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st: Vuong test for nested linear models


From   Cindy <[email protected]>
To   [email protected]
Subject   st: Vuong test for nested linear models
Date   Sun, 9 Feb 2014 10:33:16 -0800 (PST)

Hi, do anyone know how to do Vuong test (Vuong 1989) for model selection of
two nested linear models in Stata? It seems that people use Vuong test
mostly for non-nested models. But Vuong (1989) covers both nested and
non-nested models. Following are my two models:

Model 1: Y=a0+a1X1+a2X2+e
Model 2: Y=b0+b1X1+b2X2+b3X3+v

Both models are OLS regressions. I need to test how significant the
incremental adjusted R2 in model 2 is from adding X3 (my variable of
interest) to model 1.
 
Also, it seems that a likelihood ratio test could be used to test nested
models, too. But when I looked up the code in stata (lrtest), it says that
it’s applicable for maximum likelihood models only.

Thank you very much!!



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