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samnam
Fluorite | Level 6

Does anyone know if I can calculate Vuong's test in SAS or if not, does
anyone have an Excel spreadsheet that can do the trick.

Vuong (1989) test is a likelihood ratio test for non-nested model selection.
Vuong test statistics allows both models to have explanatory power, but
provides direction concerning which of the two is closer to the true data
generating process. Simply put I want to use Vuong test to calculate a
Z-score (compare R-square for the two models) in order to choose between two
models.
For instance I would like to compare:

P = EARN + BVE to
P = ADJEARn + ADJBVE

where P is stock price, EARN is accounting earnings, BE = book value of equity
and ADJ means adjusted.

I need this badly to do some final testing in my ph.d. dissertation

Any help is highly appreciated

1 ACCEPTED SOLUTION

Accepted Solutions
ChrisBrooks
Ammonite | Level 13

I confess this isn't really my area of expertise but there's a technical note with a macro you can download here and a SAS Global Forum paper covering the subject here

View solution in original post

1 REPLY 1
ChrisBrooks
Ammonite | Level 13

I confess this isn't really my area of expertise but there's a technical note with a macro you can download here and a SAS Global Forum paper covering the subject here

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