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Re: st: Re: confidence intervals on r^2


From   Marcello Pagano <pagano@hsph.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: confidence intervals on r^2
Date   Mon, 15 Oct 2007 07:39:45 -0400

Correct answer: R-squared is a statistic around which you can set a confidence interval. It is just somewhat complicated to give the general formula, although it is available in particular cases.
Which case are you interested in?

m.p.

On 10/15/2007 6:27 AM, Kit Baum wrote:

Short answer: No.

Long answer: R-squared is not a statistical concept. It does not test a null hypothesis. If you take its components and rearrange them, you get the standard ANOVA F-statistic, which does test a null hypothesis (of the model against the null model with all slopes set to zero). That statistic has a p-value, available on every regression output.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Oct 15, 2007, at 2:33 AM, statalist-digest wrote:


Dear Stata Users,
Is it possible to calculate confidence intervals on R-squared in Stata,
and if so, how is this accomplished?
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