Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Testing of differences in R-square


From   <[email protected]>
To   <[email protected]>
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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index