Vuong test using Eviews

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propau
Posts: 1
Joined: Thu Dec 10, 2009 3:47 am

Vuong test using Eviews

Postby propau » Thu Dec 10, 2009 4:06 am

Hi guys,

can somebody please help me on the following issue? I am trying to calculated the Vuong test statistic for comparing two non-nested models (simple linear models). Here is what I came up with:

model (1) = eq_cfo1_ni_w
model (2) = eq_cfo1_ci_w

series xb21 = eq_cfo1_ni_w.c(1)+eq_cfo1_ni_w.c(2)*ni_w
series logl21 = (cfo_t_1_w>0)*log( @cnorm(xb21) ) + (cfo_t_1_w=0)*log( 1-@cnorm(xb21))
series lam22 = eq_cfo1_ci_w.c(1)+eq_cfo1_ci_w.c(2)*ci_w
series logl22 = (cfo_t_1_w>0)*log( @cnorm(lam22) ) + (cfo_t_1_w=0)*log( 1-@cnorm(lam22))
series m = logl21-logl22

table vuong
setcolwidth(vuong,1,20)
vuong(1,1) = "Vuong non-nested LR test"
vuong(2,1) = "basic model if v>2; alternative model if v<2; else inconclusive"
scalar v = @sum(m)/@sqrt( @sumsq(m-@mean(m)) )
vuong(3,1) = "v = " + @str(v)
show vuong

I am not quite sure with regard to the following two things:
1. Do you think the calculation is right ( I adjusted it from http://www.uibk.ac.at/econometrics/dl/logl.html --> zero-altered poisson model)
2. when calculating the series logl21 and logl22, do I have to adjust (cfo_t_1_w=0)*log(... to (cfo_t_1_w<=0)*log( ...
3. How do I adjust the command above if I have a different number of independent variables in the two models compared? (e.g. Schwarz information criterion adjustment)

THANK YOU VERY MUCH FOR ANY HELP!!!!!!

abbas
Posts: 6
Joined: Mon Jan 31, 2011 12:59 am

Re: Vuong test using Eviews

Postby abbas » Wed May 11, 2011 10:02 pm

Dear
Use this program in EViews. Instead of mv, bv and eps, you should insert your series.

' Vuong Z-test prog. by Aflatooni
create u 1000
series mv=rnd
series bv=nrnd
series eps=nrnd
equation eq1.ls mv c bv
series rss1 =@ssr
genr res1=resid^2
equation eq2.ls mv c eps
series rss2 =@ssr
genr res2=resid^2
series m11=res1*res2
equation eq3.ls m11 1
scalar n=@regobs
series m12=0.5*log(rss2/rss1)+(n/2)*((res2/rss2)-(res1/rss1))
scalar v12 = @sum(m12)/@sqrt(@sumsq(m12-@mean(m12)))
table(3,4) result
setcolwidth(result,1,10)
setcell(result,1,1,"Vuong non-nested LR test")
setline(result,2)
setcell(result,3,1,"v12 ")
setcell(result,3,2,v12 )
setcell(result,3,3,"p-value = ")
setcell(result,3,4,@tdist(v12 ,n-1))
setline(result,4)
show result
####################
Abbas Aflatooni
Shahid Chamran University of Ahwaz, Khuzestan, Iran
abbasaflatooni@gmail.com


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