vctest - version 1.1

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.

Code access: The files underlying this code are readily accessible on GitHub.