Hello All,

I try to compare market reactions based on earnings as compared to contract announcements. I have two samples with the same number of observations.
1. Rit (annual)=a0+ b1REit (w), where
- Rit (annual) - calendar-year buy-and-hold returns of firm i in year t
- b1REi - returns of firm i in year t in earnings announcement window

2. Rit (annual)=a0+ b1RCit (w), where
- Rit (annual) - calendar-year buy-and-hold returns of firm i in year t
- b1RCi - returns of firm i in year t in contract announcement window

I then compare adjusted R2 from both regressions, but it is not enough. For the sake of reliability check, I want to apply Vuong to see that both models are “equally far away” from the data that is being modelled. Just need to know how to make the test in STATA.

Thank you in advance!!!

Kind regards,
Daria