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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?* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: Re: confidence intervals on r^2***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**st: Re: confidence intervals on r^2***From:*Kit Baum <baum@bc.edu>

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