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2 weeks ago

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

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2 weeks ago