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From |
Steve Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 30 Mar 2010 10:24:50 -0400 |

Vuong's test is likelihood based and corrects for the differing number of parameters in two models. For your problem you can directly compared adjusted R-squares, which also correct for the number of parameters.. However assessing a difference between two adjusted R-squares is equivalent to assessing a difference between the mean square errors. So I suggest you bootstrap a difference in log mean square errors. Because you want to bootstrap two regressions, you'll need to write your own program. See: http://www.ats.ucla.edu/stat/Stata/faq/ownboot.htm Steve On Tue, Mar 30, 2010 at 2:24 AM, <Tonny.Stenheim@hibu.no> wrote: > 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/ > -- Steven Samuels sjsamuels@gmail.com 18 Cantine's Island Saugerties NY 12477 USA Voice: 845-246-0774 Fax: 206-202-4783 * * 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>

**References**:**st: Testing of differences in R-square***From:*<Tonny.Stenheim@hibu.no>

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