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Re: st: variance of R2

To, Stas Kolenikov <>
Subject   Re: st: variance of R2
Date   Wed, 8 Aug 2007 17:08:11 +0200

thank you Stas for your warning, I haven't seen your answer before
I need to compare the R2s from two different samples (as I wrote in my second 
message to statalist), as it is usually done in the literature I am currently 
studying, so I need to assess the statistical significance of the difference 
between two R2s
Citazione Stas Kolenikov <>:

> On 8/8/07, <> wrote:
> > Dear all,
> > does anyone of you know how to compute the variance of the R2 (coefficient
> of
> > determination) in STATA?
> What would you need this for? Anything that deals with R^2 is ad hoc,
> and standards of "decent" R^2 vary by discipline from 99% in physics
> and engineering to 5% in economics.
> R^2 is a nonlinear transformation of F-statistic, and you can look up
> the variance of F (probably a non-central one) distribution in the
> standard textbooks. Then you can apply the delta method to get
> analytic asymptotic variance. The bootstrap is faster these days, of
> course, but it's always better to have answers from two completely
> different methods to see if they match. And if you thought the
> bootstrap is a universal remedy for every situation, you must read
> this: (and Stata
> Corp. might consider putting warnings arising from it in the biggest
> print possible in [R] bootstrap in the next printing :))
> -- 
> Stas Kolenikov, also found at
> Small print: Please do not reply to my Gmail address as I don't check
> it regularly.
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