheim@hibu.no> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Testing of differences in R-square |

Date |
Tue, 30 Mar 2010 08:24:48 +0200 |

Hi, 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: P=EARN+BV to P=ADJEARN + ADJBV 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 Tonny * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Testing of differences in R-square***From:*Steve Samuels <sjsamuels@gmail.com>

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