Vuong (1989) tests for nonnested model selection are often used to compare explanatory power of competing OLS regressions, but their implementation is not straight forward. vctest makes running these tests easy. In addition, it automatically runs a distribution free version of the test developed by Clarke (2007), and it optionally runs both tests using Box-Cox regressions to address concerns about OLS regression errors not being i.i.d. normal.
Because this is a preliminary release, installation instructions are available below, but additional information and illustrative examples will be provided at a future date.
To install the current (preliminary) version of vctest, use the following code to search for zach.prof in Stata:
search zach.prof
Next click the link for vctest. Then click the link to install vctest.
After installation, you can type help vctest in Stata to view a comprehensive help file.
Code access: The files underlying this code are readily accessible on GitHub.