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

From   "Nick Cox" <>
To   <>
Subject   RE: st: Re: confidence intervals on r^2
Date   Mon, 15 Oct 2007 13:13:54 +0100

Oblique answer: You can do this, but it is better 
to devote the surplus energy you would spend on it
thinking about the interpretation of your model, 
whether you can improve it, and so forth. 


Marcello Pagano
> 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?

Kit Baum 

> > 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.

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

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