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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.